G-2007-20
Quasi-Monte Carlo Simulation of Discrete-Time Markov Chains on Multidimensional State Spaces
, et référence BibTeX
We propose and analyze a quasi-Monte Carlo (QMC) method for simulating a
discrete-time Markov chain on a discrete state space of dimension
. Several
paths of the chain are simulated in parallel and reordered at each step. We provide
a convergence result when the number N of simulated paths increases toward infinity.
Finally, we present the results of some numerical experiments showing that our QMC
algorithm converges faster as a function of N, at least in some situations, than the
corresponding Monte Carlo (MC) method.
Paru en mars 2007 , 20 pages
Publication
nov. 2010
, et
Mathematics and Computers in Simulation, 81(3), 560–567, 2010
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