Splitting Methods for Rare-Event SimulationSome Issues in Large-Scale Stochastic Hybrid Systems
Résumé
In this presentation, we review an alternative technique called splitting, which accelerates the rate of occurrence of the rare events of interest. Here, we do not change the probability laws driving the model. Instead, we use a selection mechanism to favour the trajectories deemed likely to lead to those rare events. The main idea is to decompose the paths to the rare events of interest into shorter subpaths whose probability is not so small, encourage the realizations that take these subpaths (leading to the event of interest) by giving them a chance to reproduce (a bit like in selective evolution), and discourage the realizations that go in the wrong direction by killing them with some positive probability.