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- W2757923034 abstract "In this note, a general framework is proposed for using importance splitting to estimate rare event probabilities with finite-time constraints. We prove that the splitting estimator is unbiased and characterize the optimal splitting curves. A new unbiased estimator with truncated sample paths is proposed to improve computational efficiency, and a pilot algorithm is provided to determine the optimal truncation and splitting curves. Numerical examples illustrate the optimality of the splitting curves and the effectiveness of the new estimator." @default.
- W2757923034 created "2017-10-06" @default.
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- W2757923034 date "2018-06-01" @default.
- W2757923034 modified "2023-09-23" @default.
- W2757923034 title "Importance Splitting for Finite-Time Rare Event Simulation" @default.
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- W2757923034 doi "https://doi.org/10.1109/tac.2017.2758171" @default.
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