Item request has been placed! ×
Item request cannot be made. ×
loading  Processing Request

Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space

Item request has been placed! ×
Item request cannot be made. ×
loading   Processing Request
اقرأ أكثر حفظ في قائمتي
  • معلومة اضافية
    • Contributors:
      Département de Mathématiques; Université Saint-Joseph de Beyrouth (USJ); Laboratoire de Mathématiques (LAMA); Université Savoie Mont Blanc (USMB Université de Savoie Université de Chambéry )-Centre National de la Recherche Scientifique (CNRS); Université Savoie Mont Blanc (USMB Université de Savoie Université de Chambéry ); Département d'Informatique et de Recherche Opérationnelle Montreal (DIRO); Université de Montréal (UdeM); Department of Mathematics; Department of mathematics Beirut; American University of Beirut Beyrouth (AUB)-American University of Beirut Beyrouth (AUB)
    • بيانات النشر:
      HAL CCSD
      Elsevier
    • الموضوع:
      2010
    • Collection:
      Université Saint-Joseph de Beyrouth (USJ): HAL
    • نبذة مختصرة :
      International audience ; We describe a quasi-Monte Carlo method for the simulation of discrete time Markov chains with continuous multi-dimensional state space. The method simulates copies of the chain in parallel. At each step the copies are reordered according to their successive coordinates. We prove the convergence of the method when the number of copies increases. We illustrate the method with numerical examples where the simulation accuracy is improved by large factors compared with Monte Carlo simulation.
    • Relation:
      hal-00949602; https://hal.univ-grenoble-alpes.fr/hal-00949602; https://hal.univ-grenoble-alpes.fr/hal-00949602/document; https://hal.univ-grenoble-alpes.fr/hal-00949602/file/ELLN_new.pdf
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.4DCAF24B