Efficient Suboptimal Rare-event Simulation

Abstract

Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these ideas to complex models, this paper focuses on sub-optimal procedures that can be shown to be much more efficient than conventional crude Monte Carlo. We provide two such examples, one based on ‘‘repeated acceptance/rejection’’ as a means of computing tail probabilities for hitting time random variables and the other based on filtered conditional Monte Carlo.

Publication
Proceedings of the 2007 Winter Simulation Conference, 389–397
rare event simulation importance sampling
Xiaowei Zhang

My research interests include AI simulation, reinforcement learning, and stochastic optimization with applications in business operations, finance, and digital economy.