Restart: a straightforward method for fast simulation of rare events
WSC '94 Proceedings of the 26th conference on Winter simulation
Multilevel Splitting for Estimating Rare Event Probabilities
Operations Research
Splitting for rare-event simulation
Proceedings of the 38th conference on Winter simulation
Rare events, splitting, and quasi-Monte Carlo
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Accelerated rare event simulation with Markov chain modelling in wireless communication networks
International Journal of Mobile Network Design and Innovation
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In this article, a genetic-type algorithm based on interacting particle systems is presented, together with a genealogical model, for estimating a class of rare events arising for instance in telecommunication networks, nuclear engineering, etc. The distribution of a Markov process hitting a rare but critical set is represented in terms of a Feynman-Kac model in path space. Approximation results obtained previously for these models are applied here to estimate the probability of the rare events as well as the probability distribution of the critical trajectories.