A randomized quasi-Monte Carlo simulation method for Markov chains

Operations Research

Volumn 56, Issue 4, 2008, Pages 958-975

  L'Ecuyer, Pierre ^a   Lécot, Christian ^b   Tuffin, Bruno ^c  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b UNIVERSITÉ DE SAVOIE   (France)

^c CAMPUS DE BEAULIEU   (France)

Author keywords

[No Author keywords available]

Indexed keywords

MARKOV PROCESSES; NUMBER THEORY; SYSTEMS ENGINEERING;

CARDINALITY; CONVERGENCE RATES; EMPIRICAL RESULTS; IN LINES; MARKOV CHAINS; MONTE CARLO; POINT SETS; QUASI-MONTE CARLO; QUASI-MONTE CARLO METHODS; QUASI-MONTE CARLO SIMULATIONS; RANDOM NUMBERS; REAL NUMBERS; STATE DEPENDENTS; STATE DISTRIBUTIONS; STATE SPACES; STOPPING TIME; TOTAL COSTS; UNBIASED ESTIMATORS; VARIANCE REDUCTIONS; WORST-CASE ERRORS;

MONTE CARLO METHODS;

EID: 60749107193     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0556     Document Type: Article

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