Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities

Hao Ma and Henk A. P. Blom ()
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Hao Ma: Delft University of Technology
Henk A. P. Blom: Delft University of Technology

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2313-2338

Abstract: Abstract This paper focuses on estimating reach probability of a closed unsafe set by a stochastic process. A well-developed approach is to make use of multi-level MC simulation, which consists of encapsulating the unsafe set by a sequence of increasing closed sets and conducting a sequence of MC simulations to estimate the reach probability of each inner set from the previous set. An essential step is to copy (split) particles that have reached the next level (inner set) prior to conducting a MC simulation to the next level. The aim of this paper is to prove that the variance of the multi-level MC estimated reach probability under fixed assignment splitting is smaller or equal than under random assignment splitting methods. The approaches are illustrated for a geometric Brownian motion example.

Keywords: Multilevel importance splitting; Interacting particles; Reach probability; Monte Carlo method; Multi-dimensional diffusion process (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-021-09892-4

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