Asymptotic robustness of estimators in rare-event simulation

DOI10.1145/1667072.1667078zbMath1386.65066OpenAlexW2118479715MaRDI 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

zbMATH Keywords

robustnessimportance samplingbounded relative errorlogarithmic efficiencyrare-event simulationzero-variance approximation

Mathematics Subject Classification ID

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

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