Importance Sampling for Failure Probabilities in Computing and Data Transmission

DOI10.1239/jap/1253279851zbMath1173.65005MaRDI QIDQ3182431

Soren Asmussen

Publication date: 8 October 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1253279851

zbMATH Keywords

algorithms; importance sampling; numerical examples; regular variation; Monte Carlo simulation; Gumbel distribution; exponential tilting; geometric sum; Pareto distributions; rare event simulation; compound sum; computer reliability; RESTART; Lundberg's inequality; conditioned limit theorem; communications engineering; integral asymptotics; Cramér root

Mathematics Subject Classification ID

62F25: Parametric tolerance and confidence regions

60F05: Central limit and other weak theorems

62P30: Applications of statistics in engineering and industry; control charts

65C05: Monte Carlo methods

68M20: Performance evaluation, queueing, and scheduling in the context of computer systems

68M15: Reliability, testing and fault tolerance of networks and computer systems

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