A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
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Abstract
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DOI: 10.1287/opre.1080.0556
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References listed on IDEAS
- Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin & Tim Zajic, 1999. "Multilevel Splitting for Estimating Rare Event Probabilities," Operations Research, INFORMS, vol. 47(4), pages 585-600, August.
- Hatem Ben-Ameur & Pierre L'Ecuyer & Christiane Lemieux, 2004. "Combination of General Antithetic Transformations and Control Variables," Mathematics of Operations Research, INFORMS, vol. 29(4), pages 946-960, November.
- Pierre L’Ecuyer & Christiane Lemieux, 2002. "Recent Advances in Randomized Quasi-Monte Carlo Methods," International Series in Operations Research & Management Science, in: Moshe Dror & Pierre L’Ecuyer & Ferenc Szidarovszky (ed.), Modeling Uncertainty, chapter 0, pages 419-474, Springer.
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Cited by:
- Nabil Kahalé, 2020. "Randomized Dimension Reduction for Monte Carlo Simulations," Management Science, INFORMS, vol. 66(3), pages 1421-1439, March.
- Lécot, Christian & L’Ecuyer, Pierre & El Haddad, Rami & Tarhini, Ali, 2019. "Quasi-Monte Carlo simulation of coagulation–fragmentation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 113-124.
- Dimov, I. & Georgieva, R. & Ostromsky, Tz., 2012. "Monte Carlo sensitivity analysis of an Eulerian large-scale air pollution model," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 23-28.
- Jeanne Demgne & Sophie Mercier & William Lair & Jérôme Lonchampt, 2017. "Modelling and numerical assessment of a maintenance strategy with stock through piecewise deterministic Markov processes and quasi Monte Carlo methods," Journal of Risk and Reliability, , vol. 231(4), pages 429-445, August.
- L’Ecuyer, Pierre & Munger, David & Lécot, Christian & Tuffin, Bruno, 2018. "Sorting methods and convergence rates for Array-RQMC: Some empirical comparisons," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 143(C), pages 191-201.
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Keywords
simulation; efficiency; probability; Markov processes;All these keywords.
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