Potentially unlimited variance reduction in importance sampling of Markov chains

DOI10.2307/1427916zbMATH Open0845.60013OpenAlexW2321238704MaRDI QIDQ4877464

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

Publication date: 16 September 1996

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427916

zbMATH Keywords

Poisson's equationMonte Carlo simulationsteady-state performanceoptimal matrixsteady-state simulationssimulation estimator

Mathematics Subject Classification ID

Combinatorial probability (60C05)

Related Items (3)

Title not available (Why is that?) ⋮ On the simulation of Markov chain steady-state distribution using CFTP algorithm ⋮ Zero-Variance Importance Sampling Estimators for Markov Process Expectations

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