An Importance Sampling Method with Applications to Rare Event Probability

摘要：

It usually takes long time to simulate rare event using traditional Monte Carlo method, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. A new implementation for importance sampling method to estimate rare event probability in simulation models is proposed in this paper, in which the classical exponential change of measure is adopted to construct the family of importance sampling distributions, and the optimal importance sampling distribution is obtained by minimizing the variance of importance sampling estimator. Numerical experiment has been conducted and the result indicates that the method can effectively estimate the rare event probability.

作者: Yue QIU Hong ZHOU Yueqin WU

作者单位: Beihang University Beijing 100083, P.R China School of Economics & Management, Beihang University

会议类型: 国际会议

会议名称: 2007年IEEE灰色系统与智能服务国际会议(2007 IEEE International Conference on Grey Systems and Intelligent Services)

会议地点: 南京

会议语种:英文

在线出版日期: 2007-11-18（万方平台首次上网日期，不代表论文的发表时间）