Rare events, splitting, and quasi-Monte Carlo

ACM Transactions on Modeling and Computer Simulation

Volumn 17, Issue 2, 2007, Pages

  L'Ecuyer, Pierre ^a   Demers, Valérie ^a   Tuffin, Bruno ^b  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b CAMPUS DE BEAULIEU   (France)

Author keywords

Highly reliable Markovian systems; Importance sampling; Markov chain; Quasi Monte Carlo; RESTART; Splitting; Variance reduction

Indexed keywords

COMPUTER SIMULATION; FUNCTION EVALUATION; MONTE CARLO METHODS; PROBABILISTIC LOGICS; SAMPLING;

HIGHLY-RELIABLE MARKOVIAN SYSTEMS; IMPORTANCE SAMPLING; QUASI-MONTE CARLO; VARIANCE REDUCTION;

MARKOV PROCESSES;

EID: 34247182656     PISSN: 10493301     EISSN: 15581195     Source Type: Journal    
DOI: 10.1145/1225275.1225280     Document Type: Article

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