Markov chain importance sampling with applications to rare event probability estimation
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2117227 (Why is no real title available?)
- A comparison of cross-entropy and variance minimization strategies
- Asymptotic robustness of estimators in rare-event simulation
- Counterexamples in importance sampling for large deviations probabilities
- Efficient Monte Carlo simulation via the generalized splitting method
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Efficient simulation of tail probabilities of sums of correlated lognormals
- Handbook of Monte Carlo Methods
- Importance sampling for sums of random variables with regularly varying tails
- Improved cross-entropy method for estimation
- Introduction to rare event simulation.
- Marginal Likelihood from the Gibbs Output
- Models of network reliability. Analysis, combinatorics, and Monte Carlo.
- Monte Carlo strategies in scientific computing
- Nonparametric Importance Sampling
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Rare Event Simulation using Monte Carlo Methods
- Rare event analysis by Monte Carlo techniques in static models
- Simulation and the Monte Carlo Method
- Stochastic simulation: Algorithms and analysis
Cited in
(27)- On the use of marginal posteriors in marginal likelihood estimation via importance sampling
- Layered adaptive importance sampling
- Scalable Bayesian Regression in High Dimensions With Multiple Data Sources
- Hastings-Metropolis algorithm on Markov chains for small-probability estimation
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Generalized Poststratification and Importance Sampling for Subsampled Markov Chain Monte Carlo Estimation
- Rare-event detection by Quasi-Wang-Landau Monte Carlo sampling with approximate Bayesian computation
- On a Metropolis-Hastings importance sampling estimator
- Quasi-Monte Carlo techniques and rare event sampling
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- Importance resampling for markov chains
- Efficient Monte Carlo simulation via the generalized splitting method
- Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distribution
- Regenerative Markov chain importance sampling
- Multicanonical MCMC for sampling rare events: an illustrative review
- Dynamic importance sampling for uniformly recurrent Markov chains
- The importance Markov chain
- Rare-event simulation for neural network and random forest predictors
- Computing marginal likelihoods via the Fourier integral theorem and pointwise estimation of posterior densities
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
- Zero-Variance Importance Sampling Estimators for Markov Process Expectations
- An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
- Multilevel sequential importance sampling for rare event estimation
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
- Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC
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