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
  • [31] CONCURRENT OPTIMAL FILTRATION OF THE CONTINUOUS AND DISCRETE MARKOV-PROCESSES AND THE MARKOV-CHAIN
    POPOV, AS
    IZVESTIYA VYSSHIKH UCHEBNYKH ZAVEDENII RADIOELEKTRONIKA, 1986, 29 (04): : 97 - 99
  • [32] MARKOV-CHAIN ALGORITHMS FOR CANONICAL ENSEMBLE SIMULATION
    KRAJCI, M
    COMPUTER PHYSICS COMMUNICATIONS, 1986, 42 (01) : 29 - 35
  • [33] Simulation Algorithms for Continuous Time Markov Chain Models
    Banks, H. T.
    Broido, Anna
    Canter, Brandi
    Gayvert, Kaitlyn
    Hu, Shuhua
    Joyner, Michele
    Link, Kathryn
    SIMULATION AND MODELING RELATED TO COMPUTATIONAL SCIENCE AND ROBOTICS TECHNOLOGY, 2012, 37 : 3 - 18
  • [34] Markov chain Monte Carlo simulation methods in econometrics
    Chib, S
    Greenberg, E
    ECONOMETRIC THEORY, 1996, 12 (03) : 409 - 431
  • [35] Developing Markov chain models for road surface simulation
    Israel, Wescott B.
    Ferris, John B.
    MODELING AND SIMULATION FOR MILITARY OPERATIONS II, 2007, 6564
  • [36] Ensemble preconditioning for Markov chain Monte Carlo simulation
    Benedict Leimkuhler
    Charles Matthews
    Jonathan Weare
    Statistics and Computing, 2018, 28 : 277 - 290
  • [37] Gaussian Signals Simulation Using Biconnected Markov Chain
    Glushkov, A. N.
    Menshikh, V. V.
    Khohlov, N. S.
    Bokova, O. I.
    Kalinin, M. Y.
    2017 2ND INTERNATIONAL URAL CONFERENCE ON MEASUREMENTS (URALCON), 2017, : 245 - 250
  • [38] Relevant states and memory in Markov chain bootstrapping and simulation
    Cerqueti, Roy
    Falbo, Paolo
    Pelizzari, Cristian
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 256 (01) : 163 - 177
  • [39] Simulation of geologic uncertainty using coupled Markov chain
    Qi, Xiao-Hui
    Li, Dian-Qing
    Phoon, Kok-Kwang
    Cao, Zi-Jun
    Tang, Xiao-Song
    ENGINEERING GEOLOGY, 2016, 207 : 129 - 140
  • [40] Simulation Study to Identify the Characteristics of Markov Chain Properties
    Rahman, Atiqur
    Kemper, Peter
    SIGSIM-PADS'18: PROCEEDINGS OF THE 2018 ACM SIGSIM CONFERENCE ON PRINCIPLES OF ADVANCED DISCRETE SIMULATION, 2018, : 5 - 16
12345