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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.
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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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