A variant of importance splitting for rare event estimation: fixed number of successes
DOI10.1145/1899396.1899401zbMATH Open1490.62210OpenAlexW1967621367MaRDI QIDQ4635173FDOQ4635173
Authors: Michael Amrein, H. R. Künsch 
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/10.1145/1899396.1899401
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Markov chainrobust estimationMonte Carlo methodstandem queuerare evententrance probabilityimportance splitting
Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Queues and service in operations research (90B22)
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- Particle filters
- Approximate Bayesian Computation for a Class of Time Series Models
- Twisting the alive particle filter
- On the reliability estimation of stochastic binary systems
- Fast random integer generation in an interval
- Unbiased simulation of rare events in continuous time
- Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
- Rare event simulation and splitting for discontinuous random variables
- Rare event simulation for steady-state probabilities via recurrency cycles
- Adaptive multilevel splitting: Historical perspective and recent results
- Network impact on persistence in a finite population dynamic diffusion model: application to an emergent seed exchange network
- The Alive Particle Filter and Its Use in Particle Markov Chain Monte Carlo
- A Large-Deviation-Based Splitting Estimation of Power Flow Reliability
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