Overconservativeness of variance-based efficiency criteria and probabilistic efficiency in rare-event simulation
Yuanlu Bai, Zhiyuan Huang, Henry Lam, Ding Zhao
| Year of publication: |
2024
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|---|---|
| Authors: | Bai, Yuanlu ; Huang, Zhiyuan ; Lam, Henry ; Zhao, Ding |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 10, p. 6852-6873
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| Subject: | dominating points | importance sampling | large deviations | rare-event simulation | relative error | Simulation | Theorie | Theory | Stichprobenerhebung | Sampling | Wahrscheinlichkeitsrechnung | Probability theory | Monte-Carlo-Simulation | Monte Carlo simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2023.4973 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015142173