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
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