On the importance function in splitting simulation

Garvels, Marnix J. J., van Ommeren, Jan- Kees C. W. and Kroese, Dirk P. (2002) On the importance function in splitting simulation. European Transactions on Telecommunications, 13 4: 363-371. doi:10.1002/ett.4460130408

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Author Garvels, Marnix J. J.
van Ommeren, Jan- Kees C. W.
Kroese, Dirk P.
Title On the importance function in splitting simulation
Journal name European Transactions on Telecommunications
ISSN 1124-318X
Publication date 2002-07
Sub-type Article (original research)
DOI 10.1002/ett.4460130408
Volume 13
Issue 4
Start page 363
End page 371
Total pages 9
Place of publication United Kingdom
Publisher Wiley-Blackwell Publishing Ltd.
Collection year 2002
Language eng
Subject 230202 Stochastic Analysis and Modelling
780101 Mathematical sciences
Abstract 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.
Keyword Telecommunications
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Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
School of Physical Sciences Publications
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Created: Tue, 14 Aug 2007, 17:23:08 EST