Estimation of moment independent importance measures using a copula and maximum entropy framework

Unit´e de recherche INRIA Rennes, Irisa, Campus universitaire de Beaulieu, 35042 RENNES Cedex Unit´e de recherche INRIA Rhˆone-Alpes, 655, avenue de l’Europe, 38330 MONTBONNOT ST

In section 4, we point out the sensibility of the controllability problem with respect to the numerical approximation, and then present an efficient and robust semi-discrete scheme

Splitting and importance sampling are the two primary techniques to make important rare events happen more fre- quently in a simulation, and obtain an unbiased estimator with

Using the separator algebra inside a paver will allow us to get an inner and an outer approximation of the solution set in a much simpler way than using any other interval approach..

Herein, we propose a novel approach to predict the energy of the sampling error on the real time traffic volume estimation, based on a spectral analysis in the frequency domain..

Aiming at this problem, this paper adopted Quickbird image data with different side perspectives in Beijing, proposed a method to determine the maximum satellite imaging

We compare these reference values with the estimates obtained with m = 100 runs of the single-loop Monte Carlo simulation and the nonparametric importance sampling based method with

Stochastic algorithm, Robbins-Monro, variance reduction, Central limit theorem, Statistical Romberg method, Euler scheme, Heston model..