How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation

DOI10.1080/15326340903291248zbMath1181.60076OpenAlexW2047880207MaRDI QIDQ3653121

Peter W. Glynn, Reuven Y. Rubinstein

Publication date: 18 December 2009

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

Full work available at URL: http://www.tandfonline.com/doi/abs/10.1080/15326340903291248

zbMATH Keywords

simulationcross-entropyscreeningrare-event probability estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic processes (60G99)

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Cites Work

• Unnamed Item
• Simulation and the Monte Carlo Method
• Monte Carlo strategies in scientific computing

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