کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156385 | 958826 | 2008 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effective branching splitting method under cost constraint
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper deals with the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into RR multiple copies at various stages during the simulation. Given the cost, the optimization of the algorithm suggests sampling a number of subtrials which may be non-integer and even unknown but estimated. To avoid this problem, we present in this paper three different approaches which provide precise estimates of the relative error between P(A)P(A) and its estimator.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 118, Issue 10, October 2008, Pages 1820–1851
Journal: Stochastic Processes and their Applications - Volume 118, Issue 10, October 2008, Pages 1820–1851
نویسندگان
Agnès Lagnoux-Renaudie,