On Lyapunov inequalities and subsolutions for efficient importance sampling

DOI10.1145/2331140.2331141zbMATH Open1490.62211OpenAlexW2098251485MaRDI QIDQ4635191FDOQ4635191

Authors: Jose 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

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zbMATH Keywords

importance samplingvariance reductionrare eventsIsaacs equationLyapunov inequalitiestandem queue network

Mathematics Subject Classification ID

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

Cited In (12)

• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
• Excessive backlog probabilities of two parallel queues
• Infinite swapping using IID samples
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Rare Event Simulation Using Reversible Shaking Transformations
• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Importance sampling for a simple Markovian intensity model using subsolutions
• Importance sampling for metastable and multiscale dynamical systems
• 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
• The sample size required in importance sampling

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