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Importance Splitting for Finite-Time Rare Event Simulation | IEEE Journals & Magazine | IEEE Xplore

Importance Splitting for Finite-Time Rare Event Simulation


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 More

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)
Page(s): 1760 - 1767
Date of Publication: 29 September 2017

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