TY - GEN
T1 - Rare event simulation for stochastic fixed point equations related to the smoothing transform
AU - Collamore, Jeffrey F.
AU - Vidyashankar, Anand N.
AU - Xu, Jie
PY - 2013
Y1 - 2013
N2 - In several applications arising in computer science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.
AB - In several applications arising in computer science, cascade theory, and other applied areas, it is of interest to evaluate the tail probabilities of non-homogeneous stochastic fixed point equations. Recently, techniques have been developed for the related linear recursions, yielding tail estimates and importance sampling methods for these recursions. However, such methods do not routinely generalize to non-homogeneous recursions. Drawing on techniques from the weighted branching process literature, we present a consistent, strongly efficient importance sampling algorithm for estimating the tail probabilities for the case of non-homogeneous recursions.
M3 - Conference article
SN - 0891-7736
JO - Proceedings - Winter Simulation Conference
JF - Proceedings - Winter Simulation Conference
ER -