Abstract:
In this note, a general framework is proposed for using importance splitting to estimate rare event probabilities with finite-time constraints. We prove that the splittin...Show MoreMetadata
Abstract:
In this note, a general framework is proposed for using importance splitting to estimate rare event probabilities with finite-time constraints. We prove that the splitting estimator is unbiased and characterize the optimal splitting curves. A new unbiased estimator with truncated sample paths is proposed to improve computational efficiency, and a pilot algorithm is provided to determine the optimal truncation and splitting curves. Numerical examples illustrate the optimality of the splitting curves and the effectiveness of the new estimator.
Published in: IEEE Transactions on Automatic Control ( Volume: 63, Issue: 6, June 2018)