Introduction to rare event simulation.
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importance sampling estimationslarge deviation theoryqueueing systemsrandom number generationrare event simulationsequence of \(R\)-valued random variablestextbookvariance reduction technique
Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Random number generation in numerical analysis (65C10)
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- Large deviations for the empirical measure of the zig-zag process
- Rare event simulation for electronic circuit design
- Importance sampling for maxima on trees
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- Introduction to dynamical large deviations of Markov processes
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- A population balance-Monte Carlo method for particle coagulation in spatially inhomogeneous systems
- Correlations in nonequilibrium steady states of random halves models
- Efficient importance sampling for binary contingency tables
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- Editorial: rare-event simulation for queues
- Determination of sample size in a rare event simulation method
- Polynomial chaos based uncertainty quantification in Hamiltonian, multi-time scale, and chaotic systems
- Interacting particle system based estimation of reach probability of general stochastic hybrid systems
- Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
- Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
- Incorporating radiation in noise-induced phase evolution of optical solitons
- Statistical analysis of a dynamic model for dietary contaminant exposure
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Importance sampling for determining SRAM yield and optimization with statistical constraint
- Chance-constrained problems and rare events: an importance sampling approach
- Improved diffusion Monte Carlo
- An iterative stochastic method for simulating large deviations and rare events
- Large Deviation Results for Wave Governed Random Motions Driven by Semi-Markov Processes
- Probabilistic safety analysis of the collision between a space debris and a satellite with an island particle algorithm
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
- Variational and optimal control representations of conditioned and driven processes
- Computation of credit portfolio loss distribution by a cross entropy method
- Data construction method for the analysis of the spatial distribution of disastrous earthquakes in Taiwan
- Rare Event Simulation Using Reversible Shaking Transformations
- Some recent results in rare event estimation
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
- State-dependent importance sampling for regularly varying random walks
- Rare Event Simulation using Monte Carlo Methods
- Importance sampling in rare event simulation
- Rare event simulation and counting problems
- An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
- An efficient surrogate-based method for computing rare failure probability
- Efficient Monte Carlo for high excursions of Gaussian random fields
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- On an automatic and optimal importance sampling approach with applications in finance
- Systemic risk and default clustering for large financial systems
- Editor's introduction: Special issue honoring Perwez Shahabuddin
- Some Numerical Methods for Rare Events Simulation and Analysis
- Multicanonical MCMC for sampling rare events: an illustrative review
- Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Quantitative differentiation: a general formulation
- Rare event simulation of small noise diffusions
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- Long runs under a conditional limit distribution
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- Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
- Nonequilibrium Markov processes conditioned on large deviations
- Computing return times or return periods with rare event algorithms
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
- Ensemble approximate control variate estimators: applications to multifidelity importance sampling
- Optimization under rare chance constraints
- Estimating failure probabilities
- Analysis and simulation of extremes and rare events in complex systems
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- An \(hp\)-adaptive minimum action method based on a posteriori error estimate
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Variational representations and neural network estimation of Rényi divergences
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Numerical computation of rare events via large deviation theory
- Rare-event simulation for many-server queues
- A cross-entropy scheme for mixtures
- RARE EVENT SIMULATION
- Importance sampling estimation of joint default probability under structural-form models with stochastic correlation
- Analysis and approximation of rare events. Representations and weak convergence methods
- Adaptive multilevel splitting: historical perspective and recent results
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- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Entropy of sharp restart
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Rethinking the Effective Sample Size
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
- A large deviation principle for the empirical measures of Metropolis-Hastings chains
- Generative methods for sampling transition paths in molecular dynamics
- Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process
- The cross-entropy method with patching for rare-event simulation of large Markov chains
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