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.
Domains
Engineering Sciences [physics]
Origin : Files produced by the author(s)
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