Rare events, splitting, and quasi-Monte Carlo
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Publication:3549155
DOI10.1145/1225275.1225280zbMath1281.62085MaRDI QIDQ3549155
Bruno Tuffin, Pierre L'Ecuyer, Valérie Demers
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
Markov chain; splitting; variance reduction; Quasi-Monte Carlo; highly-reliable Markovian systems; RESTART, importance sampling
62F99: Parametric inference
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
62G99: Nonparametric inference
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