On Lyapunov inequalities and subsolutions for efficient importance sampling

DOI10.1145/2331140.2331141MaRDI QIDQ4635191zbMATH OpenOpenAlexFDO

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

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)

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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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