J. Blanchet and H. Lam, “Rare event simulation techniques,” Proceedings of the 2011 Winter Simulation Conference (WSC), Phoenix, AZ, USA, 2011, pp. 146-160, doi: 10.1109/WSC.2011.6147747.
Abstract
We discuss rare event simulation techniques based on state-dependent importance sampling. Classical examples and counter-examples are shown to illustrate the reach and limitations of the state-independent approach. State-dependent techniques are helpful to deal with these limitations. These techniques can be applied to both light and heavy tailed systems and often are based on subsolutions to an associated Isaacs equation and on Lyapunov bounds.
Authors
Jose Blanchet, Henry Lam
Publication date
2011/12/11
Conference
Proceedings of the 2011 Winter Simulation Conference (WSC)
Pages
146-160
Publisher
IEEE
