Asymptotic simulation efficiency based on large deviations

DOI10.1145/2499913.2499919MaRDI QIDQ4635225zbMATH OpenOpenAlexFDO

Authors S. Juneja, Peter W. Glynn

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/2499913.2499919

zbMATH Keywords

efficiencylarge deviationsMonte Carlo simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Large deviations (60F10)

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• Sensitivity Ranks by Monte Carlo
• On asymptotically efficient simulation of large deviation probabilities
• Computable exponential bounds for screened estimation and simulation

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