Importance sampling for sums of random variables with regularly varying tails

DOI10.1145/1243991.1243995zbMATH Open1390.65002OpenAlexW2031575583MaRDI QIDQ4565385FDOQ4565385

Authors: Paul Dupuis, Hui Wang, Kevin Leder 

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1243991.1243995

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zbMATH Keywords

variance reductionrare eventsbounded relative errorregularly varying tailsdynamic importance samplingasymptotically optimal relative error

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cited In (25)

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• Efficient rare-event simulation for the maximum of heavy-tailed random walks
• Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
• Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune\dots
• State-independent importance sampling for random walks with regularly varying increments
• Approximation of the exit probability of a stable Markov modulated constrained random walk
• Excessive backlog probabilities of two parallel queues
• Estimation and approximation of densities of i.i.d. sums via importance sampling.
• Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
• On the generalization of the hazard rate twisting-based simulation approach
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
• Markov chain importance sampling with applications to rare event probability estimation
• Importance sampling for a simple Markovian intensity model using subsolutions
• Approximation of excessive backlog probabilities of two tandem queues
• Rare-event simulation for neural network and random forest predictors
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
• On the inefficiency of state-independent importance sampling in the presence of heavy tails
• Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
• State-dependent importance sampling for regularly varying random walks
• Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables

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