Rare events, splitting, and quasi-Monte Carlo

DOI10.1145/1225275.1225280zbMath1281.62085OpenAlexW1990674830MaRDI QIDQ3549155

Bruno Tuffin, Valérie Demers, Pierre L'Ecuyer

Publication date: 21 December 2008

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1225275.1225280

zbMATH Keywords

Markov chainsplittingvariance reductionQuasi-Monte Carlohighly-reliable Markovian systemsRESTART, importance sampling

Mathematics Subject Classification ID

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