Buchcover von The Generalized Splitting Method
Buchtitel:

The Generalized Splitting Method

Applications to Combinatorial Counting and Static Rare-Event Probability Estimation

LAP LAMBERT Academic Publishing (08.09.2010 )

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ISBN-13:

978-3-8383-9726-9

ISBN-10:
3838397266
EAN:
9783838397269
Buchsprache:
Englisch
Klappentext:
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. The second part of the thesis presents a new adaptive kernel density estimator based on linear diffusion processes. The proposed estimator builds on existing ideas for adaptive smoothing by incorporating information from a pilot density estimate. In addition, we propose a new plug- in bandwidth selection method that is free from the arbitrary normal reference rules used by existing methods. We present simulation examples in which the proposed approach outperforms existing methods in terms of accuracy and reliability.
Verlag:
LAP LAMBERT Academic Publishing
Webseite:
https://www.lap-publishing.com/
von (Autor):
Zdravko Botev
Seitenanzahl:
140
Veröffentlicht am:
08.09.2010
Lagerbestand:
Lieferbar
Kategorie:
Physik, Astronomie
Preis:
59,00 €
Stichworte:
splitting method, RESTART, MCMC, Rare-Event Probability Estimation, Boolean Satisfiability Problem, equi-energy sampler, nonparametric density estimation, bandwidth selection, normal reference rules

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