Ordinal optimization approach to rare event probability problems

DOI10.1007/BF01439043zbMath0841.65147OpenAlexW2042613175MaRDI QIDQ1901415

Yu-Chi Ho, Michael E. Larson

Publication date: 1 July 1996

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01439043

zbMATH Keywords

ordinal optimizationrare event simulationpseudo-random number generatorsurrogate problemperformance estimatessimulation budget reduction

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic network models in operations research (90B15) Special processes (60K99) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Standard clock simulation and ordinal optimization applied to admission control in integrated communication networks ⋮ An illustrative case study on application of learning based ordinal optimization approach to complex deterministic problem ⋮ Multi-objective ordinal optimization for simulation optimization problems ⋮ Ordinal optimization with subset selection rule

Cites Work

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• Ordinal optimization of DEDS
• Importance Sampling for Stochastic Simulations
• A quick simulation method for excessive backlogs in networks of queues
• Optimally efficient estimation of the statistics of rare events in queueing networks

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