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    VALUETOOLS
    2006
    ACM
    89views Hardware» more  VALUETOOLS 2006»
    Splitting with weight windows to control the likelihood ratio in importance sampling
    13 years 10 months ago
    Splitting with weight windows to control the likelihood ratio in importance sampling
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    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 ...
    Pierre L'Ecuyer, Bruno Tuffin
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