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ERIC Number: EJ901545
Record Type: Journal
Publication Date: 2010-Sep
Pages: 9
Abstractor: As Provided
ISSN: ISSN-0143-0807
An Overview of Importance Splitting for Rare Event Simulation
Morio, Jerome; Pastel, Rudy; Le Gland, Francois
European Journal of Physics, v31 n5 p1295-1303 Sep 2010
Monte Carlo simulations are a classical tool to analyse physical systems. When unlikely events are to be simulated, the importance sampling technique is often used instead of Monte Carlo. Importance sampling has some drawbacks when the problem dimensionality is high or when the optimal importance sampling density is complex to obtain. In this paper, we focus on a quite novel but somehow confidential alternative to importance sampling called importance splitting. (Contains 8 tables and 2 figures.)
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Publication Type: Journal Articles; Reports - Descriptive
Education Level: Higher Education
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A