Asymptotic robustness of estimators in rare-event simulation

ACM Transactions on Modeling and Computer Simulation

Volumn 20, Issue 1, 2010, Pages

  L'Ecuyer, Pierre ^a   Blanchet, Jose H ^b   Tuffin, Bruno ^c   Glynn, Peter W ^d  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b HARVARD UNIVERSITY   (United States)

^c CAMPUS DE BEAULIEU   (France)

^d Stanford University   (United States)

Author keywords

Bounded relative error; Importance sampling; Logarithmic efficiency; Rare event simulation; Robustness; Zero variance approximation

Indexed keywords

ASYMPTOTIC OPTIMALITY; ASYMPTOTIC ROBUSTNESS; BOUNDED RELATIVE ERROR; FAILURE PROBABILITY; FIRST-PASSAGE; HEAVY-TAILED; IMPORTANCE SAMPLING; LYAPUNOV; MARKOVIAN; RANDOM WALK; RARE EVENT SIMULATION; REAL NUMBER; RELATIVE MOMENTS; ROBUSTNESS PROPERTIES; STATE-DEPENDENT; SUFFICIENT CONDITIONS;

EQUIVALENCE CLASSES; ESTIMATION; NUMBER THEORY; PROBABILITY;

ASYMPTOTIC ANALYSIS;

EID: 76849083641     PISSN: 10493301     EISSN: 15581195     Source Type: Journal    
DOI: 10.1145/1667072.1667078     Document Type: Article

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