Optimization of Monte Carlo weighted methods for part of variables

DOI10.1515/156939803770736024zbMath1055.65016OpenAlexW4252493135MaRDI QIDQ4463681

Gennady A. Mikhailov, Ilia N. Medvedev

Publication date: 27 May 2004

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939803770736024

zbMATH Keywords

algorithmimportance samplingvariance reductionlinear functionalssecond kind integral equationcollision estimateterminating Markov chainmodelling the free pathMonte Carlo weighted methodpartial optimization of modellingsub-Markovian kernel

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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