{"id":"https://openalex.org/W2118479715","doi":"https://doi.org/10.1145/1667072.1667078","title":"Asymptotic robustness of estimators in rare-event simulation","display_name":"Asymptotic robustness of estimators in rare-event simulation","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2118479715","doi":"https://doi.org/10.1145/1667072.1667078","mag":"2118479715"},"language":"en","primary_location":{"id":"doi:10.1145/1667072.1667078","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1667072.1667078","pdf_url":null,"source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-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/A5091510633","display_name":"Pierre L\u2019Ecuyer","orcid":"https://orcid.org/0000-0002-3184-0796"},"institutions":[{"id":"https://openalex.org/I70931966","display_name":"Universit\u00e9 de Montr\u00e9al","ror":"https://ror.org/0161xgx34","country_code":"CA","type":"education","lineage":["https://openalex.org/I70931966"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Pierre L'Ecuyer","raw_affiliation_strings":["Universit\u00e9 de Montreal, Montr\u00e9al, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e9 de Montreal, Montr\u00e9al, Canada","institution_ids":["https://openalex.org/I70931966"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011147039","display_name":"Jos\u00e9 Blanchet","orcid":"https://orcid.org/0000-0001-5895-0912"},"institutions":[{"id":"https://openalex.org/I136199984","display_name":"Harvard University","ror":"https://ror.org/03vek6s52","country_code":"US","type":"education","lineage":["https://openalex.org/I136199984"]},{"id":"https://openalex.org/I2801851002","display_name":"Harvard University Press","ror":"https://ror.org/006v7bf86","country_code":"US","type":"other","lineage":["https://openalex.org/I136199984","https://openalex.org/I2801851002"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jose H. Blanchet","raw_affiliation_strings":["Harvard University, Cambridge, MA","Harvard University, Cambridge, Ma.#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Harvard University, Cambridge, MA","institution_ids":["https://openalex.org/I2801851002"]},{"raw_affiliation_string":"Harvard University, Cambridge, Ma.#TAB#","institution_ids":["https://openalex.org/I136199984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079962386","display_name":"Bruno Tuffin","orcid":"https://orcid.org/0000-0001-9415-1130"},"institutions":[{"id":"https://openalex.org/I1326498283","display_name":"Institut national de recherche en sciences et technologies du num\u00e9rique","ror":"https://ror.org/02kvxyf05","country_code":"FR","type":"government","lineage":["https://openalex.org/I1326498283"]},{"id":"https://openalex.org/I2802519937","display_name":"Institut de Recherche en Informatique et Syst\u00e8mes Al\u00e9atoires","ror":"https://ror.org/00myn0z94","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I205703379","https://openalex.org/I2802204017","https://openalex.org/I2802519937","https://openalex.org/I28221208","https://openalex.org/I4210127572","https://openalex.org/I4210159245","https://openalex.org/I56067802"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Bruno Tuffin","raw_affiliation_strings":["IRISA--INRIA, Rennes Cedex, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IRISA--INRIA, Rennes Cedex, France","institution_ids":["https://openalex.org/I1326498283","https://openalex.org/I2802519937"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019114258","display_name":"Peter W. Glynn","orcid":"https://orcid.org/0000-0003-1370-6638"},"institutions":[{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Peter W. Glynn","raw_affiliation_strings":["Stanford University, Stanford, CA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stanford University, Stanford, CA","institution_ids":["https://openalex.org/I97018004"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":6,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":15.7371,"has_fulltext":false,"cited_by_count":101,"citation_normalized_percentile":{"value":0.99186108,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"20","issue":"1","first_page":"1","last_page":"41"},"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10243","display_name":"Statistical Methods and Bayesian Inference","score":0.9519000053405762,"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/estimator","display_name":"Estimator","score":0.8128538131713867},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6788070201873779},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.6775711178779602},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.6483433246612549},{"id":"https://openalex.org/keywords/logarithm","display_name":"Logarithm","score":0.540642499923706},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5308103561401367},{"id":"https://openalex.org/keywords/second-moment-of-area","display_name":"Second