On array-RQMC for Markov chains: Mapping alternatives and convergence rates

DOI10.1007/978-3-642-04107-5_31MaRDI QIDQ3405461zbMATHOpenAlexFDO

Authors Pierre L'Ecuyer, Christian Lécot, Adam L'Archevêque-Gaudet

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_31

zbMATH Keywords

convergencenumerical examplesdiscrepancyparallel computationdiscrete-time Markov chainsrandomized quasi-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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(6)

• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
• Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
• Randomized quasi-Monte Carlo simulation of Markov chains with an ordered state space
• Stratified Monte Carlo simulation of Markov chains
• Sudoku Latin Square Sampling for Markov Chain Simulation
• Sorting methods and convergence rates for Array-RQMC: some empirical comparisons

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