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32
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VALUETOOLS
2006
ACM
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VALUETOOLS 2006
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Splitting with weight windows to control the likelihood ratio in importance sampling
14 years 5 months ago
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www.iro.umontreal.ca
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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