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Proceedings of the 2008 Winter Simulation Conference S. J. Mason, R. R. Hill, L. Moench, O. Rose, eds.
 

Summary: Proceedings of the 2008 Winter Simulation Conference
S. J. Mason, R. R. Hill, L. Moench, O. Rose, eds.
EFFICIENT SIMULATION FOR TAIL PROBABILITIES OF GAUSSIAN RANDOM FIELD EXTREMA
Robert J. Adler
Faculty of Industrial Engineering and Management
and Faculty of Electrical Engineering
Technion-Israel Institute of Technology
Haifa, ISRAEL, 32000
Jose Blanchet
Department of Industrial Engineering
and Operations Research
Columbia University
New York, NY 10027
Jingchen Liu
Department of Statistics
Columbia University
New York, NY 10027
ABSTRACT
We are interested in computing tail probabilities for the
maxima of smooth Gaussian random fields. In this paper, we

  

Source: Adler, Robert J. - Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology

 

Collections: Mathematics; Engineering