On the Use of Smoothing to Improve the Performance of the Splitting Method

DOI10.1080/15326349.2011.614188zbMath1236.65064OpenAlexW1975061825MaRDI QIDQ3113806

Frédéric Cérou, Arnaud Guyader, Radislav Vaisman, Reuven Y. Rubinstein

Publication date: 25 January 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.614188

zbMATH Keywords

combinatorial optimizationsplittingcountingrare event

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Integer programming (90C10) Combinatorial optimization (90C27) Combinatorial probability (60C05) Randomized algorithms (68W20)

Related Items (2)

Simulation and estimation of extreme quantiles and extreme probabilities ⋮ Rare event simulation and splitting for discontinuous random variables

Cites Work

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• Asymptotic Statistics
• A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
• Simulation and the Monte Carlo Method
• Probability and Computing

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