Coupled Samples in Simulation

DOI10.1287/OPRE.38.1.115MaRDI QIDQ3484245zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 1990

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.38.1.115

zbMATH Keywords

coupled samplesfamilies of densitiesfinite metric entropygeneration of random variablesgeneration of samplesmetric entropyoptimal couplingPascal like algorithmsrejection methodsimulation

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

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Cited in

(7)

• Maximal coupling and rare perturbation sensitivity analysis
• Intersections with random geometric objects
• Maximal coupling rare perturbation analysis with a random horizon
• On the effect of density shape on the performance of its kernel estimate
• TRANSIENT SIMULATION VIA EMPIRICALLY BASED COUPLING
• Statistical simulation of one type of pairs of random variables with the use of fictitious jumps
• Efficient Simulation via Coupling

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