Article ID Journal Published Year Pages File Type
1140746 Mathematics and Computers in Simulation 2010 8 Pages PDF
Abstract

We describe a quasi-Monte Carlo method for the simulation of discrete time Markov chains with continuous multi-dimensional state space. The method simulates copies of the chain in parallel. At each step the copies are reordered according to their successive coordinates. We prove the convergence of the method when the number of copies increases. We illustrate the method with numerical examples where the simulation accuracy is improved by large factors compared with Monte Carlo simulation.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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