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An overview of importance splitting for rare event simulation

Jérôme Morio 1 Rudy Pastel 1, 2 François Le Gland 2 
2 ASPI - Applications of interacting particle systems to statistics
UR1 - Université de Rennes 1, Inria Rennes – Bretagne Atlantique , CNRS - Centre National de la Recherche Scientifique : UMR6074
Abstract : 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 confidential alternative to importance sampling called importance splitting.
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Submitted on : Sunday, December 1, 2013 - 12:49:17 PM
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Jérôme Morio, Rudy Pastel, François Le Gland. An overview of importance splitting for rare event simulation. European Journal of Physics, European Physical Society, 2010, 31 (5), pp.1295-1303. ⟨10.1088/0143-0807/31/5/028⟩. ⟨hal-00911996⟩



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