Ad Ridder

VU University Amsterdam - Department of Econometrics and Operations Research

De Boelelaan 1105

1081 HV Amsterdam

Netherlands

http://personal.vu.nl/a.a.n.ridder/

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

9

DOWNLOADS

338

CITATIONS

1

Scholarly Papers (9)

1.

Variance Reduction Techniques in Monte Carlo Methods

CentER Discussion Paper Series No. 2010-117
Number of pages: 18 Posted: 26 Nov 2010 Last Revised: 05 Dec 2010
Tilburg University, CentER, VU University Amsterdam - Department of Econometrics and Operations Research and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management
Downloads 144 (196,487)

Abstract:

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common random numbers, antithetic random numbers, importance sampling,control variates, conditioning, stratified sampling, splitting, quasi Monte Carlo

2.

Finite-State Markov Chains Obey Benford's Law

Tinbergen Institute Discussion Paper 10-030/4
Number of pages: 30 Posted: 13 Mar 2010
affiliation not provided to SSRN, University of Alberta, Georgia Institute of Technology and VU University Amsterdam - Department of Econometrics and Operations Research
Downloads 50 (377,557)

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Markov chain, Benford's Law, uniform distribution modulo 1, significant digits, significand, n-step, transition probabilities, stationary distribution

3.

The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains

Tinbergen Institute Discussion Paper 09-084/4
Number of pages: 25 Posted: 01 Oct 2009
Bahar Kaynar and Ad Ridder
affiliation not provided to SSRN and VU University Amsterdam - Department of Econometrics and Operations Research
Downloads 34 (436,511)
Citation 1

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Cross-Entropy, Rare Events, Importance Sampling, Large-Scale Markov Chains

4.

Semiparametric Cross Entropy for Rare-Event Simulation

Tinbergen Institute Discussion Paper 13-127/III
Number of pages: 26 Posted: 03 Sep 2013
University of New South Wales (UNSW), VU University Amsterdam - Department of Econometrics and Operations Research and University of Queensland
Downloads 30 (454,146)

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Light-Tailed, Regularly-Varying, Subexponential, Rare-Event Probability, Cross Entropy method, Markov Chain Monte Carlo

5.

Tail Distribution of the Maximum of Correlated Gaussian Random Variables

Tinbergen Institute Discussion Paper 15-132/III
Number of pages: 14 Posted: 16 Dec 2015
Zdravko Botev, Michel Mandjes and Ad Ridder
University of New South Wales (UNSW), University of Amsterdam and VU University Amsterdam - Department of Econometrics and Operations Research
Downloads 21 (501,214)

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Rare event simulation, Correlated Gaussian, Tail probabilities, Sequential importance sampling

6.

Approximate Results for a Generalized Secretary Problem

Tinbergen Institute Discussion Paper No. 10-092/4
Number of pages: 19 Posted: 09 Sep 2010
VU University Amsterdam, Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) and VU University Amsterdam - Department of Econometrics and Operations Research
Downloads 20 (506,832)

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Secretary Problem, Dynamic Programming, Approximate Policies

7.

Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques

Tinbergen Institute Discussion Paper 12-103/III
Number of pages: 21 Posted: 04 Oct 2012
Ad Ridder and Bruno Tuffin
VU University Amsterdam - Department of Econometrics and Operations Research and Inria
Downloads 15 (535,070)

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rare event probability, importance sampling, probabilistic robustness, Markov chains

8.

Counting with Combined Splitting and Capture-Recapture Methods

Tinbergen Institute 11-062/4
Number of pages: 27 Posted: 12 Apr 2011
Brown University, affiliation not provided to SSRN, VU University Amsterdam - Department of Econometrics and Operations Research, Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Technion Israel Institute of Technology
Downloads 14 (540,762)

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9.

Sequential Monte Carlo for Counting Vertex Covers in General Graphs

Tinbergen Institute Discussion Paper 13-122/III
Number of pages: 22 Posted: 27 Aug 2013
Technion Israel Institute of Technology, University of New South Wales (UNSW) and VU University Amsterdam - Department of Econometrics and Operations Research
Downloads 10 (564,081)

Abstract:

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Vertex Cover, Counting problem, Sequential importance sampling, Dynamic Programming, Relaxation, Random Graphs