{"id":"https://openalex.org/W4230764720","doi":"https://doi.org/10.1109/wsc.2005.1574307","title":"Importance Sampling Simulation in the Presence of Heavy Tails","display_name":"Importance Sampling Simulation in the Presence of Heavy Tails","publication_year":2006,"publication_date":"2006-01-25","ids":{"openalex":"https://openalex.org/W4230764720","doi":"https://doi.org/10.1109/wsc.2005.1574307"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2005.1574307","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2005.1574307","pdf_url":null,"source":{"id":"https://openalex.org/S4363608800","display_name":"Proceedings of the Winter Simulation Conference, 2005.","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Winter Simulation Conference, 2005.","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040861219","display_name":"Achal Bassamboo","orcid":"https://orcid.org/0000-0001-7758-4751"},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"A. Bassamboo","raw_affiliation_strings":["Kellogg School of Management, Northwestern University, Evanston, IL, USA"],"affiliations":[{"raw_affiliation_string":"Kellogg School of Management, Northwestern University, Evanston, IL, USA","institution_ids":["https://openalex.org/I111979921"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5073282965","display_name":"S. Juneja","orcid":null},"institutions":[{"id":"https://openalex.org/I11947397","display_name":"Tata Institute of Fundamental Research","ror":"https://ror.org/03ht1xw27","country_code":"IN","type":"education","lineage":["https://openalex.org/I11947397","https://openalex.org/I2799351866","https://openalex.org/I3149292468"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"S. Juneja","raw_affiliation_strings":["Tata Institute of Fundamental Research, School of Technology and Computer Science, Mumbai, India"],"affiliations":[{"raw_affiliation_string":"Tata Institute of Fundamental Research, School of Technology and Computer Science, Mumbai, India","institution_ids":["https://openalex.org/I11947397"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5082034265","display_name":"A. Zeevi","orcid":null},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"A. Zeevi","raw_affiliation_strings":["Graduate School of Business, Columbia University, NY, USA"],"affiliations":[{"raw_affiliation_string":"Graduate School of Business, Columbia University, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5040861219"],"corresponding_institution_ids":["https://openalex.org/I111979921"],"apc_list":null,"apc_paid":null,"fwci":0.35038213,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.58695652,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":"12","issue":null,"first_page":"664","last_page":"672"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9848999977111816,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/variance-reduction","display_name":"Variance reduction","score":0.7863710522651672},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.7405050992965698},{"id":"https://openalex.org/keywords/importance-sampling","display_name":"Importance sampling","score":0.7265722751617432},{"id":"https://openalex.org/keywords/sampling","display_name":"Sampling (signal processing)","score":0.6413931846618652},{"id":"https://openalex.org/keywords/queue","display_name":"Queue","score":0.6162418723106384},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5732004046440125},{"id":"https://openalex.org/keywords/asymptotically-optimal-algorithm","display_name":"Asymptotically optimal algorithm","score":0.5427806973457336},{"id":"https://openalex.org/keywords/simple-random-sample","display_name":"Simple random sample","score":0.5414375066757202},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5362415313720703},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5229564309120178},{"id":"https://openalex.org/keywords/zero","display_name":"Zero (linguistics)","score":0.5164494514465332},{"id":"https://openalex.org/keywords/queueing-theory","display_name":"Queueing theory","score":0.4713313579559326},{"id":"https://openalex.org/keywords/discrete-event-simulation","display_name":"Discrete event simulation","score":0.4569760262966156},{"id":"https://openalex.org/keywords/simple","display_name":"Simple (philosophy)","score":0.4451347291469574},{"id":"https://openalex.org/keywords/polynomial","display_name":"Polynomial","score":0.42917656898498535},{"id":"https://openalex.org/keywords/large-deviations-theory","display_name":"Large deviations theory","score":0.4238322377204895},{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.4197961390018463},{"id":"https://openalex.org/keywords/rare-events","display_name":"Rare events","score":0.41747719049453735},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.38882312178611755},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3557005822658539},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3034493327140808},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.23189151287078857},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.11376628279685974},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.098082035779953}],"concepts":[{"id":"https://openalex.org/C62644790","wikidata":"https://www.wikidata.org/wiki/Q3454689","display_name":"Variance reduction","level":3,"score":0.7863710522651672},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.7405050992965698},{"id":"https://openalex.org/C52740198","wikidata":"https://www.wikidata.org/wiki/Q1539564","display_name":"Importance sampling","level":3,"score":0.7265722751617432},{"id":"https://openalex.org/C140779682","wikidata":"https://www.wikidata.org/wiki/Q210868","display_name":"Sampling (signal