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- Publisher Website: 10.1109/WSC.2007.4419627
- Scopus: eid_2-s2.0-49749094028
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Conference Paper: Efficient suboptimal rare-event simulation
Title | Efficient suboptimal rare-event simulation |
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Authors | |
Issue Date | 2007 |
Publisher | IEEE. |
Citation | 2007 Winter Simulation Conference (WSC 2007), Washington, DC, 9-12 December 2007. In Proceedings - Winter Simulation Conference, 2007, p. 389-394 How to Cite? |
Abstract | Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these ideas to complex models, this paper focuses on sub-optimal procedures that can be shown to be much more efficient than conventional crude Monte Carlo. We provide two such examples, one based on "repeated acceptance/rejection" as a mean of computing tail probabilities for hitting time random variables and the other based on filtered conditional Monte Carlo. © 2007 IEEE. |
Persistent Identifier | http://hdl.handle.net/10722/271461 |
ISSN | 2023 SCImago Journal Rankings: 0.272 |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Xiaowei | - |
dc.contributor.author | Blanchet, Jose | - |
dc.contributor.author | Glynn, Peter W. | - |
dc.date.accessioned | 2019-07-02T07:16:07Z | - |
dc.date.available | 2019-07-02T07:16:07Z | - |
dc.date.issued | 2007 | - |
dc.identifier.citation | 2007 Winter Simulation Conference (WSC 2007), Washington, DC, 9-12 December 2007. In Proceedings - Winter Simulation Conference, 2007, p. 389-394 | - |
dc.identifier.issn | 0891-7736 | - |
dc.identifier.uri | http://hdl.handle.net/10722/271461 | - |
dc.description.abstract | Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these ideas to complex models, this paper focuses on sub-optimal procedures that can be shown to be much more efficient than conventional crude Monte Carlo. We provide two such examples, one based on "repeated acceptance/rejection" as a mean of computing tail probabilities for hitting time random variables and the other based on filtered conditional Monte Carlo. © 2007 IEEE. | - |
dc.language | eng | - |
dc.publisher | IEEE. | - |
dc.relation.ispartof | Proceedings - Winter Simulation Conference | - |
dc.title | Efficient suboptimal rare-event simulation | - |
dc.type | Conference_Paper | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1109/WSC.2007.4419627 | - |
dc.identifier.scopus | eid_2-s2.0-49749094028 | - |
dc.identifier.spage | 389 | - |
dc.identifier.epage | 394 | - |
dc.identifier.issnl | 0891-7736 | - |