NDLI: A separated splitting technique for disconnected rare event sets

Content Provider	IEEE Xplore Digital Library
Author	Wadman, Wander Crommelin, Daan Frank, Jason
Copyright Year	2014
Description	Author affiliation: CWI Amsterdam, Science Park 123, 1098 XG, THE NETHERLANDS (Wadman, Wander; Crommelin, Daan; Frank, Jason)
Abstract	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.
Starting Page	522
Ending Page	532
File Size	180570
Page Count	11
File Format	PDF
e-ISBN	9781479974863
DOI	10.1109/WSC.2014.7019917
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-12-07
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Computational modeling Standards Reliability Monte Carlo methods Stochastic processes Estimation Power grids
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
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