Markov chain importance sampling with applications to rare event probability analysis

Zdravko I. Botev 1 Pierre L'Écuyer 2 Bruno Tuffin 3
1 School of Mathematics and statistics [Sydney]
2 DIRO - Département d'Informatique et de Recherche Opérationnelle [Montreal]
3 DIONYSOS - Dependability Interoperability and perfOrmance aNalYsiS Of networkS
Inria Rennes – Bretagne Atlantique , IRISA-D2 - RÉSEAUX, TÉLÉCOMMUNICATION ET SERVICES
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https://hal.inria.fr/hal-00789624
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Submitted on : Monday, February 18, 2013 - 3:21:40 PM
Last modification on : Wednesday, April 17, 2019 - 12:15:34 PM

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Zdravko I. Botev, Pierre L'Écuyer, Bruno Tuffin. Markov chain importance sampling with applications to rare event probability analysis. [Research Report] 2011. ⟨hal-00789624⟩

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