Rare event simulation in stochastic models

  • Authors:
  • Perwez Shahabuddin

  • Affiliations:
  • Department of Industrial Engineering & Operations Research, Columbia University, New York, NY

  • Venue:
  • WSC '95 Proceedings of the 27th conference on Winter simulation
  • Year:
  • 1995

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Abstract

We review fast simulation techniques used for estimating probabilities of rare events and related quantities in different types of stochastic models.