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Zero-variance importance sampling estimators for Markov process expectations
- Source :
- Mathematics of Operations Research. May 1, 2013, Vol. 38 Issue 2, p358, 31 p.
- Publication Year :
- 2013
-
Abstract
- We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear [...]
Details
- Language :
- English
- ISSN :
- 0364765X
- Volume :
- 38
- Issue :
- 2
- Database :
- Gale General OneFile
- Journal :
- Mathematics of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.332788110
- Full Text :
- https://doi.org/10.1287/moor.1120.0569