A variant of importance splitting for rare event estimation

DOI10.1145/1899396.1899401zbMath1490.62210MaRDI QIDQ4635173

Michael Amrein, Hans 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

Monte Carlo methods; Markov chain; tandem queue; robust estimation; rare event; entrance probability; importance splitting

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

90B22: Queues and service in operations research

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