Splitting Methods for Rare-Event SimulationSome Issues in Large-Scale Stochastic Hybrid Systems

Abstract : In this presentation, we review an alternative technique called splitting, which accelerates the rate of occurrence of the rare events of interest. Here, we do not change the probability laws driving the model. Instead, we use a selection mechanism to favour the trajectories deemed likely to lead to those rare events. The main idea is to decompose the paths to the rare events of interest into shorter subpaths whose probability is not so small, encourage the realizations that take these subpaths (leading to the event of interest) by giving them a chance to reproduce (a bit like in selective evolution), and discourage the realizations that go in the wrong direction by killing them with some positive probability.
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  • HAL Id : hal-00968718, version 1

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François Le Gland, Henk Blom, Jaroslav Krystul, Pascal Lezaud. Splitting Methods for Rare-Event SimulationSome Issues in Large-Scale Stochastic Hybrid Systems. RESIM 2008, 7th International Workshop on Rare Event Simulation, Sep 2008, Rennes, France. ⟨hal-00968718⟩

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