Cui, Tiangang; Dolgov, Sergey; Scheichl, Robert Deep importance sampling using tensor trains with application to a priori and a posteriori rare events. (English) Zbl 1534.65031 SIAM J. Sci. Comput. 46, No. 1, C1-C29 (2024). Reviewer: Steven B. Damelin (Ann Arbor) MSC: 65D15 65D32 65C05 65C40 62F15 15A69 15A23 65N21 65L09 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dolgov, Sergey; Savostyanov, Dmitry Tensor product approach to modelling epidemics on networks. (English) Zbl 07748302 Appl. Math. Comput. 460, Article ID 128290, 16 p. (2024). MSC: 92D30 15A69 37N25 60J28 65F55 90B15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ma, Hao; Blom, Henk A. P. Interacting particle system based estimation of reach probability of general stochastic hybrid systems. (English) Zbl 1505.93255 Nonlinear Anal., Hybrid Syst. 47, Article ID 101303, 16 p. (2023). MSC: 93E03 93C30 60K35 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Ma, Hao; Blom, Henk A. P. Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities. (English) Zbl 1506.60005 Methodol. Comput. Appl. Probab. 24, No. 4, 2313-2338 (2022). MSC: 60-08 65C05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Cérou, Frédéric; Guyader, Arnaud; Rousset, Mathias Adaptive multilevel splitting: historical perspective and recent results. (English) Zbl 1417.65024 Chaos 29, No. 4, 043108, 12 p. (2019). MSC: 65C35 65C40 60F05 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Choe, Youngjun; Lam, Henry; Byon, Eunshin Uncertainty quantification of stochastic simulation for black-box computer experiments. (English) Zbl 1417.62039 Methodol. Comput. Appl. Probab. 20, No. 4, 1155-1172 (2018). MSC: 62F12 65C05 68U20 62F25 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Duan, Qibin; Kroese, Dirk P. Splitting for multi-objective optimization. (English) Zbl 1403.90604 Methodol. Comput. Appl. Probab. 20, No. 2, 517-533 (2018). MSC: 90C29 68W20 × Cite Format Result Cite Review PDF Full Text: DOI
Pedroni, Nicola; Zio, Enrico An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system. (English) Zbl 1480.82019 Appl. Math. Modelling 48, 269-288 (2017). MSC: 82M99 62-08 90B25 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Martino, L.; Elvira, V.; Luengo, D.; Corander, J. Layered adaptive importance sampling. (English) Zbl 1505.62276 Stat. Comput. 27, No. 3, 599-623 (2017). MSC: 62-08 62F15 65C05 65C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Vaisman, Radislav; Kroese, Dirk P. Stochastic enumeration method for counting trees. (English) Zbl 1358.05059 Methodol. Comput. Appl. Probab. 19, No. 1, 31-73 (2017). MSC: 05C05 68W20 65C05 05C85 05C81 60J80 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Jianjun; Wu, Changzhi; Cao, Jiang; Wang, Xiangyu; Teo, Kok Lay A binary differential search algorithm for the 0-1 multidimensional knapsack problem. (English) Zbl 1443.90047 Appl. Math. Modelling 40, No. 23-24, 9788-9805 (2016). MSC: 90-10 90C27 × Cite Format Result Cite Review PDF Full Text: DOI
Roca, L.; Diaz-Franco, R.; de la Calle, A.; Bonilla, J.; Vidal, A. A control based on a knapsack problem for solar hydrogen production. (English) Zbl 1347.93190 Optim. Control Appl. Methods 37, No. 3, 496-507 (2016). MSC: 93C95 93C40 93B40 90C27 × Cite Format Result Cite Review PDF Full Text: DOI
Simonnet, Eric Combinatorial analysis of the adaptive last particle method. (English) Zbl 1342.65014 Stat. Comput. 26, No. 1-2, 211-230 (2016). MSC: 65C50 60J22 60J25 60G40 62N05 × Cite Format Result Cite Review PDF Full Text: DOI
