On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling

DOI10.1145/2331140.2331141zbMath1490.62211OpenAlexW2098251485MaRDI QIDQ4635191

Jose H. Blanchet, Peter W. Glynn, Kevin Leder

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/10.1145/2331140.2331141

zbMATH Keywords

importance samplingrare eventsvariance reductionIsaacs equationLyapunov inequalitiestandem queue network

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sums of independent random variables; random walks (60G50) Queues and service in operations research (90B22)

Related Items (9)

Rare Event Simulation Using Reversible Shaking Transformations ⋮ Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ The sample size required in importance sampling ⋮ Excessive backlog probabilities of two parallel queues ⋮ Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations ⋮ Moderate deviations for recursive stochastic algorithms ⋮ Moderate deviation principles for importance sampling estimators of risk measures ⋮ Moderate deviations-based importance sampling for stochastic recursive equations

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