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Conference papers
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.
Cited literature [16 references]
https://hal-onera.archives-ouvertes.fr/hal-01058411
Contributor : Alain Broc <>
Submitted on : Tuesday, August 26, 2014 - 5:29:39 PM
Last modification on : Friday, July 10, 2020 - 4:18:15 PM
Long-term archiving on: : Thursday, November 27, 2014 - 4:31:29 PM
Contributor : Alain Broc <>
Submitted on : Tuesday, August 26, 2014 - 5:29:39 PM
Last modification on : Friday, July 10, 2020 - 4:18:15 PM
Long-term archiving on: : Thursday, November 27, 2014 - 4:31:29 PM
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DCPS13045.1387560802.pdf
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