Importance Sampling for Multi-Constraints Rare Event Probability

DOI10.1007/978-1-4939-2104-1_11zbMath1328.62329arXiv1401.3257OpenAlexW2115307891MaRDI QIDQ5261307

Virgile Caron

Publication date: 3 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3257

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

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