Importance sampling for stochastic simulations
Management Science
A Unified Framework for Simulating Markovian Models of Highly Dependable Systems
IEEE Transactions on Computers
Fast simulation of rare events in queueing and reliability models
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Optimal importance sampling for Markovian systems with applications to tandem queues
Mathematics and Computers in Simulation - Special issue: papers presented at the MSSA/IMACS 11th biennial conference on modelling and simulation
Fast Simulation of Markov Chains with Small Transition Probabilities
Management Science
On Optimal Importance Sampling for Discrete Time Markov Chains
QEST '05 Proceedings of the Second International Conference on the Quantitative Evaluation of Systems
Ant-based approach for determining the change of measure in importance sampling
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Evaluating differentiated quality of service parameters in optical packet switching
NEW2AN'07 Proceedings of the 7th international conference on Next Generation Teletraffic and Wired/Wireless Advanced Networking
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Rare event simulation for stochastic models of complex systems is still a great challenge even for Markovian models. We review results in importance sampling for Markov chains, provide new viewpoints and insights, and we pose some future research directions.