• DocumentCode
    3474192
  • Title

    An introduction to ensemble-average importance sampling of Markov chains

  • Author

    Cao, Xi-Ren

  • Author_Institution
    Digital Equipment Corp., Marlborough, MA, USA
  • fYear
    1991
  • fDate
    11-13 Dec 1991
  • Firstpage
    1157
  • Abstract
    Using a simple Markov chain as an example, the author introduces a novel single-sample-path-based estimation method, ensemble-average importance sampling (EAIS). The EAIS is shown to be much more efficient than the time-average likelihood-ratio method and has less variance. It does not resort to regenerative structure
  • Keywords
    Markov processes; estimation theory; Markov chains; ensemble-average importance sampling; time-average likelihood-ratio method; Monte Carlo methods; State estimation; Steady-state;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
  • Conference_Location
    Brighton
  • Print_ISBN
    0-7803-0450-0
  • Type

    conf

  • DOI
    10.1109/CDC.1991.261530
  • Filename
    261530
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3474192