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Tsinghua Science and Technology

Keywords

rare event simulation, splitting method, elite set, adaptive differential evolution, local searching

Abstract

To reduce intermediate levels of splitting process and enhance sampling accuracy, a multilevel splitting algorithm for quick sampling is proposed in this paper. Firstly, the selected area of the elite set is expanded to maintain the diversity of the samples. Secondly, the combined use of an adaptive difference evolution algorithm and a local searching algorithm is proposed for the splitting procedure. Finally, a suite of benchmark functions are used for performance testing. The results indicate that the convergence rate and stability of this algorithm are superior to those of the classical importance splitting algorithm and an adaptive multilevel splitting algorithm.

Publisher

Tsinghua University Press

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