Asymptotic robustness of estimators in rare-event simulation

DOI10.1145/1667072.1667078MaRDI QIDQ4635146zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

importance samplingrobustnessbounded relative errorlogarithmic efficiencyrare-event simulationzero-variance approximation

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Probabilistic methods, stochastic differential equations (65C99) Large deviations (60F10)

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Cited in

(11)

• Markov chain importance sampling with applications to rare event probability estimation
• The square root rule for adaptive importance sampling
• Robustness properties and confidence interval reliability issues
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• Performance evaluation of an importance sampling technique in a Jackson network
• Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
• Some recent results in rare event estimation
• Rare-event simulation for neural network and random forest predictors
• A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
• An adaptive zero-variance importance sampling approximation for static network dependability evaluation
• An improved ``walk on equations Monte Carlo algorithm for linear algebraic systems

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