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Importance Sampling for Stochastic Simulations

Citations

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Cited by:

  1. Mandjes, M., 1993. "Fast simulation of Markov fluid models in conjunction with large deviations," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Kuruganti, I. & Strickland, S., 1997. "Optimal importance sampling for Markovian systems with applications to tandem queues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 44(1), pages 61-79.
  3. Kriman, V. & Rubinstein, R.Y., 1995. "Polynomial Time Algorithms for Estimation of Rare Events in Queueing Models," Discussion Paper 1995-12, Tilburg University, Center for Economic Research.
  4. Hernan P. Awad & Peter W. Glynn & Reuven Y. Rubinstein, 2013. "Zero-Variance Importance Sampling Estimators for Markov Process Expectations," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 358-388, May.
  5. Bosetti, Valentina & Marangoni, Giacomo & Borgonovo, Emanuele & Diaz Anadon, Laura & Barron, Robert & McJeon, Haewon C. & Politis, Savvas & Friley, Paul, 2015. "Sensitivity to energy technology costs: A multi-model comparison analysis," Energy Policy, Elsevier, vol. 80(C), pages 244-263.
  6. repec:eee:reensy:v:92:y:2007:i:10:p:1374-1387 is not listed on IDEAS
  7. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
  8. Barry L. Nelson, 2004. "50th Anniversary Article: Stochastic Simulation Research in Management Science," Management Science, INFORMS, vol. 50(7), pages 855-868, July.
  9. Sandeep Juneja & Perwez Shahabuddin, 2001. "Fast Simulation of Markov Chains with Small Transition Probabilities," Management Science, INFORMS, vol. 47(4), pages 547-562, April.
  10. repec:eee:reensy:v:122:y:2014:i:c:p:223-248 is not listed on IDEAS
  11. repec:eee:reensy:v:91:y:2006:i:3:p:320-348 is not listed on IDEAS
  12. Torrisi, G. L., 2004. "Simulating the ruin probability of risk processes with delay in claim settlement," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 225-244, August.
  13. Morio, Jérôme & Jacquemart, Damien & Balesdent, Mathieu & Marzat, Julien, 2013. "Optimisation of interacting particle systems for rare event estimation," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 117-128.
  14. T. P. I. Ahamed & V. S. Borkar & S. Juneja, 2006. "Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation," Operations Research, INFORMS, vol. 54(3), pages 489-504, June.
  15. Frikha Noufel & Sagna Abass, 2012. "Quantization based recursive importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 287-326, December.
  16. Nam Kyoo Boots & Perwez Shahabuddin, 2001. "Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions," Tinbergen Institute Discussion Papers 01-012/4, Tinbergen Institute.
  17. Kaynar, Bahar & Ridder, Ad, 2010. "The cross-entropy method with patching for rare-event simulation of large Markov chains," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1380-1397, December.
  18. Philippe Jehiel & Jakub Steiner, 2018. "Selective Sampling with Information-Storage Constraints," CERGE-EI Working Papers wp621, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  19. Marvin K. Nakayama & Perwez Shahabuddin, 1998. "Likelihood Ratio Derivative Estimation for Finite-Time Performance Measures in Generalized Semi-Markov Processes," Management Science, INFORMS, vol. 44(10), pages 1426-1441, October.
  20. Tito Homem-de-Mello, 2007. "A Study on the Cross-Entropy Method for Rare-Event Probability Estimation," INFORMS Journal on Computing, INFORMS, vol. 19(3), pages 381-394, August.
  21. Paul Glasserman & Jeremy Staum, 2001. "Conditioning on One-Step Survival for Barrier Option Simulations," Operations Research, INFORMS, vol. 49(6), pages 923-937, December.
  22. repec:pal:jorsoc:v:56:y:2005:i:6:d:10.1057_palgrave.jors.2601880 is not listed on IDEAS
  23. Prusty, B Rajanarayan & Jena, Debashisha, 2017. "A critical review on probabilistic load flow studies in uncertainty constrained power systems with photovoltaic generation and a new approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 1286-1302.
  24. Papadopoulos C., 1998. "A New Technique for MTTF Estimation in Highly Reliable Markovian Systems," Monte Carlo Methods and Applications, De Gruyter, vol. 4(2), pages 95-112, December.
  25. repec:eee:rensus:v:82:y:2018:i:p3:p:3886-3899 is not listed on IDEAS
  26. Kleijnen, J.P.C., 1997. "Experimental Design for Sensitivity Analysis, Optimization and Validation of Simulation Models," Discussion Paper 1997-52, Tilburg University, Center for Economic Research.
  27. repec:eee:reensy:v:94:y:2009:i:3:p:699-721 is not listed on IDEAS
  28. Fakhouri H. & Nasroallah A., 2009. "On the simulation of Markov chain steady-state distribution using CFTP algorithm," Monte Carlo Methods and Applications, De Gruyter, vol. 15(2), pages 91-105, January.
  29. repec:eee:reensy:v:91:y:2006:i:10:p:1175-1209 is not listed on IDEAS
  30. repec:rjr:romjef:v::y:2017:i:3:p:77-87 is not listed on IDEAS
  31. Ridder, A., 1993. "Fast simulation of Markov fluid models," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  32. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
  33. Dantzig, George B. & Infanger, Gerd, 1997. "Intelligent control and optimization under uncertainty with application to hydro power," European Journal of Operational Research, Elsevier, vol. 97(2), pages 396-407, March.
  34. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1999. "Parameter estimation in stochastic scenario generation systems," European Journal of Operational Research, Elsevier, vol. 118(3), pages 563-577, November.
  35. Søren Asmussen & Reuven Y. Rubinstein, 1999. "Sensitivity Analysis of Insurance Risk Models via Simulation," Management Science, INFORMS, vol. 45(8), pages 1125-1141, August.
  36. Bahar Kaynar & Ad Ridder, 2009. "The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains," Tinbergen Institute Discussion Papers 09-084/4, Tinbergen Institute.
  37. repec:eee:reensy:v:164:y:2017:i:c:p:1-9 is not listed on IDEAS
  38. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
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