A key challenge for an efficient splitting technique is defining the importance function. If the rare event set consists of multiple separated subsets this challenge becomes bigger since the most likely path to the rare event set may be very different from the most likely path to an intermediate level. We propose to mitigate this problem of path deviation by estimating the subset probabilities separately using a modified splitting technique. We compare the proposed separated splitting technique with a standard splitting technique by estimating the probability of entering either of two separated intervals on the real line. The squared relative error of the estimator is shown to be significantly higher when using standard splitting than when using separated splitting. We show that this difference increases if the rare event probability becomes smaller, illustrating the advantage of the separated splitting technique.
multilevel splitting, rare event simulation, importance function
Monte Carlo methods (msc 65C05)
Other (theme 6)
A. Tolk , S.Y. Diallo , I.O. Ryshov , L. Yilmaz , S. Buckley , J.A. Miller
Winter Simulation Conference
Published paper: DOI: 10.1109/WSC.2014.7019917
Scientific Computing

Wadman, W.S, Crommelin, D.T, & Frank, J.E. (2014). A Separated Splitting Technique for Disconnected Rare Event Sets. In A Tolk, S.Y Diallo, I.O Ryshov, L Yilmaz, S Buckley, & J.A Miller (Eds.), .