A Multi-Level Splitting Algorithm Based On Differential Evolution
INTERNATIONAL JOURNAL OF MODELING SIMULATION AND SCIENTIFIC COMPUTING(2018)
摘要
Multi-level splitting algorithm is a famous rare event simulation (RES) method which reaches rare set through splitting samples during simulation. Since choosing sample paths is a key factor of the method, this paper embeds differential evolution in multi-level splitting mechanism to improve the sampling strategy and precision, so as to improve the algorithm efficiency. Examples of rare event probability estimation demonstrate that the new proposed algorithm performs well in convergence rate and precision for a set of benchmark cases.
更多查看译文
关键词
Rare event simulation, multi-level splitting, differential evolution
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络