Sampling Conditionally on a Rare Event via Generalized Splitting

DOI10.1287/IJOC.2019.0936MaRDI QIDQ5148182zbMATH OpenOpenAlexFDO

Authors Z. I. Botev, Pierre L'Ecuyer

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

conditional distributionMarkov chain Monte CarloMonte Carlo splittingrare event

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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Cites work

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

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(1)

• Rare-event simulation for neural network and random forest predictors

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