The asymptotic efficiency of simulation estimators
Operations Research
A large deviations perspective on ordinal optimization
WSC '04 Proceedings of the 36th conference on Winter simulation
Efficient rare event simulation for heavy-tailed compound sums
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Asymptotic Simulation Efficiency Based on Large Deviations
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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Consider a simulation estimator α(c) based on expending c units of computer time, to estimate a quantity α. One measure of efficiency is to attempt to minimize P(|α(c) -- α| ε) for large c. This helps identify estimators with less likelihood of witnessing large deviations. In this article we establish an exact asymptotic for this probability when the underlying samples are independent and a weaker large deviations result under more general dependencies amongst the underlying samples.