Randomized quasi-Monte Carlo simulation of Markov chains with an ordered state space
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Publication:5482374
zbMATH Open1097.65016MaRDI QIDQ5482374FDOQ5482374
Authors: Pierre L'Ecuyer, Christian Lécot, Bruno Tuffin 
Publication date: 28 August 2006
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- scientific article; zbMATH DE number 2051225
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Cited In (15)
- On array-RQMC for Markov chains: Mapping alternatives and convergence rates
- Sorting methods and convergence rates for Array-RQMC: some empirical comparisons
- Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
- Stratified Monte Carlo simulation of Markov chains
- Sudoku Latin Square Sampling for Markov Chain Simulation
- Efficient simultaneous simulation of Markov chains
- Construction of weakly CUD sequences for MCMC sampling
- On integration methods based on scrambled nets of arbitrary size
- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
- Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space
- A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
- What Monte Carlo models can do and cannot do efficiently?
- Discrepancy estimates for variance bounding Markov chain quasi-Monte Carlo
- Quasi-Monte Carlo simulation of discrete time Markov chains on multidimensional state spaces
- Heuristic approximation method for a random flow of events by an MC-flow with arbitrary number of states
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