The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation

DOI10.1007/s10479-009-0664-7zbMath1236.60029OpenAlexW2010764906MaRDI QIDQ666351

Juan-Miguel Gracia

Publication date: 8 March 2012

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0664-7

zbMATH Keywords

Monte Carlobranching processlarge deviationsrare event simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of branching processes (60J85) Large deviations (60F10)

Related Items

Analysis of an interacting particle method for rare event estimation ⋮ THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ Improved Diffusion Monte Carlo ⋮ Sensitivity analysis for rare events based on Rényi divergence ⋮ Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ Splitting algorithms for rare event simulation over long time intervals ⋮ Reactive trajectories and the transition path process ⋮ Importance functions for restart simulation of general Jackson networks ⋮ Approximation of the exit probability of a stable Markov modulated constrained random walk

Uses Software

• RESTART

Cites Work

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