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Volumn 25, Issue 5, 2015, Pages 2909-2958

Escaping from an attractor: Importance sampling and rest points i

Author keywords

Attractors; Equilibrium points; Importance sampling; Large deviations; Monte Carlo methods

Indexed keywords


EID: 84941585040     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/14-AAP1064     Document Type: Article
Times cited : (36)

References (12)
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  • 3
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    • Importance sampling for weighted-serve-thelongest-queue
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    • DUPUIS, P., LEDER, K. andWANG, H. (2009). Importance sampling for weighted-serve-thelongest-queue. Math. Oper. Res. 34 642-660. MR2555340
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    • Dupuis, P.1    Leder, K.2    Wang, H.3
  • 4
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    • Dynamic importance sampling for queueing networks
    • MR2344308
    • DUPUIS, P., SEZER, A. D. andWANG, H. (2007). Dynamic importance sampling for queueing networks. Ann. Appl. Probab. 17 1306-1346. MR2344308
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  • 5
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    • Importance sampling for multiscale diffusions
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    • DUPUIS, P., SPILIOPOULOS, K. and WANG, H. (2012). Importance sampling for multiscale diffusions. Multiscale Model. Simul. 10 1-27. MR2902596
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    • Dupuis, P.1    Spiliopoulos, K.2    Wang, H.3
  • 6
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    • Importance sampling, large deviations, and differential games
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    • DUPUIS, P. and WANG, H. (2004). Importance sampling, large deviations, and differential games. Stoch. Stoch. Rep. 76 481-508. MR2100018
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    • Dupuis, P.1    Wang, H.2
  • 7
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    • Subsolutions of an isaacs equation and efficient schemes for importance sampling
    • MR2348245
    • DUPUIS, P. and WANG, H. (2007). Subsolutions of an Isaacs equation and efficient schemes for importance sampling. Math. Oper. Res. 32 723-757. MR2348245
    • (2007) Math. Oper. Res , vol.32 , pp. 723-757
    • Dupuis, P.1    Wang, H.2
  • 8
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    • Importance sampling for jackson networks
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    • DUPUIS, P. andWANG, H. (2009). Importance sampling for Jackson networks. Queueing Syst. 62 113-157. MR2520745
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  • 11
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    • Analysis of an importance sampling estimator for tandem queues
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    • (1995) ACM Trans. Model. Comput. Simul , vol.4 , pp. 22-42
    • Glasserman, P.1    Kou, S.2
  • 12
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    • Counterexamples in importance sampling for large deviations probabilities
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    • GLASSERMAN, P. andWANG, Y. (1997). Counterexamples in importance sampling for large deviations probabilities. Ann. Appl. Probab. 7 731-746. MR1459268
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.