Importance Sampling, Large Deviations, and Differential Games
From MaRDI portal
Recommendations
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- Counterexamples in importance sampling for large deviations probabilities
- Dynamic importance sampling for queueing networks
- Importance sampling for multi-constraints rare event probability
- scientific article; zbMATH DE number 1790422
Cited in
(74)- Importance sampling for a Markov modulated queuing network
- The sample size required in importance sampling
- Dynamic importance sampling for uniformly recurrent Markov chains
- Symmetrized importance samplers for stochastic differential equations
- Large deviations for Brownian particle systems with killing
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Approximation of the exit probability of a stable Markov modulated constrained random walk
- A Koopman framework for rare event simulation in stochastic differential equations
- Excessive backlog probabilities of two parallel queues
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Asymptotically optimal importance sampling for Jackson networks with a tree topology
- Optimal importance sampling for Lévy processes
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
- Large deviations and importance sampling for a tandem network with slow-down
- Editorial: rare-event simulation for queues
- Dynamic importance sampling for queueing networks
- Optimal control of multiscale systems using reduced-order models
- Adaptive importance sampling for control and inference
- Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
- Approximation of bounds on mixed-level orthogonal arrays
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Some recent results in rare event estimation
- Moderate deviations for recursive stochastic algorithms
- State-dependent importance sampling for regularly varying random walks
- Importance Sampling and the Cyclic Approach
- Efficient rare-event simulation for perpetuities
- Importance sampling for metastable and multiscale dynamical systems
- Approximation of excessive backlog probabilities of two tandem queues
- Systemic risk and default clustering for large financial systems
- Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing
- An automatic adaptive importance sampling algorithm for molecular dynamics in reaction coordinates
- Exact asymptotics of sample-mean-related rare-event probabilities
- Quantitative differentiation: a general formulation
- Rare event simulation of small noise diffusions
- Moderate deviation principles for importance sampling estimators of risk measures
- Long runs under a conditional limit distribution
- Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- Slip rates and slip modes in an actively mode-locked laser
- Analysis of a splitting estimator for rare event probabilities in Jackson networks
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Variational approach to rare event simulation using least-squares regression
- Moderate deviations-based importance sampling for stochastic recursive equations
- State-independent importance sampling for random walks with regularly varying increments
- Efficient rare event simulation for failure problems in random media
- Importance sampling for multi-constraints rare event probability
- A cross-entropy scheme for mixtures
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- On asymptotically efficient simulation of large deviation probabilities
- Partial differential equations and stochastic methods in molecular dynamics
- On the optimal importance process for piecewise deterministic Markov process
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Importance sampling for McKean-Vlasov SDEs
- Importance sampling for the empirical measure of weakly interacting diffusions
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- Efficient exponential tilting with applications
- Infinite swapping using IID samples
- Importance sampling for a simple Markovian intensity model using subsolutions
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
- State-dependent importance sampling schemes via minimum cross-entropy
- Importance sampling in path space for diffusion processes with slow-fast variables
- Large-sample analysis of cost functionals for inference under the coalescent
- Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations in any space dimension
- Hitting probabilities of constrained random walks representing tandem networks
- Spectrum analysis on linear parabolic partial differential equations driven by a multidimensional bounded stochastic process
- An integrated approach to importance sampling and machine learning for efficient Monte Carlo estimation of distortion risk measures in black-box models
- Escaping from an attractor: Importance sampling and rest points. I.
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Importance sampling for Jackson networks
- The importance sampling technique for understanding rare events in Erdős-Rényi random graphs
- Large deviations for weighted empirical measures arising in importance sampling
- Optimal importance sampling with explicit formulas in continuous time
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
This page was built for publication: Importance Sampling, Large Deviations, and Differential Games
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4659569)
