Small variance estimators for rare event probabilities
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Publication:4635210
DOI10.1145/2414416.2414423zbMATH Open1386.65013OpenAlexW2124318305MaRDI QIDQ4635210FDOQ4635210
Authors: M. Broniatowski, Virgile Caron 
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/10.1145/2414416.2414423
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Cited In (18)
- Improved algorithms for rare event simulation with heavy tails
- Importance sampling the union of rare events with an application to power systems analysis
- Sensitivity analysis for rare events based on Rényi divergence
- State-independent importance sampling for random walks with regularly varying increments
- Exact asymptotics of sample-mean-related rare-event probabilities
- Rare-event probability estimation with conditional Monte Carlo
- Chance-constrained problems and rare events: an importance sampling approach
- Infinite swapping using IID samples
- Asymptotic robustness of estimators in rare-event simulation
- Some recent results in rare event estimation
- Importance sampling in rare event simulation
- Estimation of rare event probabilities and quantiles applied to an aerospace vehicle fall-back zone analysis
- Long runs under a conditional limit distribution
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- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Importance sampling for multi-constraints rare event probability
- Efficient simulation for dependent rare events with applications to extremes
- Rare events in random geometric graphs
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