Importance Sampling for Stochastic Simulations

DOI10.1287/mnsc.35.11.1367zbMath0691.65107OpenAlexW2087018957WikidataQ100709310 ScholiaQ100709310MaRDI QIDQ3033291

Donald L. Iglehart, Peter W. Glynn

Publication date: 1989

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.35.11.1367

zbMATH Keywords

momentssimulationnumerical examplesvariance reductionsemi-Markov processescontinuous-time Markov chainsMonte Carlo algorithmsstochastic systemsImportance samplingresponse surface estimationDiscrete-time Markov chainsestimation of integralsGI/G/1 queueing problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical quadrature and cubature formulas (65D32) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic methods, stochastic differential equations (65C99)

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