37 search results - page 2 / 8 » Efficient suboptimal rare-event simulation |
TOMACS
2002
13 years 4 months ago
2002
In this paper we consider a two-node tandem Jackson network. Starting from a given state, we are interested in estimating the probability that the content of the second buffer exc...
WSC
2008
13 years 7 months ago
2008
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
MICCAI
2005
Springer
14 years 5 months ago
2005
Springer
This paper introduces a novel solver, namely cross entropy (CE), into the MRF theory for medical image segmentation. The solver, which is based on the theory of rare event simulati...
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...
IOR
2008
13 years 4 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...