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

DOI10.1016/J.MATCOM.2010.07.027zbMath1207.65017OpenAlexW2053065674MaRDI QIDQ622180

Sumit K. Garg

Publication date: 31 January 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://hal.univ-grenoble-alpes.fr/hal-00949602/file/ELLN_new.pdf

zbMATH Keywords

convergencesimulationnumerical examplesMarkov chaindiscrepancyquasi-Monte Carlo method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

Stratified Monte Carlo simulation of Markov chains ⋮ Sorting methods and convergence rates for Array-RQMC: some empirical comparisons

Uses Software

• MRG32k3a

Cites Work

• A direct simulation Monte Carlo scheme and uniformly distributed sequences for solving the Boltzmann equation
• Selection of papers presented at the IMACS seminar on Monte Carlo methods. Brussels, Belgium, April 1--3, 1997
• A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
• Comparison of Quasi-Monte Carlo-Based Methods for Simulation of Markov Chains
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