Efficient Monte Carlo simulation via the generalized splitting method

DOI10.1007/s11222-010-9201-4zbMath1322.65002DBLPjournals/sac/BotevK12OpenAlexW2059147320WikidataQ56689538 ScholiaQ56689538MaRDI QIDQ746173

Dirk P. Kroese, Zdravko I. Botev

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-010-9201-4

zbMATH Keywords

importance samplingsplitting methodsequential Monte Carlocombinatorial countingMCMCrare-event probability estimationlevel-crossingBoolean satisfiability problemconvergence diagnosticfixed effortfixed splittingRESTART

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (27)

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Uses Software

• SATLIB
• RESTART

Cites Work

• An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
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• A large deviations perspective on the efficiency of multilevel splitting
• RARE EVENT SIMULATION
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