Asymptotic robustness of estimators in rare-event simulation
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Publication:4635146
DOI10.1145/1667072.1667078zbMath1386.65066MaRDI QIDQ4635146
Bruno Tuffin, Pierre L'Ecuyer, Peter W. Glynn, Jose H. Blanchet
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
robustness; importance sampling; bounded relative error; logarithmic efficiency; rare-event simulation; zero-variance approximation
65C40: Numerical analysis or methods applied to Markov chains
60F10: Large deviations
65C99: Probabilistic methods, stochastic differential equations
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