Stochastic simulation: Algorithms and analysis
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Publication:2644072
Gaussian processesnumerical integrationstochastic optimizationMonte Carlo methodsrandom number generationMarkov chainsstochastic differential equationsbranching processescomputational efficiencyderivative estimationtextbooknumerical algorithmsstatistical simulationrare-event simulationconvergence propertiesstochastic algorithmsblack-box algorithmsoutput analysissampling strategiessteady state simulationsampling-based methodsvariance-reductionsimulation of queuesLévy processes
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- Rare-event probability estimation with conditional Monte Carlo
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- Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- State-dependent importance sampling for regularly varying random walks
- Denoising Monte Carlo sensitivity estimates
- Exact simulation of IG-OU processes
- DGM: a deep learning algorithm for solving partial differential equations
- Boundary crossing of order statistics point processes
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Chance-constrained problems and rare events: an importance sampling approach
- On the Laplace transform of the lognormal distribution
- Efficient Monte Carlo for high excursions of Gaussian random fields
- A general control variate method for option pricing under Lévy processes
- A large-deviations analysis of Markov-modulated infinite-server queues
- Efficient simulation for dependent rare events with applications to extremes
- Numerical methods for Lévy processes
- Lévy processes with two-sided reflection
- Markov chain Monte Carlo confidence intervals
- Approximating zero-variance importance sampling in a reliability setting
- Deep Learning for Marginal Bayesian Posterior Inference with Recurrent Neural Networks
- A new proof of convergence of MCMC via the ergodic theorem
- Simulation-based confidence bounds for two-stage stochastic programs
- On the tail asymptotics of the area swept under the Brownian storage graph
- Regeneration-enriched Markov processes with application to Monte Carlo
- Multi-element stochastic spectral projection for high quantile estimation
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- On adaptive stratification
- A stochastic quasi-Newton method for large-scale optimization
- A Multilevel Simulation Optimization Approach for Quantile Functions
- Improved cross-entropy method for estimation
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Derivatives of the stochastic growth rate
- Bounded Relative Error Importance Sampling and Rare Event Simulation
- Hybrid scheme for Brownian semistationary processes
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- The sample size required in importance sampling
- Exact simulation of the stationary distribution of the FIFO M/G/c queue: the general case for \(\rho < c\)
- Perturbation analysis of Poisson processes
- Adaptive Bayesian procedures using random series priors
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Evolution of resistance to anti-cancer therapy during general dosing schedules
- Uniformly efficient simulation for extremes of Gaussian random fields
- Integrating location and network restoration decisions in relief networks under uncertainty
- Rare event simulation for processes generated via stochastic fixed point equations
- Efficient rare event simulation for failure problems in random media
- Multidimensional stochastic approximation
- Sensitivity-enhanced generalized polynomial chaos for efficient uncertainty quantification
- Multiresolution functional ANOVA for large-scale, many-input computer experiments
- The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
- Foundations and methods of stochastic simulation. A first course
- Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
- Algorithmic Analysis of the Sparre Andersen Model in Discrete Time
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
- On the optimization of two-class work-conserving parameterized scheduling policies
- Improving the convergence of reversible samplers
- Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
- Using the \(M/G/1\) queue under processor sharing for exact simulation of queues
- New efficient estimators in rare event simulation with heavy tails
- scientific article; zbMATH DE number 5480953 (Why is no real title available?)
- Accelerated gradient methods for nonconvex nonlinear and stochastic programming
- An adaptive zero-variance importance sampling approximation for static network dependability evaluation
- The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
- Sequential Monte Carlo for counting vertex covers in general graphs
- Latent Gaussian random field mixture models
- Handbooks in operations research and management science: Simulation
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Variance reduction using nonreversible Langevin samplers
- Moderate deviation principles for stochastic differential equations with jumps
- Exponential family techniques for the lognormal left tail
- Efficient simulation of tail probabilities of sums of correlated lognormals
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
- Stochastic algorithms
- Efficient importance sampling for binary contingency tables
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- Rare event simulation for a slotted time M/G/s model
- Exact asymptotics of sample-mean-related rare-event probabilities
- Modeling of a diffusion with aggregation: rigorous derivation and numerical simulation
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Importance sampling for metastable and multiscale dynamical systems
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Efficient algorithms for tail probabilities of exchangeable lognormal sums
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- Simulating events of unknown probabilities via reverse time martingales
- A broad view of queueing theory through one issue
- Importance sampling the union of rare events with an application to power systems analysis
- Pricing and risk of swing contracts in natural gas markets
- Editorial: rare-event simulation for queues
- Probabilistic bisection converges almost as quickly as stochastic approximation
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