232 citations · 862 across the 46 of their papers we have counts for
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math.PR2007
Splitting for Rare Event Simulation: A Large Deviation Approach to Design and Analysis
Thomas Dean, Paul Dupuis
Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set before another set , and…
math.PR2007★ 77 cited
Dynamic importance sampling for queueing networks
Paul Dupuis, Ali Devin Sezer, Hui Wang
Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sa…