Multilevel Splitting for Estimating Rare Event Probabilities
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DOI: 10.1287/opre.47.4.585
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References listed on IDEAS
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Cited by:
- Zdravko I. Botev & Pierre L'Ecuyer & Gerardo Rubino & Richard Simard & Bruno Tuffin, 2013. "Static Network Reliability Estimation via Generalized Splitting," INFORMS Journal on Computing, INFORMS, vol. 25(1), pages 56-71, February.
- Futalef, Juan-Pablo & Di Maio, Francesco & Zio, Enrico, 2025. "A dynamic importance function for accidental scenarios generation by RESTART in the computational risk assessment of cyber-physical infrastructures," Reliability Engineering and System Safety, Elsevier, vol. 253(C).
- Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
- Krystul, Jaroslav & Le Gland, François & Lezaud, Pascal, 2012. "Sampling per mode for rare event simulation in switching diffusions," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2639-2667.
- Hao Ma & Henk A. P. Blom, 2022. "Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2313-2338, December.
- Kleijnen, Jack P.C. & Ridder, A.A.N. & Rubinstein, R.Y., 2010.
"Variance Reduction Techniques in Monte Carlo Methods,"
Other publications TiSEM
87680d1a-53c1-4107-ada4-7, Tilburg University, School of Economics and Management.
- Kleijnen, Jack P.C. & Ridder, A.A.N. & Rubinstein, R.Y., 2010. "Variance Reduction Techniques in Monte Carlo Methods," Discussion Paper 2010-117, Tilburg University, Center for Economic Research.
- Paredes, R. & Dueñas-Osorio, L. & Meel, K.S. & Vardi, M.Y., 2019. "Principled network reliability approximation: A counting-based approach," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
- Villén-Altamirano, José, 2010. "Importance functions for restart simulation of general Jackson networks," European Journal of Operational Research, Elsevier, vol. 203(1), pages 156-165, May.
- James Hodgson & Adam M. Johansen & Murray Pollock, 2022. "Unbiased Simulation of Rare Events in Continuous Time," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2123-2148, September.
- D.D. Riley & X. Koutsoukos, 2014. "Probabilistic verification of a biodiesel production system using statistical model checking," Mathematical and Computer Modelling of Dynamical Systems, Taylor & Francis Journals, vol. 20(5), pages 452-469, September.
- Lagnoux-Renaudie, Agnès, 2008. "Effective branching splitting method under cost constraint," Stochastic Processes and their Applications, Elsevier, vol. 118(10), pages 1820-1851, October.
- Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
- Nam Kyoo Boots & Perwez Shahabuddin, 2001. "Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions," Tinbergen Institute Discussion Papers 01-012/4, Tinbergen Institute.
- Zdravko I. Botev & Pierre L’Ecuyer, 2020. "Sampling Conditionally on a Rare Event via Generalized Splitting," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 986-995, October.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
- Vergé, Christelle & Morio, Jérôme & Moral, Pierre Del, 2016. "An island particle algorithm for rare event analysis," Reliability Engineering and System Safety, Elsevier, vol. 149(C), pages 63-75.
- Kaynar, Bahar & Ridder, Ad, 2010. "The cross-entropy method with patching for rare-event simulation of large Markov chains," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1380-1397, December.
- Paul Dupuis & Hui Wang, 2007. "Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 723-757, August.
- Tito Homem-de-Mello, 2007. "A Study on the Cross-Entropy Method for Rare-Event Probability Estimation," INFORMS Journal on Computing, INFORMS, vol. 19(3), pages 381-394, August.
- Paul Glasserman & Jeremy Staum, 2001. "Conditioning on One-Step Survival for Barrier Option Simulations," Operations Research, INFORMS, vol. 49(6), pages 923-937, December.
- Pierre L'Ecuyer & Christian Lécot & Bruno Tuffin, 2008. "A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains," Operations Research, INFORMS, vol. 56(4), pages 958-975, August.
- Reuven Rubinstein, 2013. "Stochastic Enumeration Method for Counting NP-Hard Problems," Methodology and Computing in Applied Probability, Springer, vol. 15(2), pages 249-291, June.
- M. Garvels, 2011. "A combined splitting—cross entropy method for rare-event probability estimation of queueing networks," Annals of Operations Research, Springer, vol. 189(1), pages 167-185, September.
- Thomas Dean & Paul Dupuis, 2011. "The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation," Annals of Operations Research, Springer, vol. 189(1), pages 63-102, September.
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Keywords
simulation; efficiency; simulation of rare events by splitting; queues; simulation; simulation of rare events in queues;All these keywords.
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