Uniformly efficient simulation for tail probabilities of Gaussian random fields

Gongjun Xu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

In this paper, we consider rare-event simulation of the tail probabilities of Gaussian random fields. In particular, we design importance sampling estimators that are uniformly efficient for a family of Gaussian random fields with different mean and variance functions.

Original languageEnglish (US)
Title of host publicationProceedings of the 2014 Winter Simulation Conference, WSC 2014
EditorsAndreas Tolk, Levent Yilmaz, Saikou Y. Diallo, Ilya O. Ryzhov
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages533-542
Number of pages10
ISBN (Electronic)9781479974863
DOIs
StatePublished - Jan 23 2015
Event2014 Winter Simulation Conference, WSC 2014 - Savannah, United States
Duration: Dec 7 2014Dec 10 2014

Publication series

NameProceedings - Winter Simulation Conference
Volume2015-January
ISSN (Print)0891-7736

Other

Other2014 Winter Simulation Conference, WSC 2014
CountryUnited States
CitySavannah
Period12/7/1412/10/14

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Xu, G. (2015). Uniformly efficient simulation for tail probabilities of Gaussian random fields. In A. Tolk, L. Yilmaz, S. Y. Diallo, & I. O. Ryzhov (Eds.), Proceedings of the 2014 Winter Simulation Conference, WSC 2014 (pp. 533-542). [7019918] (Proceedings - Winter Simulation Conference; Vol. 2015-January). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2014.7019918