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Efficient Simultaneous Simulation of Markov Chains

In: Monte Carlo and Quasi-Monte Carlo Methods 2006

Author

Listed:
  • Carsten Wächter

    (Ulm University)

  • Alexander Keller

    (Ulm University)

Abstract

Summary Markov chains can be simulated efficiently by either high-dimensional low discrepancy point sets or by padding low dimensional point sets. Given an order on the state space, both approaches can be improved by sorting the ensemble of Markov chains. We analyze deterministic approaches resulting in algorithmic simplifications and provide intuition when and why the sorting works. Then we discuss the efficiency of different sorting strategies for the example of light transport simulation.

Suggested Citation

  • Carsten Wächter & Alexander Keller, 2008. "Efficient Simultaneous Simulation of Markov Chains," Springer Books, in: Alexander Keller & Stefan Heinrich & Harald Niederreiter (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2006, pages 669-684, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-74496-2_41
    DOI: 10.1007/978-3-540-74496-2_41
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