NDLI: Splitting for Rare-Event Simulation

Content Provider	IEEE Xplore Digital Library
Author	L'Ecuyer, P. Demers, V. Tuffin, B.
Copyright Year	2006
Description	Author affiliation: Departement d'Informatique et de Recherche Oper., Montreal Univ., Que. (L'Ecuyer, P.; Demers, V.; Tuffin, B.)
Abstract	Splitting and importance sampling are the two primary techniques to make important rare events happen more frequently in a simulation, and obtain an unbiased estimator with much smaller variance than the standard Monte Carlo estimator. Importance sampling has been discussed and studied in several articles presented at the winter simulation conference in the past. A smaller number of WSC articles have examined splitting. In this paper, we review the splitting technique and discuss some of its strengths and limitations from the practical viewpoint. We also introduce improvements in the implementation of the multilevel splitting technique. This is done in a setting where we want to estimate the probability of reaching B before reaching (or returning to) A when starting from a fixed state $x_{o}$ notin B where A and B are two disjoint subsets of the state space and B is very rarely attained. This problem has several practical applications
Starting Page	137
Ending Page	148
File Size	225983
Page Count	12
File Format	PDF
ISBN	1424405009
DOI	10.1109/WSC.2006.323046
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2006-12-03
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Monte Carlo methods State estimation State-space methods Discrete event simulation H infinity control Costs Sufficient conditions
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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