Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations
Rémillard, Bruno; Gentil, Ivan (2008), Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations, Advances in Applied Probability, 40, 2, p. 454-572. http://dx.doi.org/10.1239/aap/1214950212
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00019334/fr/
Journal nameAdvances in Applied Probability
MetadataShow full item record
Abstract (EN)While the convergence properties of many sampling selection methods can be proven, there is one particular sampling selection method introduced in Baker (1987), closely related to `systematic sampling' in statistics, that has been exclusively treated on an empirical basis. The main motivation of the paper is to start to study formally its convergence properties, since in practice it is by far the fastest selection method available. We will show that convergence results for the systematic sampling selection method are related to properties of peculiar Markov chains.
Subjects / KeywordsChaînes de Markov; Probability
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