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Rare event simulation in stochastic models
16 references·1 citing·29 second hop
Rare event simulation in stochastic models (1995)Rare event simulation in stochastic modelsGeneral conditions for bounded relative error in simulations of highly reliable Markovian systems (1996)General conditions for bounde…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Analysis of an importance sampling estimator for tandem queues (1995)Analysis of an importance sam…Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Stability, queue length, and …Restart: a straightforward method for fast simulation of rare events (1994)Restart: a straightforward me…Effective bandwidth and fast simulation of ATM intree networks (1994)Effective bandwidth and fast …Bounded relative error in estimating transient measures of highly dependable non-Markovian systems (1994)Bounded relative error in est…Statistical optimization of dynamic importance sampling parameters for efficient simulation of communication networks (1993)Statistical optimization of d…Simulating level-crossing probabilities by importance sampling (1992)Simulating level-crossing pro…Optimally efficient estimation of the statistics of rare events in queueing networks (1991)Optimally efficient estimatio…Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Large deviations theory and e…Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…A quick simulation method for excessive backlogs in networks of queues (1989)A quick simulation method for…Large deviations and rare events in the study of stochastic algorithms (1983)Large deviations and rare eve…Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations (1975)Simulating Stable Stochastic …Methods of Reducing Sample Size in Monte Carlo Computations (1953)Methods of Reducing Sample Si…The RESTART/LRE method for rare event simulation (1996)The RESTART/LRE method for ra…The stability of a queue with non-independent inter-arrival and service times (1962)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Loss probability calculations and asymptotic analysis for finite buffer multiplexers (2001)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Stochastic Differential Equations (1972)Stability and Optimal Control of the Packet Switching Broadcast Channel (1977)An introduction to large deviations for communication networks (1995)Techniques for fast simulation of models of highly dependable systems (2001)Importance Sampling, Large Deviations, and Differential Games (2004)On the theory of queues with many servers (1955)Comparison Methods for Queues and Other Stochastic Models. (1986)Logarithmic asymptotics for steady-state tail probabilities in a single-server queue (1994)Large deviations and overflow probabilities for the general single-server queue, with applications (1995)Applied Probability and Queues (1987)Proceedings of the 2002 Winter Simulation Conference (2002)Importance Sampling for Portfolio Credit Risk (2005)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)Multilevel Splitting for Estimating Rare Event Probabilities (1999)Applied Probability and Queues (2003)Optimization of computer simulation models with rare events (1997)Quick simulation: a review of importance sampling techniques in communications systems (1997)Preventing undesirable behavior of intelligent machines (2019)Fairness without Demographics through Adversarially Reweighted Learning (2020)Likelihood ratio gradient estimation for stochastic systems (1990)Simulation-based optimization of Markov reward processes (2001)Infinitesimal perturbation analysis for general discrete event systems (1987)Steady-state simulation of queueing processes: survey of problems and solutions (1990)Optimal Mean-Squared-Error Batch Sizes (1995)
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References

  • 1994Stability, queue length, and delay of deterministic and stochastic queueing networks815 cited
  • 1989Importance Sampling for Stochastic Simulations635 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1953Methods of Reducing Sample Size in Monte Carlo Computations319 cited
  • 1975Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations273 cited
  • 1989A quick simulation method for excessive backlogs in networks of queues269 cited
  • 1983Large deviations and rare events in the study of stochastic algorithms200 cited
  • 1991Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue143 cited
  • 1994Effective bandwidth and fast simulation of ATM intree networks139 cited
  • 1995Analysis of an importance sampling estimator for tandem queues136 cited
  • 1994Restart: a straightforward method for fast simulation of rare events96 cited
  • 1993Statistical optimization of dynamic importance sampling parameters for efficient simulation of communication networks90 cited
  • 1991Optimally efficient estimation of the statistics of rare events in queueing networks77 cited
  • 1992Simulating level-crossing probabilities by importance sampling73 cited

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  • 1996General conditions for bounded relative error in simulations of highly reliable Markovian systems60 cited
  • 1994Bounded relative error in estimating transient measures of highly dependable non-Markovian systems55 cited
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    • 1996The RESTART/LRE method for rare event simulation37 cited