Over-Conservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Eve...
Over-Conservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is sufficiently controlled. It is widely known that when a rare-event set contains multiple "important regions" encoded by the so-called dominating points, IS needs to account for...
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Over-Conservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation
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TN_cdi_proquest_journals_2586232028
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2586232028
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2331-8422
