Regenerative rare events simulation via likelihood ratios

DOI10.2307/3215157zbMath0822.62101OpenAlexW2000550329MaRDI QIDQ4322032

Chia-Li Wang, Reuven Y. Rubinstein, Soren Asmussen

Publication date: 20 March 1995

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

Full work available at URL: https://doi.org/10.2307/3215157

zbMATH Keywords

variance reductionqueueing networksestimation of rare eventsestimation of small probabilitiesparametric change of measure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Applications of statistics (62P99)

Related Items (6)

Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ Analysis of the deviation of the nonstationary availability factor of a restorable system from its stationary value ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ Simulation of monotone failures of a system with different orders of smallness of random variables that determine its functioning ⋮ Regenerative simulation of TES processes

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