搜索结果: 1-2 共查到“管理学 Efficient Importance Sampling”相关记录2条 . 查询时间(0.171 秒)
Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue
State-dependent importance sampling Rare-event simulation Heavy-tails
2015/7/6
We develop a strongly efficient rare-event simulation algorithm for computing the tail of the steady-state waiting time in a single server queue with regularly varying service times. Our algorithm is ...
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Lyapunov Inequalities Efficient Importance Sampling
2015/7/6
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolu...