Rare events, splitting, and quasi-Monte Carlo

DOI10.1145/1225275.1225280zbMath1281.62085MaRDI QIDQ3549155

Bruno Tuffin, Valérie Demers, Pierre L'Ecuyer

Publication date: 21 December 2008

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1225275.1225280

zbMATH Keywords

Markov chain; splitting; variance reduction; Quasi-Monte Carlo; highly-reliable Markovian systems; RESTART, importance sampling

Mathematics Subject Classification ID

62F99: Parametric inference

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

62G99: Nonparametric inference

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