Importance Sampling for Stochastic Simulations

DOI10.1287/MNSC.35.11.1367zbMATH Open0691.65107OpenAlexW2087018957WikidataQ100709310 ScholiaQ100709310MaRDI QIDQ3033291FDOQ3033291

Peter W. Glynn, Donald L. Iglehart

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)

Cited In (75)

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• Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems
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• Optimal importance sampling for Markovian systems with applications to tandem queues
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• Estimating the permanent by importance sampling from a finite population
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• Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models
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• Importance Sampling of Test Cases in Markovian Software Usage Models
• Simulating the ruin probability of risk processes with delay in claim settlement
• Permuted derivative and importance-sampling estimators for regenerative simulations.
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• Monte Carlo methods for pricing financial options
• 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
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• 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
• The Power of Alternative Kolmogorov-Smirnov Tests Based on Transformations of the Data
• Multi-stage stochastic linear programs for portfolio optimization
• Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
• A risk model with renewal shot-noise Cox process
• Importance sampling for continuous time Markov chains and applications to fluid models
• Exact variance-reduced simulation of lattice continuous-time Markov chains with applications in reaction networks
• Simulation-based confidence bounds for two-stage stochastic programs
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• Approximating zero-variance importance sampling in a reliability setting
• Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
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• A hybrid fluid-kinetic model for hydrogenic atoms in the plasma edge of tokamaks based on a micro-macro decomposition of the kinetic equation
• Sensitivity analysis of discrete event systems by the push out method
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• Terminating renewal processes: analytical-statistical estimates and their efficiency
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• Estimates and confidence intervals for importance sampling sensitivity analysis
• Numerical methods for Lévy processes
• Sequential Monte Carlo Methods for Option Pricing
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
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• Simulating level-crossing probabilities by importance sampling
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• Balanced importance resampling for Markov chains
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
• Importance sampling and its optimality for stochastic simulation models
• Parameter estimation in stochastic scenario generation systems
• Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations
• Point process-based Monte Carlo estimation
• Simulation of diffusions by means of importance sampling paradigm
• 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
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• Simulation of monotone failures of a system with different orders of smallness of random variables that determine its functioning
• Variance Reduction for Simulating Transient GI/G/1 Behavior
• On Generalized Bellman Equations and Temporal-Difference Learning
• SMT sampling via model-guided approximation
• Approximate marginal densities of independent parameters
• Stochastic adaptive selection of weights in the simulated tempering algorithm
• Solutions of the First-Passage Problem by Importance Sampling
• Rare-event simulation for neural network and random forest predictors
• Numerical simulations of stochastic inflation using importance sampling
• A moment quadrature method for uncertainty quantification of three-dimensional crack propagation via extremely few model runs
• Efficient exponential tilting with applications
• On the simulation of Markov chain steady-state distribution using CFTP algorithm

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