Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models

DOI10.1016/0378-4754(91)90020-4zbMATH Open0722.68103OpenAlexW2063141314MaRDI QIDQ756445FDOQ756445

Authors: Reuven Y. Rubinstein 

Publication date: 1991

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(91)90020-4

Recommendations

• Importance sampling and its optimality for stochastic simulation models
• Importance sampling for Bayesian sensitivity analysis
• Importance Sampling for Stochastic Simulations
• Importance sampling for simulations of moderate deviation probabilities of statistics
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• The score function approach for sensitivity analysis of computer simulation models
• Estimates and confidence intervals for importance sampling sensitivity analysis
• Simulation of diffusions by means of importance sampling paradigm

zbMATH Keywords

modified importance sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Cites Work

• Title not available (Why is that?)
• A central-limit-theorem version of \(L=\lambda W\)
• Importance sampling in the Monte Carlo study of sequential tests
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Importance Sampling for Stochastic Simulations
• Title not available (Why is that?)
• Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance
• Monte Carlo Estimation under Different Distributions Using the Same Simulation
• Title not available (Why is that?)
• Indirect Estimation Via L = λW
• Title not available (Why is that?)
• Sensitivity estimates based on one realization of a stochastic system†
• Title not available (Why is that?)
• The score function approach for sensitivity analysis of computer simulation models
• Sensitivity analysis and the ``what if problem in simulation analysis
• The Monte Carlo method
• Large deviations and rare events in the study of stochastic algorithms
• Variance Reduction Techniques for Digital Simulation
• A perspective on variance reduction in dynamic simulation experiments
• Title not available (Why is that?)
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Planning Queueing Simulations

Cited In (3)

• Sensitivity Analysis Using the Monte Carlo Acceptance-Rejection Method
• The score function approach for sensitivity analysis of computer simulation models
• Sensitivity analysis and the ``what if problem in simulation analysis

This page was built for publication: Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756445)