Simple stratified sampling for simulating multi-dimensional Markov chains

DOI10.1007/978-3-031-59762-6_15MaRDI QIDQ7012113zbMATH OpenFDO

Authors Rami El Haddad, Christian Lécot, Pierre L'Ecuyer

Publication date 17 March 2025

Full work available at URL https://doi.org/10.1007/978-3-031-59762-6_15

zbMATH Keywords

Markov chain simulationstratified samplingvariance reduction

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40)

Cites work

• A Modified Monte-Carlo Quadrature
• A Quasi-Monte Carlo Scheme Using Nets for a Linear Boltzmann Equation
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• Monte Carlo and quasi-Monte Carlo sampling
• On array-RQMC for Markov chains: Mapping alternatives and convergence rates
• Sorting methods and convergence rates for Array-RQMC: some empirical comparisons
• Stratified Monte Carlo integration
• Sudoku Latin Square Sampling for Markov Chain Simulation
• The Problem of Dimensionality in Stratified Sampling
• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks

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