Details

Autor(en) / Beteiligte

• Collamore, Jeffrey
• Vidyashankar, Anand
• Xu, Jie

Titel

Rare event simulation for stochastic fixed point equations related to the smoothing transformation

Ist Teil von

• 2013 Winter Simulations Conference (WSC), 2013, p.555-563

Ort / Verlag

IEEE Press

Erscheinungsjahr

2013

Link zum Volltext

• IEEE_Xplore

Quelle

IEEE Xplore

Beschreibungen/Notizen

• In several applications arising in compute science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.