Sampling Conditionally on a Rare Event via Generalized Splitting

DOI10.1287/IJOC.2019.0936OpenAlexW3014559758MaRDI QIDQ5148182

Pierre L'Ecuyer, Zdravko I. Botev

Publication date: 1 February 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.03566

zbMATH Keywords

Markov chain Monte Carloconditional distributionrare eventMonte Carlo splitting

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cites Work

• Unnamed Item
• An adaptive zero-variance importance sampling approximation for static network dependability evaluation
• Unbiasedness of some generalized adaptive multilevel splitting algorithms
• Sequential Monte Carlo for rare event estimation
• Efficient Monte Carlo simulation via the generalized splitting method
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• On the density of families of sets
• Multilevel Splitting for Estimating Rare Event Probabilities
• Handbook of Monte Carlo Methods
• Rare events, splitting, and quasi-Monte Carlo
• The Bayesian Lasso
• Particle Markov Chain Monte Carlo Methods
• Combinatorial methods in density estimation

This page was built for publication: Sampling Conditionally on a Rare Event via Generalized Splitting