Estimating the probability of a rare event over a finite time horizon
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Approximate zero-variance simulation
Proceedings of the 40th Conference on Winter Simulation
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It is shown that a zero-variance solution exists for any linear Monte Carlo problem and that this solution can be obtained by sampling the random numbers proportional to the expected score subsequently produced by using these random numbers in the random walk.