moment of area","score":0.4507265090942383},{"id":"https://openalex.org/keywords/delta-method","display_name":"Delta method","score":0.43131399154663086},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.4158455729484558},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.24132102727890015},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.11213493347167969}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8128538131713867},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6788070201873779},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.6775711178779602},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.6483433246612549},{"id":"https://openalex.org/C39927690","wikidata":"https://www.wikidata.org/wiki/Q11197","display_name":"Logarithm","level":2,"score":0.540642499923706},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5308103561401367},{"id":"https://openalex.org/C61062188","wikidata":"https://www.wikidata.org/wiki/Q835065","display_name":"Second moment of area","level":2,"score":0.4507265090942383},{"id":"https://openalex.org/C971699","wikidata":"https://www.wikidata.org/wiki/Q1132714","display_name":"Delta method","level":3,"score":0.43131399154663086},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.4158455729484558},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.24132102727890015},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.11213493347167969},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1145/1667072.1667078","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1667072.1667078","pdf_url":null,"source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.232.6905","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.232.6905","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://hal.inria.fr/docs/00/17/01/16/PDF/PI-1863.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.301.2379","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.301.2379","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.iro.umontreal.ca/~lecuyer/myftp/papers/robust.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.72.1497","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.72.1497","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.iro.umontreal.ca/~lecuyer/myftp/papers/robust.pdf","raw_type":"text"},{"id":"pmh:oai:HAL:hal-00793291v1","is_oa":false,"landing_page_url":"https://inria.hal.science/hal-00793291","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation, 2010, 20 (1), pp.Article 6. &#x27E8;10.1145/1667072.1667078&#x27E9;","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7665999640","display_name":null,"funder_award_id":"ODGP0110050","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G7874585000","display_name":null,"funder_award_id":"DMS0595595","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"},{"id":"https://openalex.org/G8216039974","display_name":null,"funder_award_id":"2002284","funder_id":"https://openalex.org/F4320308960","funder_display_name":"United States - Israel Binational Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320308960","display_name":"United States - Israel Binational Science Foundation","ror":"https://ror.org/00j8z2m73"},{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"},{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W52674758","https://openalex.org/W138279588","https://openalex.org/W1580385316","https://openalex.org/W1596126913","https://openalex.org/W1602773783","https://openalex.org/W1621653743","https://openalex.org/W1732831478","https://openalex.org/W1735849260","https://openalex.org/W1971639230","https://openalex.org/W1977691343","https://openalex.org/W1981918347","https://openalex.org/W1985912219","https://openalex.org/W1990674830","https://openalex.org/W1991873304","https://openalex.org/W2000521974","https://openalex.org/W2008228386","https://openalex.org/W2014208555","https://openalex.org/W2031669371","https://openalex.org/W2035155944","https://openalex.org/W2040667028","https://openalex.org/W2062336021","https://openalex.org/W2064975723","https://openalex.org/W2069644532","https://openalex.org/W2070406436","https://openalex.org/W2071157273","https://openalex.org/W2071584168","https://openalex.org/W2072603245","https://openalex.org/W2087018957","https://openalex.org/W2099490136","https://openalex.org/W2105099705","https://openalex.org/W2108423605","https://openalex.org/W2121403078","https://openalex.org/W2122502060","https://openalex.org/W2128005148","https://openalex.org/W2137306058","https://openalex.org/W2140198391","https://openalex.org/W2145623068","https://openalex.org/W2146339353","https://openalex.org/W2146416787","https://openalex.org/W2149228262","https://openalex.org/W2154151239","https://openalex.org/W2164863330","https://openalex.org/W2169071224","https://openalex.org/W2171952443","https://openalex.org/W2316512473","https://openalex.org/W2482577837","https://openalex.org/W2576544140","https://openalex.org/W2587926013","https://openalex.org/W2611591252","https://openalex.org/W2751862591","https://openalex.org/W2796474998","https://openalex.org/W3099598024","https://openalex.org/W3103468122","https://openalex.org/W3143893444","https://openalex.org/W4206038828","https://openalex.org/W4247477375","https://openalex.org/W4253361323","https://openalex.org/W4254783709","https://openalex.org/W4285719527","https://openalex.org/W4300526689","https://openalex.org/W6635962571","https://openalex.org/W6636730909","https://openalex.org/W6845640053","https://openalex.org/W7058235192"],"related_works":["https://openalex.org/W4206455007","https://openalex.org/W2112927832","https://openalex.org/W2966643660","https://openalex.org/W2061820889","https://openalex.org/W2560464849","https://openalex.org/W1511751337","https://openalex.org/W3015240854","https://openalex.org/W3173152589","https://openalex.org/W2102737182","https://openalex.org/W3121253862"],"abstract_inverted_index":{"The":[0],"asymptotic":[1,35,203],"robustness":[2,204,226],"of":[3,8,15,47,64,74,81,90,99,108,136,149,196,209,235,250,260,296,306],"estimators":[4],"as":[5,24,71],"a":[6,9,72,128,171,229,233,257,286],"function":[7,73],"rarity":[10,76],"parameter,":[11],"in":[12,170,193,206,294],"the":[13,62,65,75,82,155,159,194,207,222,242,247,251,304,307],"context":[14,208],"rare-event":[16],"simulation,":[17],"is":[18,118,178,244],"often":[19],"qualified":[20],"by":[21],"properties":[22,39,86,147,169,227,276],"such":[23],"bounded":[25,96],"relative":[26,97,133],"error":[27],"(BRE)":[28],"and":[29,84,105,126,140,158,214,268,273,288],"logarithmic":[30,106],"efficiency":[31,107],"(LE),":[32],"also":[33,124,284],"called":[34,131],"optimality.":[36],"However,":[37],"these":[38,168,188,225,275],"do":[40,58],"not":[41,59],"suffice":[42],"to":[43,180,245],"ensure":[44],"that":[45,61,87,200,265,274,298],"moments":[46],"order":[48,100,109,137],"higher":[49],"than":[50],"one":[51],"are":[52,94,148,271],"well":[53],"estimated.":[54],"For":[55],"example,":[56],"they":[57],"guarantee":[60],"variance":[63,67],"empirical":[66,156,160],"remains":[68],"under":[69],"control":[70],"parameter.":[77],"We":[78,123,162,185,283],"study":[79,221],"generalizations":[80],"BRE":[83],"LE":[85],"take":[88],"care":[89],"this":[91,254],"limitation.":[92],"They":[93],"named":[95],"moment":[98,135],"k":[101,103,110,112,115,138,267,270,281,293],"(BRM-":[102],")":[104],"(LE-":[111],"),":[113],"where":[114,143,173,241],"\u2265":[116],"1":[117],"an":[119],"arbitrary":[120],"real":[121],"number.":[122],"introduce":[125],"examine":[127],"stronger":[129,279],"notion":[130],"vanishing":[132],"centered":[134],",":[139],"exhibit":[141],"examples":[142],"it":[144],"holds.":[145],"These":[146],"interest":[150],"for":[151,167,232,256,291],"various":[152],"estimators,":[153],"including":[154],"mean":[157],"variance.":[161],"develop":[163],"(sufficient)":[164],"Lyapunov-type":[165],"conditions":[166,189],"setting":[172],"state-dependent":[174],"importance":[175],"sampling":[176],"(IS)":[177],"used":[179],"estimate":[181,246],"first-passage":[182],"time":[183],"probabilities.":[184],"show":[186,264],"how":[187],"can":[190,299],"guide":[191],"us":[192],"design":[195],"good":[197],"IS":[198,261],"schemes,":[199,262],"enjoy":[201],"convenient":[202],"properties,":[205],"random":[210],"walks":[211],"with":[212],"light-tailed":[213],"heavy-tailed":[215],"increments.":[216],"As":[217],"another":[218],"illustration,":[219],"we":[220,263],"hierarchy":[223],"between":[224],"(and":[228],"few":[230],"others)":[231],"model":[234],"highly":[236],"reliable":[237],"Markovian":[238],"system":[239],"(HRMS)":[240],"goal":[243],"failure":[248],"probability":[249],"system.":[252],"In":[253],"setting,":[255],"popular":[258],"class":[259],"BRM-":[266,292],"LE-":[269],"equivalent":[272],"become":[277],"strictly":[278],"when":[280],"increases.":[282],"obtain":[285],"necessary":[287],"sufficient":[289],"condition":[290],"terms":[295],"quantities":[297],"be":[300],"readily":[301],"computed":[302],"from":[303],"parameters":[305],"model.":[308]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":12},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":13},{"year":2012,"cited_by_count":10}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}
