On the Choice of Alternative Measures in Importance Sampling with Markov Chains

DOI10.1287/OPRE.43.3.509zbMath0842.60072OpenAlexW2019606417MaRDI QIDQ4861366

Daniel P. Heyman, Sigrún Andradóttir, Teunis J. Ott

Publication date: 1 August 1996

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.43.3.509

zbMATH Keywords

likelihood ratiosimulation of Markov chainsdistribution of the logarithm of the likelihood ratiosample path length

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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On the simulation of Markov chain steady-state distribution using CFTP algorithm ⋮ The cross-entropy method with patching for rare-event simulation of large Markov chains

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