Rare event simulation in stochastic models
Author:
- 24 August 2005
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- p. 178-185
Abstract
We review fast simulation techniques used for estimating probabilities of rare events and related quantities in different types of stochastic models.Keywords
This publication has 38 references indexed in Scilit:
- Fast simulation methods for highly dependable systems2005
- Fast simulation of Markovian reliability/availability models with general repair policies2003
- Techniques for fast simulation of models of highly dependable systemsIEEE Transactions on Reliability, 2001
- Finding the Conjugate of Markov Fluid ProcessesProbability in the Engineering and Informational Sciences, 1995
- Asymptotics of Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian SystemsManagement Science, 1995
- Quick simulation of ATM buffers with on-off multiclass Markov fluid sourcesACM Transactions on Modeling and Computer Simulation, 1993
- Fast simulation of highly dependable systems with general failure and repair processesIEEE Transactions on Computers, 1993
- Simulating level-crossing probabilities by importance samplingAdvances in Applied Probability, 1992
- Monte Carlo simulation of Markov unreliability modelsNuclear Engineering and Design, 1984
- Methods of Reducing Sample Size in Monte Carlo ComputationsJournal of the Operations Research Society of America, 1953