Rare event simulation for stochastic fixed point equations related to the smoothing transform

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Standard

Rare event simulation for stochastic fixed point equations related to the smoothing transform. / Collamore, Jeffrey F.; Vidyashankar, Anand N. ; Xu, Jie.

I: Winter Simulation Conference. Proceedings, 2013.

Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › fagfællebedømt

Harvard

Collamore, JF, Vidyashankar, AN & Xu, J 2013, 'Rare event simulation for stochastic fixed point equations related to the smoothing transform', Winter Simulation Conference. Proceedings.

APA

Collamore, J. F., Vidyashankar, A. N., & Xu, J. (2013). Rare event simulation for stochastic fixed point equations related to the smoothing transform. Winter Simulation Conference. Proceedings.

Vancouver

Collamore JF, Vidyashankar AN, Xu J. Rare event simulation for stochastic fixed point equations related to the smoothing transform. Winter Simulation Conference. Proceedings. 2013.

Author

Collamore, Jeffrey F. ; Vidyashankar, Anand N. ; Xu, Jie. / Rare event simulation for stochastic fixed point equations related to the smoothing transform. I: Winter Simulation Conference. Proceedings. 2013.

Bibtex

@inproceedings{797f58c2ff9c46f38a0288c3c619dc9a,
title = "Rare event simulation for stochastic fixed point equations related to the smoothing transform",
abstract = "In several applications arising in computer science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.",
author = "Collamore, {Jeffrey F.} and Vidyashankar, {Anand N.} and Jie Xu",
year = "2013",
language = "English",
journal = "Proceedings - Winter Simulation Conference",
issn = "0891-7736",
publisher = "I E E E",

}

RIS

TY - GEN

T1 - Rare event simulation for stochastic fixed point equations related to the smoothing transform

AU - Collamore, Jeffrey F.

AU - Vidyashankar, Anand N.

AU - Xu, Jie

PY - 2013

Y1 - 2013

N2 - In several applications arising in computer science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.

AB - In several applications arising in computer science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.

M3 - Conference article

JO - Proceedings - Winter Simulation Conference

JF - Proceedings - Winter Simulation Conference

SN - 0891-7736

ER -

ID: 52348967