Quasi-Monte Carlo techniques and rare event sampling

MaRDI QIDQ2801430zbMATHFDO

Authors Jürgen Hartinger, Dominik Kortschak

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL https://www.e-periodica.ch/cntmng?pid=msa-003:2010:0::125

zbMATH Keywords

effective dimensionheavy-tailed distributionsrelative errorrare eventrandomized quasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Rare events, splitting, and quasi-Monte Carlo
• Publication:4934366
• Some recent results in rare event estimation
• The effective dimension and quasi-Monte Carlo integration
• Markov chain importance sampling with applications to rare event probability estimation

Cited in

(3)

• Rare Event Simulation using Monte Carlo Methods
• Rare-event detection by Quasi-Wang-Landau Monte Carlo sampling with approximate Bayesian computation
• Rare events, splitting, and quasi-Monte Carlo

This page was built for publication: Quasi-Monte Carlo techniques and rare event sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801430)