Multilevel branching and splitting algorithm for estimating rare event probabilities
نویسندگان
چکیده
منابع مشابه
Multilevel branching and splitting algorithm for estimating rare event probabilities
We analyse the splitting algorithm performance in the estimation of rare event probabilities and this in a discrete multidimensional framework. For this we assume that each threshold is partitioned into disjoint subsets and the probability for a particle to reach the next threshold will depend on the starting subset. A straightforward estimator of the rare event probability is given by the prop...
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The estimation of rare event probability is a crucial issue in areas such as reliability, telecommunications, aircraft management. In complex systems, analytical study is out of question and one has to use Monte Carlo methods. When rare is really rare, which means a probability less than 10−9, naive Monte Carlo becomes unreasonable. A widespread technique consists in multilevel splitting, but t...
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ژورنال
عنوان ژورنال: Simulation Modelling Practice and Theory
سال: 2017
ISSN: 1569-190X
DOI: 10.1016/j.simpat.2016.12.009