Performance analysis conditioned on rare events: an adaptive simulation scheme

DOI10.4310/CIS.2003.V3.N4.A3MaRDI QIDQ817405zbMATH OpenOpenAlexFDO

Authors Vivek Borkar, S. Juneja, Arzad A. Kherani

Publication date 16 March 2006

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.cis/1119639799

zbMATH Keywords

adaptive simulationconditional performance analysismultiplicative Poisson equationreinforcement learningstochastic approximation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Computational learning theory (68Q32) Learning and adaptive systems in artificial intelligence (68T05) Sampling theory in information and communication theory (94A20)

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Cited in

(8)

• Adaptive sampling of large deviations
• Large deviations of empirical measures of diffusions in weighted topologies
• Large deviations conditioned on large deviations. I: Markov chain and Langevin equation
• Variational and optimal control representations of conditioned and driven processes
• Adaptive simulation using perfect control variates
• Nonequilibrium Markov processes conditioned on large deviations
• Rare-event simulation for neural network and random forest predictors
• Self-interacting processes via Doob conditioning

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