Optimising Poisson bridge constructions for variance reduction methods

DOI10.1515/MCMA-2021-2090OpenAlexW3168237319MaRDI QIDQ2239250

Casper H. L. Beentjes

Publication date: 3 November 2021

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2021-2090

zbMATH Keywords

Monte Carlo samplingPoisson processesantithetic samplingvariance reduction methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08) Numerical analysis or methods applied to Markov chains (65C40)

Uses Software

• Algorithm 955

Cites Work

• Unnamed Item
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• Exact variance-reduced simulation of lattice continuous-time Markov chains with applications in reaction networks
• Monte Carlo and quasi-Monte Carlo sampling
• Algorithm 955
• Inverting the symmetrical beta distribution
• Efficient and Accurate Algorithms for the Computation and Inversion of the Incomplete Gamma Function Ratios

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