A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
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Publication:3392222
DOI10.1287/OPRE.1080.0556zbMATH Open1167.90673OpenAlexW2166649678MaRDI QIDQ3392222FDOQ3392222
Authors: Pierre L'Ecuyer, Christian Lécot, Bruno Tuffin 
Publication date: 13 August 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4db3f5a7f9b3673427d31363cf302b77c1d268ab
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Cited In (35)
- On array-RQMC for Markov chains: Mapping alternatives and convergence rates
- Monte Carlo method for numerical integration based on Sobol's sequences
- Sorting methods and convergence rates for Array-RQMC: some empirical comparisons
- Quasi-Monte Carlo simulation of coagulation-fragmentation
- A Sequential Markov Chain Monte Carlo Approach to Set-up Adjustment of a Process over a Set of Lots
- Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
- Randomized quasi-Monte Carlo: an introduction for practitioners
- Stratified Monte Carlo simulation of Markov chains
- On randomization of Halton quasi-random sequences
- Sudoku Latin Square Sampling for Markov Chain Simulation
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- Discrepancy estimates for acceptance-rejection samplers using stratified inputs
- Randomized quasi-Monte Carlo simulation of Markov chains with an ordered state space
- Schwarz methods for quasi stationary distributions of Markov chains
- A method to reduce the rejection rate in Monte Carlo Markov chains
- Stochastic and quasistochastic computations
- Comparison of Quasi-Monte Carlo-Based Methods for Simulation of Markov Chains
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- Efficient simultaneous simulation of Markov chains
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- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
- Coupling from the past with randomized quasi-Monte Carlo
- Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space
- Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems
- Discrepancy estimates for variance bounding Markov chain quasi-Monte Carlo
- Density estimation by randomized quasi-Monte Carlo
- Discrepancy bounds for uniformly ergodic Markov chain quasi-Monte Carlo
- Markov-chain Monte Carlo methods for the Box-Behnken designs and centrally symmetric configurations
- Quasi-Monte Carlo simulation of discrete time Markov chains on multidimensional state spaces
- Discrepancy bounds for deterministic acceptance-rejection samplers
- A Quasi Monte Carlo Approach to Piecewise Linear Markov Approximations of Markov Operators
- Quasi-Monte Carlo methods with applications in finance
- Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
- Heuristic approximation method for a random flow of events by an MC-flow with arbitrary number of states
- Adaptive sequential sample average approximation for solving two-stage stochastic linear programs
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