Importance Splitting for Finite-Time Rare Event Simulation

DOI10.1109/TAC.2017.2758171zbMATH Open1396.65008OpenAlexW2757923034MaRDI QIDQ5375258FDOQ5375258

Authors: Guangxin Jiang, Michael C. Fu 

Publication date: 14 September 2018

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2017.2758171

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32) Continuous-time Markov processes on general state spaces (60J25)

Cited In (1)

• Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities

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