Improved algorithms for rare event simulation with heavy tails
نویسندگان
چکیده
منابع مشابه
Improved Algorithms for Rare Event Simulation with Heavy Tails
The estimation of P(Sn > u) by simulation, where Sn is the sum of independent, identically distributed random varibles Y1, . . . , Yn, is of importance inmany applications. We propose two simulation estimators based upon the identity P(Sn > u) = nP(Sn > u, Mn = Yn), where Mn = max(Y1, . . . , Yn). One estimator uses importance sampling (for Yn only), and the other uses conditional Monte Carlo c...
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This paper is concerned with the efficient simulation of P (Sn > s) where Sn is the sum of n i.i.d. heavy-tailed random variables X1, . . . ,Xn. Asmussen and Kroese (2006) and Asmussen and Kortschak (2012) proposed estimators that combine exchangeability arguments with conditional Monte-Carlo and whose relative errors go to 0 as s→∞. We useMn = max (X1, . . . ,Xn) as a control variate to propos...
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Author’s addresses: J. Blanchet, Department of Industrial Engineering and Operations Research, Columbia University; H. Hult, Department of Mathematics, Royal Institute of Technology; K. Leder, Department of Industrial and Systems Engineering, University of Minnesota Permission to make digital or hard copies of part or all of this work for personal or classroom use is granted without fee provide...
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Rare events are events that are expected to occur infrequently or, more technically, those that have low probabilities (say, order of 10 3 or less) of occurring according to a probability model. In the context of uncertainty quantification, the rare events often correspond to failure of systems designed for high reliability, meaning that the system performance fails to meet some design or opera...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2006
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800001099