Analysis of an importance sampling estimator for tandem queues
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Modelling extremal events: for insurance and finance
Modelling extremal events: for insurance and finance
Simulating heavy tailed processes using delayed hazard rate twisting
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Simulating heavy tailed processes using delayed hazard rate twisting
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Importance sampling for sums of random variables with regularly varying tails
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Large deviations and importance sampling for a tandem network with slow-down
Queueing Systems: Theory and Applications
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
Queueing Systems: Theory and Applications
Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics)
Simulation and the Monte Carlo Method (Wiley Series in Probability and Statistics)
Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
Mathematics of Operations Research
Asymptotic robustness of estimators in rare-event simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Operations Research Letters
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We discuss rare event simulation techniques based on state-dependent importance sampling. Classical examples and counter-examples are shown to illustrate the reach and limitations of the state-independent approach. State-dependent techniques are helpful to deal with these limitations. These techniques can be applied to both light and heavy tailed systems and often are based on subsolutions to an associated Isaacs equation and on Lyapunov bounds.