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Kou, Shing
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Analysis of an importance sampling estimator for tandem queues
Glasserman P. (ed), Kou S. ACM Transactions on Modeling and Computer Simulation 5(1): 22-42, 1995. Type: Article
Probabilities of rare events in stochastic processes are ipso facto hard to estimate by direct Monte Carlo simulations. In recent years there has been considerable interest in estimating such probabilities via the importance sampling o...
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Dec 1 1995
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