processing)","level":3,"score":0.6413931846618652},{"id":"https://openalex.org/C160403385","wikidata":"https://www.wikidata.org/wiki/Q220543","display_name":"Queue","level":2,"score":0.6162418723106384},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5732004046440125},{"id":"https://openalex.org/C181789720","wikidata":"https://www.wikidata.org/wiki/Q4812191","display_name":"Asymptotically optimal algorithm","level":2,"score":0.5427806973457336},{"id":"https://openalex.org/C20353970","wikidata":"https://www.wikidata.org/wiki/Q1056998","display_name":"Simple random sample","level":3,"score":0.5414375066757202},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5362415313720703},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5229564309120178},{"id":"https://openalex.org/C2780813799","wikidata":"https://www.wikidata.org/wiki/Q3274237","display_name":"Zero (linguistics)","level":2,"score":0.5164494514465332},{"id":"https://openalex.org/C22684755","wikidata":"https://www.wikidata.org/wiki/Q847526","display_name":"Queueing theory","level":2,"score":0.4713313579559326},{"id":"https://openalex.org/C147203929","wikidata":"https://www.wikidata.org/wiki/Q574814","display_name":"Discrete event simulation","level":2,"score":0.4569760262966156},{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.4451347291469574},{"id":"https://openalex.org/C90119067","wikidata":"https://www.wikidata.org/wiki/Q43260","display_name":"Polynomial","level":2,"score":0.42917656898498535},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.4238322377204895},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.4197961390018463},{"id":"https://openalex.org/C2777317252","wikidata":"https://www.wikidata.org/wiki/Q18393516","display_name":"Rare events","level":2,"score":0.41747719049453735},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38882312178611755},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3557005822658539},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3034493327140808},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.23189151287078857},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.11376628279685974},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.098082035779953},{"id":"https://openalex.org/C149923435","wikidata":"https://www.wikidata.org/wiki/Q37732","display_name":"Demography","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.0},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C2908647359","wikidata":"https://www.wikidata.org/wiki/Q2625603","display_name":"Population","level":2,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/wsc.2005.1574307","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2005.1574307","pdf_url":null,"source":{"id":"https://openalex.org/S4363608800","display_name":"Proceedings of the Winter Simulation Conference, 2005.","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Winter Simulation Conference, 2005.","raw_type":"proceedings-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.415.1366","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.415.1366","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.informs-sim.org/wsc05papers/075.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.579.9702","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.579.9702","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.tcs.tifr.res.in/~sandeepj/avail_papers/WSC_NEGATIVE.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Reduced inequalities","score":0.5199999809265137,"id":"https://metadata.un.org/sdg/10"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1602773783","https://openalex.org/W2004570925","https://openalex.org/W2019055161","https://openalex.org/W2037478404","https://openalex.org/W2060859869","https://openalex.org/W2077846544","https://openalex.org/W2100757903","https://openalex.org/W2109380050","https://openalex.org/W2128005148","https://openalex.org/W2139154839","https://openalex.org/W2146416787","https://openalex.org/W2502254989","https://openalex.org/W4301668410"],"related_works":["https://openalex.org/W363903320","https://openalex.org/W2145230678","https://openalex.org/W2376074353","https://openalex.org/W2103055865","https://openalex.org/W2010899721","https://openalex.org/W1588024099","https://openalex.org/W2102034078","https://openalex.org/W2092770124","https://openalex.org/W2585997016","https://openalex.org/W4391381742"],"abstract_inverted_index":{"We":[0,83],"consider":[1],"importance":[2,77],"sampling":[3,78],"simulation":[4],"for":[5,37,48],"es-timating":[6],"rare":[7],"event":[8],"probabilities":[9],"in":[10],"the":[11,24,39,70,104],"presence":[12],"of":[13,103],"heavy-tailed":[14],"distributions":[15],"that":[16,41,90],"have":[17],"polynomial-like":[18],"tails.":[19],"In":[20],"particular,":[21],"we":[22,65],"prove":[23],"following":[25],"negative":[26],"result:":[27],"there":[28],"does":[29],"not":[30],"exist":[31],"an":[32,101],"asymptotically":[33],"opti-mal":[34],"state-independent":[35],"change-of-measure":[36,95],"estimat-ing":[38],"probability":[40],"a":[42,49,54,86,91],"random":[43],"walk":[44],"(respectively,":[45,61],"queue":[46],"length":[47],"single":[50],"server":[51],"queue)":[52],"exceeds":[53],"\u201chigh\u201d":[55],"threshold":[56],"before":[57],"going":[58],"below":[59],"zero":[60],"becom-ing":[62],"empty).":[63],"Furthermore,":[64],"derive":[66],"explicit":[67],"bounds":[68],"on":[69,100],"best":[71],"asymptotic":[72],"variance":[73],"reduction":[74],"achieved":[75],"by":[76],"relative":[79],"to":[80],"na\u0308\u0131ve":[81],"simulation.":[82],"illustrate":[84],"through":[85],"simple":[87],"numerical":[88],"example":[89],"\u201cgood":[92],"\u201d":[93],"state-dependent":[94],"may":[96],"be":[97],"de-veloped":[98],"based":[99],"approximation":[102],"zero-variance":[105],"measure.":[106],"1":[107]},"counts_by_year":[{"year":2012,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
