The Generalized Splitting Method
Zdravko Botev
Broschiertes Buch

The Generalized Splitting Method

Applications to Combinatorial Counting and Static Rare-Event Probability Estimation

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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 li...