The Generalized Splitting Method: Applications to Combinatorial Counting and Static Rare-Event Probability Estimation - Softcover

Botev, Zdravko

Softcover

ISBN 10: 3838397266 ISBN 13: 9783838397269

Verlag: LAP LAMBERT Academic Publishing, 2010

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

Dr. Botev has graduated from the University of Queensland, Australia with First class Honors degree and a university medal in 2005. He completed his Phd in 2009 and since then he has lectured at the University of Queensland. Currently, he is a postdoctoral fellow at the University of Montreal.

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 3838397266
• ISBN 13: 9783838397269
• Einband: Taschenbuch
• Anzahl der Seiten: 140
• Kontakt zum Hersteller: Nicht verfügbar
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