Abstract

In this paper an optimal importance sampling (IS) method is derived for a transient Markov system. Several propositions are presented. It is shown that the optimal IS method is unique, and it must converge to the standard Monte Carlo (MC) simulation method when the sample path length approaches infinity. Therefore, it is not the size of the state space of the Markov system, but the sample path length, that limits the efficiency of the IS method. Numerical results are presented to support the argument.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.