Rare events, splitting, and quasi-Monte Carlo
From MaRDI portal
Publication:3549155
DOI10.1145/1225275.1225280zbMath1281.62085OpenAlexW1990674830MaRDI QIDQ3549155
Bruno Tuffin, Valérie Demers, Pierre L'Ecuyer
Publication date: 21 December 2008
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1225275.1225280
Markov chainsplittingvariance reductionQuasi-Monte Carlohighly-reliable Markovian systemsRESTART, importance sampling
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (20)
Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters ⋮ Bounding rare event probabilities in computer experiments ⋮ Counting with Combined Splitting and Capture–Recapture Methods ⋮ On the reliability estimation of stochastic binary systems ⋮ Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities ⋮ A rare event approach to high-dimensional approximate Bayesian computation ⋮ The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation ⋮ A combined splitting-cross entropy method for rare-event probability estimation of queueing networks ⋮ Sampling Conditionally on a Rare Event via Generalized Splitting ⋮ The Splitting Method for Decision Making ⋮ Sorting methods and convergence rates for Array-RQMC: some empirical comparisons ⋮ Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities ⋮ HOW TO GENERATE UNIFORM SAMPLES ON DISCRETE SETS USING THE SPLITTING METHOD ⋮ Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks ⋮ Efficient Monte Carlo simulation via the generalized splitting method ⋮ Risk averse stochastic structural topology optimization ⋮ On the Use of Smoothing to Improve the Performance of the Splitting Method ⋮ Importance functions for restart simulation of general Jackson networks ⋮ Sequential stratified splitting for efficient Monte Carlo integration ⋮ Searching for targets of nonuniform size using mixing transformations: constructive upper bounds and limit laws
This page was built for publication: Rare events, splitting, and quasi-Monte Carlo