Asymptotic robustness of estimators in rare-event simulation
DOI10.1145/1667072.1667078zbMATH Open1386.65066OpenAlexW2118479715MaRDI QIDQ4635146FDOQ4635146
Authors: Pierre L'Ecuyer, Bruno Tuffin, Jose Blanchet, Peter W. Glynn 
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1667072.1667078
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Numerical analysis or methods applied to Markov chains (65C40) Probabilistic methods, stochastic differential equations (65C99) Large deviations (60F10)
Cited In (11)
- A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
- Performance evaluation of an importance sampling technique in a Jackson network
- An improved ``walk on equations Monte Carlo algorithm for linear algebraic systems
- Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
- The square root rule for adaptive importance sampling
- Some recent results in rare event estimation
- The cross-entropy method with patching for rare-event simulation of large Markov chains
- Markov chain importance sampling with applications to rare event probability estimation
- Robustness properties and confidence interval reliability issues
- An adaptive zero-variance importance sampling approximation for static network dependability evaluation
- Rare-event simulation for neural network and random forest predictors
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