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Conference Papers Year : 2013

A combined importance splitting and sampling algorithm for rare event estimation

Abstract

We propose some methodological basis for an improvement to the splitting method for a Markov process that evolves over a deterministic time horizon. Our algorithm is based on a decomposition of the selection functions that gives more importance to some well-chosen trajectories, typically those trajectories that manage to move earlier than others towards the critical region. Central limit theorem is established and numerical experiments are provided.
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Dates and versions

hal-01058411 , version 1 (26-08-2014)

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Damien Jacquemart-Tomi, Jérôme Morio, François Le Gland. A combined importance splitting and sampling algorithm for rare event estimation. Proceedings of the 2013 Winter Simulation Conference, Washington 2013, Dec 2013, WASHINGTON, United States. pp.1035-1046, ⟨10.1109/WSC.2013.6721493⟩. ⟨hal-01058411⟩
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