Rare-Event Simulation
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چکیده
for n large. The approximation (1.1) asserts that the “easy problem instances” arise when α is either close to 0 or 1, and that the “hardest problem instances” arise when α ≈ 1/2. This (perhaps surprising) conclusion arises because (1.1) is describing the absolute error associated with the computation. But in rare-event simulation, we are concerned with relative error, not absolute error (i.e. we need to know whether the probability is of order 10−3 or 10−7, not that it is just close to 0). This relative error is described by the approximation
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