.png){kind=icon}
返回
RARE EVENT SIMULATION USING REVERSIBLE SHAKING TRANSFORMATIONS
.png){kind=icon}
OA
AI
DOI：10.1137/14098418X.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We introduce random transformations, called reversible shaking transformations, which we use to design two schemes for estimating rare event probabilities. One is based on interacting particle systems and the other on the time-average of a single Markov path (called POP for parallel one-path) using ergodic theorem. We discuss their convergence rates and provide numerical experiments including continuous stochastic processes and jump processes. Our examples cover important situations related to insurance, queueing systems, and random graphs. Both schemes have good performance, with a seemingly better one for POP.
Keyword:
rare event
Monte Carlo simulations
ergodic properties
interacting particle systems
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
2.6
论文数:
5.1K
被引数:
1.8W
机构
引用论文
.png){kind=icon}
分享收藏Optical, receptoral, and retinal constraints on foveal and peripheral vision in the human neonateOAAI
OAAI分享收藏分享收藏分享收藏
查看更多内容