The theory of direct probability redistribution and its application to rare event simulation

DOI10.1145/333296.333349zbMATH Open1391.65026OpenAlexW2046005796WikidataQ127782683 ScholiaQ127782683MaRDI QIDQ4575339FDOQ4575339

Authors: Zsolt Haraszti, J. Keith Townsend 

Publication date: 13 July 2018

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

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/1022

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zbMATH Keywords

importance samplingaccelerated simulationrare event simulationsplittingqueuingdiscrete event simulationRESTARTdirect probability redistribution

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Queues and service in operations research (90B22)

Cited In (4)

• Improved diffusion Monte Carlo
• Trajectory stratification of stochastic dynamics
• Analysis of an interacting particle method for rare event estimation
• The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation

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