Efficient Monte Carlo for High Excursions of Gaussian Random Fields

@inproceedings{Adler2010EfficientMC,
  title={Efficient Monte Carlo for High Excursions of Gaussian Random Fields},
  author={Robert J. Adler and Jose H. Blanchet and Jingchen Liu},
  year={2010}
}
Our focus is on the design and analysis of efficient Monte Carlo methods for computing tail probabilities for the suprema of Gaussian random fields, along with conditional expectations of functionals of the fields given the existence of excursions above high levels, b. Näıve Monte Carlo takes an exponential, in b, computational cost to estimate these probabilities and conditional expectations for a prescribed relative accuracy. In contrast, our Monte Carlo procedures achieve, at worst… CONTINUE READING
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