77 citations · 295 across the 6 of their papers we have counts for
6 papers
An Explicit Cross Entropy Scheme for Mixtures
Hui Wang, Xiang Zhou
The key issue in importance sampling is the choice of the alternative sampling distribution, which is often chosen from the exponential tilt family of the underlying distribution.…
Importance Sampling for Multiscale Diffusions
Paul Dupuis, Konstantinos Spiliopoulos, Hui Wang
We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for t…
An Infinite Swapping Approach to the Rare-Event Sampling Problem
Nuria Plattner, J. D. Doll, Paul Dupuis +3
We describe a new approach to the rare-event Monte Carlo sampling problem. This technique utilizes a symmetrization strategy to create probability distributions that are more highl…
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…
On the convergence from discrete to continuous time in an optimal stopping problem
Paul Dupuis, Hui Wang
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonant…
Dynamic importance sampling for uniformly recurrent markov chains
Paul Dupuis, Hui Wang
Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is si…