Walter, Clément Rare event simulation and splitting for discontinuous random variables. (English) Zbl 1416.65022 ESAIM, Probab. Stat. 19, 794-811 (2015). Reviewer: Anouar Ben Mabrouk (Sousse) MSC: 65C05 65C60 62L12 62N02 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Caron, Virgile; Guyader, Arnaud; Zuniga, Miguel Munoz; Tuffin, Bruno Some recent results in rare event estimation. (English. French summary) Zbl 1329.65006 ESAIM, Proc. 44, 239-259 (2014). MSC: 65C05 62-02 × Cite Format Result Cite Review PDF Full Text: DOI
Cheon, Sooyoung; Liang, Faming; Chen, Yuguo; Yu, Kai Stochastic approximation Monte Carlo importance sampling for approximating exact conditional probabilities. (English) Zbl 1325.62153 Stat. Comput. 24, No. 4, 505-520 (2014). MSC: 62L20 62H17 60J22 65C05 62D05 × Cite Format Result Cite Review PDF Full Text: DOI
Rubinstein, Reuven Stochastic enumeration method for counting NP-hard problems. (English) Zbl 1269.65012 Methodol. Comput. Appl. Probab. 15, No. 2, 249-291 (2013). MSC: 65C50 65C05 65C40 60J22 60C05 × Cite Format Result Cite Review PDF Full Text: DOI
Botev, Zdravko I.; Kroese, Dirk P. Efficient Monte Carlo simulation via the generalized splitting method. (English) Zbl 1322.65002 Stat. Comput. 22, No. 1, 1-16 (2012). MSC: 65C05 60J22 62G05 × Cite Format Result Cite Review PDF Full Text: DOI
Cérou, Frédéric; Del Moral, Pierre; Furon, Teddy; Guyader, Arnaud Sequential Monte Carlo for rare event estimation. (English) Zbl 1252.62083 Stat. Comput. 22, No. 3, 795-808 (2012). MSC: 62L12 60K35 65C05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven; Vaisman, Radislav Counting with combined splitting and capture–recapture methods. (English) Zbl 1254.65010 Stoch. Models 28, No. 3, 478-502 (2012). MSC: 65C05 65C35 68W20 60C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Garvels, M. J. J. A combined splitting-cross entropy method for rare-event probability estimation of queueing networks. (English) Zbl 1233.90114 Ann. Oper. Res. 189, 167-185 (2011). MSC: 90B22 90B15 × Cite Format Result Cite Review PDF Full Text: DOI
Eshragh, Ali; Filar, Jerzy A.; Haythorpe, Michael A hybrid simulation-optimization algorithm for the Hamiltonian cycle problem. (English) Zbl 1233.90270 Ann. Oper. Res. 189, 103-125 (2011). MSC: 90C35 90C27 90C59 90C46 × Cite Format Result Cite Review PDF Full Text: DOI
Chan, Joshua C. C.; Kroese, Dirk P. Rare-event probability estimation with conditional Monte Carlo. (English) Zbl 1279.60064 Ann. Oper. Res. 189, 43-61 (2011). MSC: 60G70 62H20 65C05 91G40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Cérou, Frédéric; Guyader, Arnaud; Rubinstein, Reuven; Vaisman, Radislav On the use of smoothing to improve the performance of the splitting method. (English) Zbl 1236.65064 Stoch. Models 27, No. 4, 629-650 (2011). Reviewer: Hans Benker (Merseburg) MSC: 65K05 68W20 60C05 90C10 90C27 × Cite Format Result Cite Review PDF Full Text: DOI
Guyader, Arnaud; Hengartner, Nicolas; Matzner-Løber, Eric Simulation and estimation of extreme quantiles and extreme probabilities. (English) Zbl 1227.62034 Appl. Math. Optim. 64, No. 2, 171-196 (2011). MSC: 62G32 65C05 65C60 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Glynn, Peter W.; Dolgin, Andrey; Rubinstein, Reuven Y.; Vaisman, Radislav How to generate uniform samples on discrete sets using the splitting method. (English) Zbl 1196.60134 Probab. Eng. Inf. Sci. 24, No. 3, 405-422 (2010). MSC: 60J22 × Cite Format Result Cite Review PDF Full Text: DOI
Rubinstein, Reuven Randomized algorithms with splitting: Why the classic randomized algorithms do not work and how to make them work. (English) Zbl 1187.65001 Methodol. Comput. Appl. Probab. 12, No. 1, 1-50 (2010). MSC: 65C05 65C40 60C05 68W20 60J22 90C27 × Cite Format Result Cite Review PDF Full Text: DOI
Rubinstein, Reuven The Gibbs cloner for combinatorial optimization, counting and sampling. (English) Zbl 1177.65012 Methodol. Comput. Appl. Probab. 11, No. 4, 491-549 (2009). MSC: 65C05 60C05 68W20 × Cite Format Result Cite Review PDF Full Text: DOI