A variant of importance splitting for rare event estimation

DOI10.1145/1899396.1899401zbMATH Open1490.62210OpenAlexW1967621367MaRDI QIDQ4635173FDOQ4635173

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

zbMATH Keywords

Markov chainrobust estimationMonte Carlo methodstandem queuerare evententrance probabilityimportance splitting

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Queues and service in operations research (90B22)

Cited In (13)

• 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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