Výsledky vyhľadávania - "Importance sampling algorithm"

Performance and Robustness of the Monte Carlo Importance Sampling Algorithm Using Parallelized S-ADAPT for Basic and Complex Mechanistic Models Autor Bulitta, Jurgen B., Landersdorfer, Cornelia B.

“…The Monte Carlo Parametric Expectation Maximization (MC-PEM) algorithm can approximate the true log-likelihood as precisely as needed and is efficiently…”
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Kriging-based adaptive Importance Sampling algorithms for rare event estimation Autor Balesdent, Mathieu, Morio, Jérôme, Marzat, Julien

“…Very efficient sampling algorithms have been proposed to estimate rare event probabilities, such as Importance Sampling or Importance Splitting. Even if the…”
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An adaptive zero-variance importance sampling approximation for static network dependability evaluation Autor Tuffin, Bruno, Saggadi, Samira, L'Ecuyer, Pierre

“…We propose an adaptive parameterized method to approximate the zero-variance change of measure for the evaluation of static network reliability models, with links subject to failures…”
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High-Dimensional Statistical Inference: Phase Transition, Power Enhancement, and Sampling Autor He, Yinqiu

“…The ``Big Data'' era features large amounts of high-dimensional data, in which the number of characteristics per subject is large…”
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Expected shortfall in credit portfolios with extremal dependence Autor Bassamboo, A., Juneja, S., Zeevi, A.

“…We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default…”
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Efficient Exponential Tilting for Portfolio Credit Risk Autor Cheng-Der Fuh, Chuan-Ju, Wang

“…This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models…”
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Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation Autor Bassamboo, Achal, Juneja, Sandeep, Zeevi, Assaf

“…We consider the risk of a portfolio comprising loans, bonds, and financial instruments that are subject to possible default…”
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Expected shortfall in credit portfolios with extremal dependence Autor Bassamboo, Achal, Juneja, Sandeep, Zeevi, Assaf

“…We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default…”
Získať plný text