Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution
نویسندگان
چکیده
منابع مشابه
Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution
Many complex systems can be modeled via Markov jump processes. Applications include chemical reactions, population dynamics, and telecommunication networks. Rare-event estimation for such models can be difficult and is often computationally expensive, because typically many (or very long) paths of the Markov jump process need to be simulated in order to observe the rare event. We present a stat...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2014
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1409932671