A combined importance splitting and sampling algorithm for rare event estimation

Damien Jacquemart-Tomi 1 Jérôme Morio 1 François Le Gland 2
2 ASPI - Applications of interacting particle systems to statistics
IRMAR - Institut de Recherche Mathématique de Rennes, Inria Rennes – Bretagne Atlantique
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.
Document type :
Conference papers
Complete list of metadatas

Cited literature [16 references]  Display  Hide  Download

https://hal-onera.archives-ouvertes.fr/hal-01058411
Contributor : Alain Broc <>
Submitted on : Tuesday, August 26, 2014 - 5:29:39 PM
Last modification on : Tuesday, March 26, 2019 - 2:24:42 PM
Long-term archiving on : Thursday, November 27, 2014 - 4:31:29 PM

File

DCPS13045.1387560802.pdf
Files produced by the author(s)

Identifiers

Citation

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⟩

Share

Metrics

Record views

669

Files downloads

496