Showing 1 - 10 of 11
This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failurebiasing schemes that have been proved to give...
Persistent link: https://www.econbiz.de/10011334846
Persistent link: https://www.econbiz.de/10001928203
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...
Persistent link: https://www.econbiz.de/10011379128
Persistent link: https://www.econbiz.de/10012240237
Persistent link: https://www.econbiz.de/10010191281
Persistent link: https://www.econbiz.de/10008702187
There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...
Persistent link: https://www.econbiz.de/10014203542
In rare event simulation, we look for estimators such that the relative accuracy of the output is 'controlled' when the rarity is getting more and more critical. Different robustness properties have been defined in the literature, that an estimator is expected to satisfy. Though, those...
Persistent link: https://www.econbiz.de/10014040085
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider...
Persistent link: https://www.econbiz.de/10013076792