Une méthode hiérarchique, auto-régulée, de simulation d’événements extrêmement rares. (A hierarchical, self-regulated method for very rare events). (French. Abridged English version) Zbl 0768.65095
Summary: A method for accelerating the simulation of very rare events is presented. It consists in a MULTI-LEVEL use of the well-known importance sampling. A self-regulating algorithm for the choice of the intermediate states is proposed. A comparison is then performed between the results of such a simulation and some analytical results about the variances and the Markov matrices.
MSC:
| 65C99 | Probabilistic methods, stochastic differential equations |
| 62D05 | Sampling theory, sample surveys |
