On the optimal Markov chain of IS simulation

被引：0
|
作者：
Nakagawa, K [1 ]
机构：
[1] Nagaoka Univ Technol, Dept Elect Engn, Niigata 9402188, Japan
来源：
1998 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY - PROCEEDINGS | 1998年
关键词：
D O I：
10.1109/ISIT.1998.709020
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
We investigate the importance sampling (IS) simulation of Markov chains. The optimal simulation Markov chain is known to be a twisted Markov chain, however, the proofs in [2], [3] are very complicated and do not give us a good perspective. We give a simple and natural proof for the optimality of the twisted Markov chain in terms of Kullback-Leibler (KL) divergence.
引用
收藏
页码：415 / 415
页数：1
相关论文
共 50 条
  • [21] OPTIMAL FILTRATION OF THE MARKOV-CHAIN WITH 2 STATES
    KHARISOV, VN
    DUNCHICH, YG
    IZVESTIYA VYSSHIKH UCHEBNYKH ZAVEDENII RADIOELEKTRONIKA, 1989, 32 (05): : 89 - 92
  • [22] An optimal pricing policy under a Markov chain model
    Liu, Ruyi
    Tie, Jingzhi
    Wu, Zhen
    Zhang, Qing
    SCIENCE CHINA-MATHEMATICS, 2022, 65 (05) : 1065 - 1080
  • [23] OPTIMAL VARIANCE REDUCTION FOR MARKOV CHAIN MONTE CARLO
    Huang, Lu-Jing
    Liao, Yin-Ting
    Chen, Ting-Li
    Hwang, Chii-Ruey
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 56 (04) : 2977 - 2996
  • [24] An optimal pricing policy under a Markov chain model
    Ruyi Liu
    Jingzhi Tie
    Zhen Wu
    Qing Zhang
    Science China Mathematics, 2022, 65 : 1065 - 1080
  • [25] An optimal selection problem on a partially observable Markov chain
    Nakai, T
    STOCHASTIC MODELLING IN INNOVATIVE MANUFACTURING, 1997, 445 : 140 - 154
  • [26] An optimal pricing policy under a Markov chain model
    Ruyi Liu
    Jingzhi Tie
    Zhen Wu
    Qing Zhang
    Science China(Mathematics), 2022, 65 (05) : 1065 - 1080
  • [27] OPTIMAL HIERARCHICAL CONTROL OF MARKOV-CHAIN POPULATION
    ALJ, A
    HAURIE, A
    RAIRO-RECHERCHE OPERATIONNELLE-OPERATIONS RESEARCH, 1980, 14 (03): : 229 - 247
  • [28] ON OPTIMAL STOPPING OF RANDOM SEQUENCES MODULATED BY MARKOV CHAIN
    Presman, E. L.
    Sonin, I. M.
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 2010, 54 (03) : 534 - 542
  • [29] Optimal portfolio execution with a Markov chain approximation approach
    Chen, Jingnan
    Feng, Liming
    Peng, Jiming
    Zhang, Yu
    IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2023, 34 (01) : 165 - 186
  • [30] Pattern Markov chains: Optimal Markov chain embedding through deterministic finite automata
    Nuel, Gregory
    JOURNAL OF APPLIED PROBABILITY, 2008, 45 (01) : 226 - 243
12345