Asymptotic simulation efficiency based on large deviations

DOI10.1145/2499913.2499919zbMATH Open1386.65049OpenAlexW2016168378MaRDI QIDQ4635225FDOQ4635225

Authors: S. Juneja, Peter W. Glynn 

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/10.1145/2499913.2499919

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zbMATH Keywords

efficiencylarge deviationsMonte Carlo simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Large deviations (60F10)

Cited In (3)

• Sensitivity Ranks by Monte Carlo
• On asymptotically efficient simulation of large deviation probabilities
• Computable exponential bounds for screened estimation and simulation

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