Quasi-Monte Carlo techniques and rare event sampling

zbMATH Open1333.91059MaRDI QIDQ2801430FDOQ2801430

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)

Cited In (3)

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

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