On the importance function in splitting simulation
نویسندگان
چکیده
منابع مشابه
Rare Event Simulation On the importance function in splitting simulation
The splitting method is a simulation technique for the estimation of very small probabilities. In this technique, the sample paths are split into multiple copies, at various stages in the simulation. Of vital importance to the efficiency of the method is the Importance Function (IF). This function governs the placement of the thresholds or surfaces at which the paths are split. We derive a char...
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An overview of importance splitting for rare event simulation
Monte Carlo simulations are a classical tool to analyse physical systems. When unlikely events are to be simulated, the importance sampling technique is often used instead of Monte Carlo. Importance sampling has some drawbacks when the problem dimensionality is high or when the optimal importance sampling density is complex to obtain. In this paper, we focus on a quite novel but somehow confide...
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چکیده ندارد.
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ژورنال
عنوان ژورنال: European Transactions on Telecommunications
سال: 2002
ISSN: 1124-318X
DOI: 10.1002/ett.4460130408