A combined importance splitting and sampling algorithm for rare event estimation - ONERA - Office national d'études et de recherches aérospatiales Accéder directement au contenu
Communication Dans Un Congrès Année : 2013

A combined importance splitting and sampling algorithm for rare event estimation

Résumé

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.
Fichier principal
Vignette du fichier
DCPS13045.1387560802.pdf (176.25 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

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

Identifiants

Citer

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⟩
352 Consultations
325 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More