A Markov chain perspective on adaptive Monte Carlo algorithms

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2001, Pages 379-384

  Desai, Paritosh Y ^a   Glynn, Peter W ^a  

^a Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ADAPTIVE ALGORITHMS; EIGENVALUES AND EIGENFUNCTIONS; ITERATIVE METHODS; MONTE CARLO METHODS; SAMPLING; STATE SPACE METHODS;

MONTE CARLO ALGORITHMS;

MARKOV PROCESSES;

EID: 0035696492     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. Exponential convergence for Monte Carlo particle transport
2. Importance sampling for stochastic simulations
3. Numerical computation of large deviations exponents via simulation