Randomized Algorithms with Splitting: Why the Classic Randomized Algorithms Do Not Work and How to Make them Work
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DOI: 10.1007/s11009-009-9126-6
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References listed on IDEAS
- Reuven Rubinstein, 2009. "The Gibbs Cloner for Combinatorial Optimization, Counting and Sampling," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 491-549, December.
- Stephen Baumert & Archis Ghate & Seksan Kiatsupaibul & Yanfang Shen & Robert L. Smith & Zelda B. Zabinsky, 2009. "Discrete Hit-and-Run for Sampling Points from Arbitrary Distributions Over Subsets of Integer Hyperrectangles," Operations Research, INFORMS, vol. 57(3), pages 727-739, June.
- Zdravko I. Botev & Dirk P. Kroese, 2008. "An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting," Methodology and Computing in Applied Probability, Springer, vol. 10(4), pages 471-505, December.
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Cited by:
- Paul Dupuis & Bahar Kaynar & Ad Ridder & Reuven Rubinstein & Radislav Vaisman, 2011. "Counting with Combined Splitting and Capture-Recapture Methods," Tinbergen Institute Discussion Papers 11-062/4, Tinbergen Institute.
- Hao Ma & Henk A. P. Blom, 2022. "Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2313-2338, December.
- Kleijnen, Jack P.C. & Ridder, A.A.N. & Rubinstein, R.Y., 2010.
"Variance Reduction Techniques in Monte Carlo Methods,"
Other publications TiSEM
87680d1a-53c1-4107-ada4-7, Tilburg University, School of Economics and Management.
- Kleijnen, Jack P.C. & Ridder, A.A.N. & Rubinstein, R.Y., 2010. "Variance Reduction Techniques in Monte Carlo Methods," Discussion Paper 2010-117, Tilburg University, Center for Economic Research.
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Keywords
Combinatorial optimization; Counting; Cross-entropy; Gibbs sampler; Importance sampling; Rare-event; Randomized algorithms; Splitting;All these keywords.
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