A variant of importance splitting for rare event estimation

DOI10.1145/1899396.1899401zbMath1490.62210OpenAlexW1967621367MaRDI 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 methodsMarkov chaintandem queuerobust estimationrare 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)

Related Items (11)

Twisting the alive particle filter ⋮ The Alive Particle Filter and Its Use in Particle Markov Chain Monte Carlo ⋮ Unbiased simulation of rare events in continuous time ⋮ Particle filters ⋮ Approximate Bayesian Computation for a Class of Time Series Models ⋮ On the reliability estimation of stochastic binary systems ⋮ Adaptive multilevel splitting: Historical perspective and recent results ⋮ Rare event simulation for steady-state probabilities via recurrency cycles ⋮ Rare event simulation and splitting for discontinuous random variables ⋮ Network impact on persistence in a finite population dynamic diffusion model: application to an emergent seed exchange network ⋮ A Large-Deviation-Based Splitting Estimation of Power Flow Reliability

This page was built for publication: A variant of importance splitting for rare event estimation