The method of similar trajectories with branching according to parametric maximum of the auxiliary weight
DOI10.1515/RNAM-2016-0035zbMATH Open1355.65008OpenAlexW2565878569WikidataQ56746240 ScholiaQ56746240MaRDI QIDQ503596FDOQ503596
Publication date: 13 January 2017
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/rnam-2016-0035
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numerical examplesalgorithmintegral equationauxiliary weightdependent trialsMarkov chain trajectory branchingparametric maximumsimilar trajectories methodweight estimatorweight estimator cost
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods for integral equations (65R20) Linear integral equations (45A05)
Cites Work
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- Recurrent partial averaging in the theory of weighted Monte Carlo methods
- Parametric weighted minimax estimates in Monte Carlo methods
- On the calculation of definite integrals dependent on a parameter by the monte carlo method
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