Adaptive monte carlo methods for rare event simulation: adaptive monte carlo methods for rare event simulations

Authors:
Ming-hua Hsieh
Affiliations:
National Chengchi University, Wenshan, Taiwan
Venue:
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Year:
2002

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Abstract

We review two types of adaptive Monte Carlo methods for rare event simulations. These methods are based on importance sampling. The first approach selects importance sampling distributions by minimizing the variance of importance sampling estimator. The second approach selects importance sampling distributions by minimizing the cross entropy to the optimal importance sampling distribution. We also review the basic concepts of importance sampling in the rare event simulation context. To make the basic concepts concrete, we introduce these ideas via the study of rare events of M/M/1 queues.