Presentation 1999/6/18
On a Clnange-of-Measture Algorithm for Rare-Event Estimation by Simulations
Naoto Miyoshi,
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Abstract(in English) The importance sampling (IS) is well krnown as an effective technique to estimate rare-event probabilities via computer simulations. The main idea of IS is to change the probability distribution (change of measure) and make the event occurrence, which is originally rare, more frequent. In the IS setting, the choie of good distribution is crucial but the class of simulation models for which the optimal IS distribution is analytically calculated seems limited. In this note, we introduce some recent techniques to find (estimate) the optimal IS distribution through the simulation-based optimization approach.
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Keyword(in English) Rare-event estimation / importance sampling / stochastic cournterpart method / regenerative sirmulation
Paper # IN99-25
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Conference Date 1999/6/18(1days)
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Title (in Japanese) (See Japanese page)
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Title (in English) On a Clnange-of-Measture Algorithm for Rare-Event Estimation by Simulations
Sub Title (in English)
Keyword(1) Rare-event estimation
Keyword(2) importance sampling
Keyword(3) stochastic cournterpart method
Keyword(4) regenerative sirmulation
1st Author's Name Naoto Miyoshi
1st Author's Affiliation Department of Mathematical and Computing Sciences Tokyo Institute of Technology()
Date 1999/6/18
Paper # IN99-25
Volume (vol) vol.99
Number (no) 127
Page pp.pp.-
#Pages 7
Date of Issue