Multilevel Splitting for Estimating Rare Event Probabilities
Glasserman, P.
Heidelberger, P.
Shahabuddin, P.
Zajic, T.
Abstract
| ying at least the rough asymptotics of a rare event probability,
often described by a large deviations result. This type of analysis
can be formidable in complex models, so the domain of importance
sampling, while substantial, does not include all problems of
interest. This work deals with an alternative method for rare event
simulation that uses the technique of splitting
|
Keywords
split/restart
rare event
Notes
Related Papers
Bibtex
@ARTICLE {glasserman.heidelberger_rare99,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin and T. Zajic},
title = {Multilevel Splitting for Estimating Rare Event Probabilities},
journal = {Operations Research},
volume = {47},
number = {4},
pages = {585 -- 600},
year = {1999},
url = "citeseer.nj.nec.com/glasserman99multilevel.html"
}