Title :
Rare event simulation techniques
Author :
Blanchet, Jose ; Lam, Henry
Author_Institution :
Columbia Univ., New York, NY, USA
Abstract :
We discuss rare event simulation techniques based on state-dependent importance sampling. Classical examples and counter-examples are shown to illustrate the reach and limitations of the state-independent approach. State-dependent techniques are helpful to deal with these limitations. These techniques can be applied to both light and heavy tailed systems and often are based on subsolutions to an associated Isaacs equation and on Lyapunov bounds.
Keywords :
Lyapunov methods; discrete event simulation; importance sampling; Isaacs equation; Lyapunov bounds; importance sampling; rare event simulation; state-independent approach; tailed systems; Companies; Equations; Insurance; Mathematical model; Monte Carlo methods; Stochastic processes; USA Councils;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2011 Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
978-1-4577-2108-3
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2011.6147747