Rate-tilting for fast simulation of level/phase processes

DOI10.1016/j.laa.2004.02.001zbMath1050.65008OpenAlexW1972805479MaRDI QIDQ1434428

Winfried K. Grassmann, Jingxiang Luo

Publication date: 4 August 2004

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2004.02.001

zbMATH Keywords

simulationimportance samplingrare eventsefficiencyMarkov processgeneralized eigenvalue problemQBD processlevel/phase processrate-tiltingrelative estimation error

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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