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QUESTA
2007
103views more  QUESTA 2007»
13 years 11 months ago
Large deviations and importance sampling for a tandem network with slow-down
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...
Paul Dupuis, Kevin Leder, Hui Wang
IJAIT
2007
180views more  IJAIT 2007»
13 years 11 months ago
Detection and Prediction of Rare Events in Transaction Databases
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...
Christos Berberidis, Ioannis P. Vlahavas
CORR
2006
Springer
132views Education» more  CORR 2006»
13 years 11 months ago
Cross-Entropy method: convergence issues for extended implementation
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...
Frédéric Dambreville
NIPS
2003
14 years 24 days ago
Learning a Rare Event Detection Cascade by Direct Feature Selection
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...
Jianxin Wu, James M. Rehg, Matthew D. Mullin
WSC
2007
14 years 1 months ago
Estimating the probability of a rare event over a finite time horizon
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...
VALUETOOLS
2006
ACM
14 years 5 months ago
Splitting with weight windows to control the likelihood ratio in importance sampling
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 ...
Pierre L'Ecuyer, Bruno Tuffin