Minimal Entropy Approximations and Optimal Algorithms

DOI10.1515/MCMA.2002.8.4.343MaRDI QIDQ4796472zbMATH OpenOpenAlexFDO

Authors Terence J. Lyons, Dan Crisan

Publication date 25 August 2003

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2002.8.4.343

zbMATH Keywords

branching algorithmMarkov chainminimal entropy approximationsoptimal algorithmspartical filterrandom measuresequential Monte Carlo method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(19)

• Quasi chain rule for min-entropy
• On entropy minimization and convergence
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Second order discretization of backward SDEs and simulation with the cubature method
• Lookahead strategies for sequential Monte Carlo
• Cubature methods and applications
• Adaptive approximation of higher order posterior statistics
• scientific article; zbMATH DE number 4009819 (Why is no real title available?)
• Cubature methods for stochastic (partial) differential equations in weighted spaces
• Cubature method to solve BSDEs: Error expansion and complexity control
• Forest resampling for distributed sequential Monte Carlo
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
• On Thurston’s core entropy algorithm
• A minimax approach to one-shot entropy inequalities
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation

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