A variant of importance splitting for rare event estimation: fixed number of successes

DOI10.1145/1899396.1899401MaRDI QIDQ4635173zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(13)

• Particle filters
• Adaptive multilevel splitting: historical perspective and recent results
• Approximate Bayesian Computation for a Class of Time Series Models
• Twisting the alive particle filter
• A large-deviation-based splitting estimation of power flow reliability
• On the reliability estimation of stochastic binary systems
• Fast random integer generation in an interval
• Unbiased simulation of rare events in continuous time
• The alive particle filter and its use in particle Markov chain Monte Carlo
• 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
• Network impact on persistence in a finite population dynamic diffusion model: application to an emergent seed exchange network

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