Combining importance sampling and temporal difference control variates to simulate Markov Chains

DOI10.1145/974734.974735zbMath1390.65031OpenAlexW2073733021MaRDI QIDQ4564841

Ramandeep S. Randhawa, Sandeep Juneja

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/974734.974735

zbMATH Keywords

Markov chainsimportance samplingrare eventsstochastic approximationvariance reductiontemporal difference methods

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

The cross-entropy method with patching for rare-event simulation of large Markov chains ⋮ Excessive backlog probabilities of two parallel queues ⋮ On Generalized Bellman Equations and Temporal-Difference Learning

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