Introduction to rare event simulation.
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random number generationqueueing systemstextbookrare event simulationlarge deviation theoryvariance reduction techniqueimportance sampling estimationssequence of \(R\)-valued random variables
Random number generation in numerical analysis (65C10) Large deviations (60F10) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Queueing theory (aspects of probability theory) (60K25)
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- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Efficient Monte Carlo for high excursions of Gaussian random fields
- Analysis and simulation of extremes and rare events in complex systems
- Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
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- An efficient surrogate-based method for computing rare failure probability
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- Some Numerical Methods for Rare Events Simulation and Analysis
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- A pentatonic classification of extreme events
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- Introduction to dynamical large deviations of Markov processes
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- The cross-entropy method with patching for rare-event simulation of large Markov chains
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- Markov chain importance sampling with applications to rare event probability estimation
- Quantitative differentiation: a general formulation
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- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
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