Importance Sampling for Stochastic Simulations

DOI10.1287/MNSC.35.11.1367MaRDI QIDQ3033291zbMATH OpenOpenAlexWikidataFDO

Authors Donald L. Iglehart, Peter W. Glynn

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.11.1367

zbMATH Keywords

momentssimulationnumerical examplesvariance reductioncontinuous-time Markov chainsstochastic systemsMonte Carlo algorithmssemi-Markov processesImportance samplingresponse surface estimationDiscrete-time Markov chainsestimation of integralsGI/G/1 queueing problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical quadrature and cubature formulas (65D32) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(95)

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• Concentration of contractive stochastic approximation: additive and multiplicative noise
• M-PCM-OFFD: an effective output statistics estimation method for systems of high dimensional uncertainties subject to low-order parameter interactions
• Simulation of monotone failures of a system with different orders of smallness of random variables that determine its functioning
• Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems
• Optimal importance sampling for Markovian systems with applications to tandem queues
• Uncertainty quantification of stochastic simulation for black-box computer experiments
• A bi-fidelity surrogate modeling approach for uncertainty propagation in three-dimensional hemodynamic simulations
• k-d darts, sampling by k-dimensional flat searches
• Estimating the permanent by importance sampling from a finite population
• An incremental off-policy search in a model-free Markov decision process using a single sample path
• Estimation of steady-state quantities of an HMM with some rarely generated emissions
• Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• On the optimal importance process for piecewise deterministic Markov process
• Variance Reduction for Simulating Transient GI/G/1 Behavior
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Editor's introduction: Special issue honoring Perwez Shahabuddin
• Importance sampling algorithms for first passage time probabilities in the infinite server queue
• Finding the conjugate of Markov fluid processes
• Simulating the ruin probability of risk processes with delay in claim settlement
• Importance Sampling of Test Cases in Markovian Software Usage Models
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Importance sampling for maxima on trees
• Monte Carlo methods for pricing financial options
• On the Choice of Alternative Measures in Importance Sampling with Markov Chains
• Optimisation of interacting particle systems for rare event estimation
• Decomposition methods in stochastic programming
• Variance-reduced simulation of lattice discrete-time Markov chains with applications in reaction networks
• Ordinal optimization approach to rare event probability problems
• Strategic financial risk management and operations research
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• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
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• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• Approximate marginal densities of independent parameters
• Sequential Monte Carlo methods for option pricing
• Multi-stage stochastic linear programs for portfolio optimization
• Exponential families and regression in the Monte Carlo study of queues and random walks
• Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
• A risk model with renewal shot-noise Cox process
• Stochastic adaptive selection of weights in the simulated tempering algorithm
• Importance sampling for continuous time Markov chains and applications to fluid models
• Nearly optimal importance sampling for Monte Carlo simulation of loss systems
• Exact variance-reduced simulation of lattice continuous-time Markov chains with applications in reaction networks
• Simulation-based confidence bounds for two-stage stochastic programs
• A deep reinforcement learning approach for dynamic job-shop scheduling problem considering time variable and new job arrivals
• Solutions of the First-Passage Problem by Importance Sampling
• Importance sampling for markov chains: asymptotics for the variance
• Approximating zero-variance importance sampling in a reliability setting
• On the optimal Markov chain of IS simulation
• Testing the assumptions behind importance sampling
• Rare-event simulation for neural network and random forest predictors
• Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
• Numerical simulations of stochastic inflation using importance sampling
• A hybrid fluid-kinetic model for hydrogenic atoms in the plasma edge of tokamaks based on a micro-macro decomposition of the kinetic equation
• Efficiency improvement techniques
• Sensitivity analysis of discrete event systems by the push out method
• Intelligent control and optimization under uncertainty with application to hydro power
• Efficient importance sampling for binary contingency tables
• Importance sampling for McKean-Vlasov SDEs
• MTTF Estimation using importance sampling on Markov models
• Terminating renewal processes: analytical-statistical estimates and their efficiency
• A moment quadrature method for uncertainty quantification of three-dimensional crack propagation via extremely few model runs
• Black-box rare-event simulation for safety testing of AI agents: an overview
• Rare event simulation for large-scale structures with local nonlinearities
• Efficient exponential tilting with applications
• Estimates and confidence intervals for importance sampling sensitivity analysis
• Numerical methods for Lévy processes
• scientific article; zbMATH DE number 1054684 (Why is no real title available?)
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
• Interest Rate Risk Management
• Importance sampling for the random phase Gaussian channel
• Simulating level-crossing probabilities by importance sampling
• Examples comparing importance sampling and the Metropolis algorithm
• Statistical theory powering data science
• The power of alternative Kolmogorov-Smirnov tests based on transformations of the data
• Balanced importance resampling for Markov chains
• Point process-based Monte Carlo estimation
• Importance sampling and its optimality for stochastic simulation models
• Parameter estimation in stochastic scenario generation systems
• Simulation of diffusions by means of importance sampling paradigm
• On the simulation of Markov chain steady-state distribution using CFTP algorithm
• Analysis of the deviation of the nonstationary availability factor of a restorable system from its stationary value
• Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
• MAKING SIMULATIONS MORE EFFICIENT WHEN ANALYZING POISSON ARRIVAL SYSTEMS AND MEANS OF MONOTONE FUNCTIONS

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