Rare-event probability estimation with conditional Monte Carlo
نویسندگان
چکیده
منابع مشابه
Rare-event probability estimation with conditional Monte Carlo
Estimation of rare-event probabilities in high-dimensional settings via importance sampling is a difficult problem due to the degeneracy of the likelihood ratio. In fact, it is generally recommended that Monte Carlo estimators involving likelihood ratios should not be used in such settings. In view of this, we develop efficient algorithms based on conditional Monte Carlo to estimate rare-event ...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2009
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-009-0539-y