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Volumn 2005, Issue , 2005, Pages 664-671

Importance sampling simulation in the presence of heavy tails

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; POLYNOMIALS; PROBABILITY DISTRIBUTIONS; SERVERS;

EID: 33846682038     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2005.1574307     Document Type: Conference Paper
Times cited : (7)

References (17)
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    • (2005)
    • Ahamed, I.1    Borkar, V.S.2    Juneja, S.3
  • 2
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    • Chichester New York Brisbane Toronto Singapore: John Wiley and Sons
    • Asmussen, S. 1987. Applied probability and queues. Chichester New York Brisbane Toronto Singapore: John Wiley and Sons.
    • (1987) Applied probability and queues
    • Asmussen, S.1
  • 3
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    • Subexponential asymptotics for stochastic processes: Extreme behavior, stationary distributions and first passage probabilities
    • Asmussen, S. 1998. Subexponential asymptotics for stochastic processes: extreme behavior, stationary distributions and first passage probabilities. The Annals of Applied Probability 8:354-374.
    • (1998) The Annals of Applied Probability , vol.8 , pp. 354-374
    • Asmussen, S.1
  • 4
    • 85011457671 scopus 로고    scopus 로고
    • Ruin probability simulation for subexponential claims
    • Asmussen, S., and K. Binswanger. 1997. Ruin probability simulation for subexponential claims. ASTIN Bull 27:297-318.
    • (1997) ASTIN Bull , vol.27 , pp. 297-318
    • Asmussen, S.1    Binswanger, K.2
  • 5
    • 0000209765 scopus 로고    scopus 로고
    • Rare events simulation for heavy-tailed distributions
    • Asmussen, S., K. Binswanger, and B. Hojgaard. 2000. Rare events simulation for heavy-tailed distributions. Bernoulli 6:303-322.
    • (2000) Bernoulli , vol.6 , pp. 303-322
    • Asmussen, S.1    Binswanger, K.2    Hojgaard, B.3
  • 6
    • 3543082222 scopus 로고    scopus 로고
    • Heavy tails, importance sampling and cross-entropy
    • preprint
    • Asmussen, S., D. P. Kroese, and R. Y. Rubinstein. 2005. Heavy tails, importance sampling and cross-entropy, preprint.
    • (2005)
    • Asmussen, S.1    Kroese, D.P.2    Rubinstein, R.Y.3
  • 7
    • 33846684434 scopus 로고    scopus 로고
    • Nonasymptotic optimality of state-independent importance sampling schemes in the presence of heavy tails
    • To appear
    • Bassamboo, A., S. Juneja, and A. Zeevi. 2005. Nonasymptotic optimality of state-independent importance sampling schemes in the presence of heavy tails. OR Letters. To appear.
    • (2005) OR Letters
    • Bassamboo, A.1    Juneja, S.2    Zeevi, A.3
  • 8
    • 33846695643 scopus 로고    scopus 로고
    • Efficient rare event simulation for the maximum of random walk with heavy-tailed increments
    • Ottawa
    • Blanchet, J., and P. W. Glynn. 2005. Efficient rare event simulation for the maximum of random walk with heavy-tailed increments. Applied probability conference, Ottawa.
    • (2005) Applied probability conference
    • Blanchet, J.1    Glynn, P.W.2
  • 9
    • 0034431316 scopus 로고    scopus 로고
    • Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with sub-exponential distributions
    • ed. J. A. Joines, R. R. Barton, K. Kang, and P. A. Fishwick, Orlando, Florida
    • Boots, N., and P. Shahabuddin. 2001. Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with sub-exponential distributions. In Proceedings of the Winter Simulation Conference, ed. J. A. Joines, R. R. Barton, K. Kang, and P. A. Fishwick, 656-665. Orlando, Florida.
    • (2001) Proceedings of the Winter Simulation Conference , pp. 656-665
    • Boots, N.1    Shahabuddin, P.2
  • 12
    • 84976842451 scopus 로고
    • Fast simulation of rare events in queueing and reliability models
    • Heidelberger, P. 1995. Fast simulation of rare events in queueing and reliability models. ACM Trans. Modeling Computer Simulation 5:43-85.
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    • Simulating heavy tailed processes using delayed hazard rate twisting
    • Juneja, S., and P. Shahabuddin. 2002. Simulating heavy tailed processes using delayed hazard rate twisting. ACM TOMACS 12,2:94-118.
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  • 15
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  • 16
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    • Large deviations and efficient simulation of excessive backlogs in a GI/G/m queue
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    • Sadowsky, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.