On efficiency of multilevel splitting

D.I. Miretskiy, Willem R.W. Scheinhardt, M.R.H. Mandjes

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3 Citations (Scopus)
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Abstract

This article focuses on estimating rare events using multilevel splitting schemes. The event of interest is that a Markov process enters some rare set before another (“tabu‿) set. It is known that in this setting a large deviations analysis is not always sufficient for constructing asymptotically efficient importance sampling schemes; additional modifications to the change of measure suggested by large deviations are needed. As an alternative, we design an asymptotically efficient multilevel splitting scheme that relies on the large deviations analysis only. This property makes it more flexible and easier to implement than corresponding importance sampling schemes.
Original languageUndefined
Pages (from-to)890-904
Number of pages15
JournalCommunication in statistics : theory and methods
Volume41
Issue number6
DOIs
Publication statusPublished - 2012

Keywords

  • EWI-23197
  • MSC-60J22
  • MSC-65C05
  • MSC-60K25
  • Fast simulation techniques
  • Queueing networks
  • Server slowdown
  • Variance reduction
  • Splitting method
  • METIS-296369
  • IR-85224
  • Asymptotic efficiency

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