Article

Splitting for rare-event simulation

Authors:

Pierre L'Ecuyer,

Valérie Demers,

Bruno TuffinAuthors Info & Claims

WSC '06: Proceedings of the 38th conference on Winter simulation

Pages 137 - 148

Published: 03 December 2006 Publication History

Abstract

Splitting and importance sampling are the two primary techniques to make important rare events happen more frequently in a simulation, and obtain an unbiased estimator with much smaller variance than the standard Monte Carlo estimator. Importance sampling has been discussed and studied in several articles presented at the Winter Simulation Conference in the past. A smaller number of WSC articles have examined splitting. In this paper, we review the splitting technique and discuss some of its strengths and limitations from the practical viewpoint. We also introduce improvements in the implementation of the multilevel splitting technique. This is done in a setting where we want to estimate the probability of reaching B before reaching (or returning to) A when starting from a fixed state x₀ ∈ B, where A and B are two disjoint subsets of the state space and B is very rarely attained. This problem has several practical applications.

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Cited By

L'Ecuyer PBotev ZKroese DJohansson BJain S(2018)On a generalized splitting method for sampling from a conditional distributionProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320723(1694-1705)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320723
Wadman WCrommelin DZwart B(2016)A Large-Deviation-Based Splitting Estimation of Power Flow ReliabilityACM Transactions on Modeling and Computer Simulation10.1145/287534226:4(1-26)Online publication date: 9-Feb-2016
https://dl.acm.org/doi/10.1145/2875342
Wadman WCrommelin DFrank JBuckley SMiller J(2014)A separated splitting technique for disconnected rare event setsProceedings of the 2014 Winter Simulation Conference10.5555/2693848.2693923(522-532)Online publication date: 7-Dec-2014
https://dl.acm.org/doi/10.5555/2693848.2693923
Show More Cited By

Splitting for rare-event simulation
1. Mathematics of computing
  1. Probability and statistics
    1. Probabilistic reasoning algorithms

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Published In

cover image ACM Conferences

WSC '06: Proceedings of the 38th conference on Winter simulation

December 2006

2429 pages

ISBN:1424405017

Editors:
L. Felipe Perrone
Bucknell University
,
Barry G. Lawson
University of Richmond
,
Jason Liu
Colorado School of Mines
,
Frederick P. Wieland
Sensis Corporation
,
General Chair:
David Nicol
University of Illinois, Urbana-Champaign
,
Program Chair:
Richard Fujimoto
College of Computing, Georgia Tech

Sponsors

IIE: Institute of Industrial Engineers
ASA: American Statistical Association
IEICE ESS: Institute of Electronics, Information and Communication Engineers, Engineering Sciences Society
IEEE-CS\DATC: The IEEE Computer Society
SIGSIM: ACM Special Interest Group on Simulation and Modeling
NIST: National Institute of Standards and Technology
(SCS): The Society for Modeling and Simulation International
INFORMS-CS: Institute for Operations Research and the Management Sciences-College on Simulation

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Winter Simulation Conference

Publication History

Published: 03 December 2006

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WSC06: Winter Simulation Conference 2006

December 3 - 6, 2006

California, Monterey

Acceptance Rates

WSC '06 Paper Acceptance Rate 177 of 252 submissions, 70%;

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

L'Ecuyer PBotev ZKroese DJohansson BJain S(2018)On a generalized splitting method for sampling from a conditional distributionProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320723(1694-1705)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320723
Wadman WCrommelin DZwart B(2016)A Large-Deviation-Based Splitting Estimation of Power Flow ReliabilityACM Transactions on Modeling and Computer Simulation10.1145/287534226:4(1-26)Online publication date: 9-Feb-2016
https://dl.acm.org/doi/10.1145/2875342
Wadman WCrommelin DFrank JBuckley SMiller J(2014)A separated splitting technique for disconnected rare event setsProceedings of the 2014 Winter Simulation Conference10.5555/2693848.2693923(522-532)Online publication date: 7-Dec-2014
https://dl.acm.org/doi/10.5555/2693848.2693923
Shah RHirsch CKroese DSchmidt VBuckley SMiller J(2014)Rare event probability estimation for connectivity of large random graphsProceedings of the 2014 Winter Simulation Conference10.5555/2693848.2693922(510-521)Online publication date: 7-Dec-2014
https://dl.acm.org/doi/10.5555/2693848.2693922
Jacquemart-Tomi DMorio JLe Gland FHill RKuhl M(2013)A combined importance splitting and sampling algorithm for rare event estimationProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2676114(1035-1046)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2676114
Shortle JChen CHill RKuhl M(2013)Sensitivity analysis of rare-event splitting applied to cascading blackout modelsProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2676079(745-754)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2676079
Wadman WCrommelin DFrank JHill RKuhl M(2013)Applying a splitting technique to estimate electrical grid reliabilityProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2676059(577-588)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2676059
Wadman WCrommelin DFrank JHill RKuhl M(2013)Applying a splitting technique to estimate electrical grid reliabilityProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2675927(3965-3966)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2675927
Botev ZL'Ecuyer PRubino GSimard RTuffin B(2013)Static Network Reliability Estimation via Generalized SplittingINFORMS Journal on Computing10.1287/ijoc.1110.049325:1(56-71)Online publication date: 1-Jan-2013
https://dl.acm.org/doi/10.1287/ijoc.1110.0493
Crain BChen CShortle J(2011)Combining simulation allocation and optimal splitting for rare-event simulation optimizationProceedings of the Winter Simulation Conference10.5555/2431518.2431996(4003-4012)Online publication date: 11-Dec-2011
https://dl.acm.org/doi/10.5555/2431518.2431996
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