Work

Splitting for rare event simulation

Year: 1996

Type: conference-paper

Abstract: An approach to rare event simulation uses the technique of splitting. The basic idea is to split sample paths of the stochastic process into multiple copies when they approach closer to the rare set; this increases the overall number of hits to the rare set for a given amount of simulation time. This paper analyzes the bias and efficiency of some simple cases of this method.

Source: Winter Simulation Conference

DOI: 10.1145/256562.256635

Authors: Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic

Institutions: Columbia University, IBM (United States), IBM Research - Thomas J. Watson Research Center

Language: English

Topic: Simulation Techniques and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

Funder: National Science Foundation

Award: University - Industry Cooperative Research Programs in the Mathematical Sciences: Large Deviations Analysis and Monte Carlo Methods for High Speed Telecommunications Networks