A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis

DOI10.1239/JAP/1245676098MaRDI QIDQ5321760zbMATH OpenOpenAlexFDO

Authors Agnès Lagnoux-Renaudie

Publication date 15 July 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1245676098

zbMATH Keywords

algorithmcost functionGalton-Watson branching processiterated functionLaplace transformnumerical examplesrare eventsimulationsplitting method

Mathematics Subject Classification ID

Laplace transform (44A10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cites work

• A sequential particle algorithm that keeps the particle system alive
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• Effective branching splitting method under cost constraint
• Fast simulation of rare events in queueing and reliability models
• scientific article; zbMATH DE number 1666084 (Why is no real title available?)
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• On Monte Carlo estimation of large deviations probabilities
• Probability approximations via the Poisson clumping heuristic
• Rare event restart simulation of two-stage networks
• RARE EVENT SIMULATION

Cited in

(9)

• Splitting for multi-objective optimization
• Unbiased simulation of rare events in continuous time
• On the use of smoothing to improve the performance of the splitting method
• Counting with combined splitting and capture--recapture methods
• Splitting for optimization
• Stochastic enumeration method for counting NP-hard problems
• How to generate uniform samples on discrete sets using the splitting method
• Adaptive multilevel splitting: historical perspective and recent results
• Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities

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