Title :
Rare-event simulations for exponential integrals of smooth Gaussian processes
Author :
Jingchen Liu ; Gongjun Xu
Author_Institution :
Dept. of Stat., Columbia Univ., New York, NY, USA
Abstract :
In this paper, we consider the rare-event simulation of integrals of exponential functions of smooth Gaussian random processes. In particular, we design importance sampling estimators that are asymptotically efficient. The efficiency analysis consists of the bias control and the variance control relative to the interesting tail probabilities.
Keywords :
Gaussian processes; importance sampling; random processes; bias control; exponential functions; importance sampling estimators; interesting tail probabilities; rare-event simulation; smooth Gaussian random processes; variance control; Approximation methods; Computational modeling; Gaussian processes; Monte Carlo methods; Numerical models; Q measurement; Random variables;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2012 Winter
Conference_Location :
Berlin
Print_ISBN :
978-1-4673-4779-2
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2012.6465201
