138 search results - page 2 / 28 » A Study on the Cross-Entropy Method for Rare-Event Probabili... |
VALUETOOLS
2006
ACM
13 years 10 months ago
2006
ACM
Importance sampling (IS) is the most widely used efficiency improvement method for rare-event simulation. When estimating the probability of a rare event, the IS estimator is the ...
WSC
2008
13 years 7 months ago
2008
Efficiency is a big concern when using simulation to estimate rare-event probabilities, since a huge number of simulation replications may be needed in order to obtain a reasonabl...
EOR
2010
13 years 4 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
WSC
1998
13 years 6 months ago
1998
The RESTART method is a widely applicable simulation technique for the estimation of rare event probabilities. The method is based on the idea to restart the simulation in certain...
WSC
2007
13 years 7 months ago
2007
Importance Sampling is a potentially powerful variance reduction technique to speed up simulations where the objective depends on the occurrence of rare events. However, it is cru...