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    VALUETOOLS
    2006
    ACM
    89views Hardware» more  VALUETOOLS 2006»
    Splitting with weight windows to control the likelihood ratio in importance sampling
    14 years 1 months ago
    Splitting with weight windows to control the likelihood ratio in importance sampling
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    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
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