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2002

On the importance function in splitting simulation

9 years 3 months ago
On the importance function in splitting simulation
The splitting method is a simulation technique for the estimation of very small probabilities. In this technique, the sample paths are split into multiple copies, at various stages in the simulation. Of vital importance to the efficiency of the method is the Importance Function (IF). This function governs the placement of the thresholds or surfaces at which the paths are split. We derive a characterisation of the optimal IF and show that for multi-dimensional models the "natural" choice for the IF is usually not optimal. We also show how nearly optimal splitting surfaces can be derived or simulated using reverse time analysis. Our numerical experiments illustrate that by using the optimal IF, one can obtain a significant improvement in simulation efficiency.
Marnix J. J. Garvels, Jan-Kees C. W. van Ommeren,
Added 19 Dec 2010
Updated 19 Dec 2010
Type Journal
Year 2002
Where ETT
Authors Marnix J. J. Garvels, Jan-Kees C. W. van Ommeren, Dirk P. Kroese
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