Efficient Monte Carlo simulation via the generalized splitting method |
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Authors: | Zdravko I Botev Dirk P Kroese |
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Institution: | 1. Department of Computer Science and Operations Research, University of Montreal, Quebec, 6128, Canada 2. School of Mathematic and Physics, The University of Queensland, Brisbane, 4072, Australia
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Abstract: | We describe a new Monte Carlo algorithm for the consistent and unbiased estimation of multidimensional integrals and the efficient
sampling from multidimensional densities. The algorithm is inspired by the classical splitting method and can be applied to
general static simulation models. We provide examples from rare-event probability estimation, counting, and sampling, demonstrating
that the proposed method can outperform existing Markov chain sampling methods in terms of convergence speed and accuracy. |
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Keywords: | |
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