A large deviations perspective on the efficiency of multilevel splitting

DOI10.1109/9.736061MaRDI QIDQ4506602zbMATH OpenOpenAlexFDO

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

Publication date 17 October 2000

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.736061

zbMATH Keywords

multilevel splitting method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Network design and communication in computer systems (68M10) Communication networks in operations research (90B18)

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(19)

• Splitting for rare event simulation: A large deviation approach to design and analysis
• Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
• Multilevel splitting for estimating rare event probabilities
• Analysis of adaptive multilevel splitting algorithms in an idealized case
• Adaptive Multilevel Splitting for Rare Event Analysis
• Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting
• Analysis of an interacting particle method for rare event estimation
• scientific article; zbMATH DE number 1103062 (Why is no real title available?)
• On efficiency of multilevel splitting
• Collapse of transitional wall turbulence captured using a rare events algorithm
• Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain
• Unbiasedness of some generalized adaptive multilevel splitting algorithms
• A large-deviation-based splitting estimation of power flow reliability
• Rare-event simulation for neural network and random forest predictors
• The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
• A combined splitting-cross entropy method for rare-event probability estimation of queueing networks
• Efficient Monte Carlo simulation via the generalized splitting method
• Rare event restart simulation of two-stage networks
• Effective branching splitting method under cost constraint

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