The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation

DOI10.1007/S10479-009-0664-7zbMATH Open1236.60029OpenAlexW2010764906MaRDI QIDQ666351FDOQ666351

Authors: Juan-Miguel Gracia 

Publication date: 8 March 2012

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0664-7

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zbMATH Keywords

Monte Carlolarge deviationsbranching processrare event simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Applications of branching processes (60J85)

Cites Work

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• Stochastic simulation: Algorithms and analysis
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• Minimal Entropy Approximations and Optimal Algorithms
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Markov Chains
• Computable bounds for geometric convergence rates of Markov chains
• Multilevel splitting for estimating rare event probabilities
• Rare events, splitting, and quasi-Monte Carlo
• A viscosity solution approach to the asymptotic analysis of queueing systems
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Title not available (Why is that?)
• A large deviations perspective on the efficiency of multilevel splitting
• The theory of direct probability redistribution and its application to rare event simulation
• Rare event restart simulation of two-stage networks
• Lectures on Monte Carlo methods
• Importance sampling for Jackson networks
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Dynamic importance sampling for queueing networks
• Importance sampling for a Markov modulated queuing network
• The estimation of standard errors in Monte Carlo simulation experiments

Cited In (13)

• Sensitivity analysis for rare events based on Rényi divergence
• On the efficiency of RESTART for multidimensional state systems
• Rare event restart simulation of two-stage networks
• Approximation of the exit probability of a stable Markov modulated constrained random walk
• Splitting algorithms for rare event simulation over long time intervals
• Improved diffusion Monte Carlo
• Splitting algorithms for rare events of semimartingale reflecting Brownian motions
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Convergence of the population dynamics algorithm in the Wasserstein metric
• The theory of direct probability redistribution and its application to rare event simulation
• Analysis of an interacting particle method for rare event estimation
• Importance functions for restart simulation of general Jackson networks
• Reactive trajectories and the transition path process

Uses Software

• RESTART

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