Sampling Conditionally on a Rare Event via Generalized Splitting
| Autor: | Zdravko I. Botev, Pierre L'Ecuyer |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
050210 logistics & transportation
021103 operations research Computer science 05 social sciences 0211 other engineering and technologies General Engineering Sampling (statistics) Markov chain Monte Carlo Sample (statistics) 02 engineering and technology Conditional probability distribution symbols.namesake Distribution (mathematics) Mathematics::K-Theory and Homology 0502 economics and business symbols Statistical physics Variety (universal algebra) Event (probability theory) |
| Zdroj: | INFORMS Journal on Computing. |
| ISSN: | 1526-5528 1091-9856 |
| DOI: | 10.1287/ijoc.2019.0936 |
| Popis: | We propose and analyze a generalized splitting method to sample approximately from a distribution conditional on the occurrence of a rare event. This has important applications in a variety of cont... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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