Variance reduction for Markov chain processes using state space evaluation for control variates

DOI10.1057/PALGRAVE.JORS.2601232zbMath1131.65300OpenAlexW1987775843MaRDI QIDQ4658530

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Publication date: 16 March 2005

Published in: Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1057/palgrave.jors.2601232

zbMATH Keywords

simulationMarkov chainsvariance reductionneural net training

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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