We consider a variant of the two node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The...
Rare events analysis is an area that includes methods for the detection and prediction of events, e.g. a network intrusion or an engine failure, that occur infrequently and have s...
The cross-entropy method (CE) developed by R. Rubinstein is an elegant practical principle for simulating rare events. The method approximates the probability of the rare event by...
Face detection is a canonical example of a rare event detection problem, in which target patterns occur with much lower frequency than nontargets. Out of millions of face-sized wi...
We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the cha...
Pieter-Tjerk de Boer, Pierre L'Ecuyer, Gerardo Rub...
Importance sampling (IS) is the most widely used efficiency improvement method for rare-event simulation. When estimating the probability of a rare event, the IS estimator is the ...