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IMPORTANCE SAMPLING FOR STOCHASTIC RECURRENCE EQUATIONS WITH HEAVY TAILED INCREMENTS
Columbia Univ, 500 W 120th St, New York, NY 10027 USA..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0001-9210-121X
Univ Minnesota, Minneapolis, MN 55455 USA..
2011 (English)In: PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC) / [ed] Jain, S Creasey, R Himmelspach, J, IEEE , 2011, p. 3824-3831Conference paper, Published paper (Refereed)
Abstract [en]

Importance sampling in the setting of heavy tailed random variables has generally focused on models with additive noise terms. In this work we extend this concept by considering importance sampling for the estimation of rare events in Markov chains of the form Xn+1 = A(n+1)X(n) + Bn+1; X-0 = 0, where the B-n's and A(n)'s are independent sequences of independent and identically distributed ( i.i.d.) random variables and the B-n's are regularly varying and the An's are suitably light tailed relative to B-n. We focus on efficient estimation of the rare event probability P(X-n > b) as b NE arrow infinity. In particular we present a strongly efficient importance sampling algorithm for estimating these probabilities, and present a numerical example showcasing the strong efficiency.

Place, publisher, year, edition, pages
IEEE , 2011. p. 3824-3831
Series
Winter Simulation Conference Proceedings, ISSN 0891-7736
National Category
Other Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-243226DOI: 10.1109/WSC.2011.6148074ISI: 000300520804013Scopus ID: 2-s2.0-84858031220ISBN: 978-1-4577-2109-0 (print)OAI: oai:DiVA.org:kth-243226DiVA, id: diva2:1354655
Conference
Winter Simulation Conference (WSC)/Conference on Modeling and Analysis for Semiconductor Manufacturing (MASM), DEC 11-14, 2011, Phoenix, AZ
Note

QC 20190925

Available from: 2019-09-25 Created: 2019-09-25 Last updated: 2019-09-25Bibliographically approved

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Hult, Henrik

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