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Numerical Computation of Large Deviations Exponents via Simulation
Large deviations simulation regeneration eigenvalue problem,distribution arkov chains
2015/7/8
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...
A Large Deviations View of Asymptotic Efficiency for Simulation Estimators
Large Deviations View Asymptotic Efficiency Simulation Estimators
2015/7/6
Consider a simulation estimator α(c) based on expending c units of computer time, to estimate a quantity α. One measure of efficiency is to attempt to minimize P(|α(c)−α|>ε) for large c. This he...