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Open Access

A Multilevel Splitting Algorithm for Quick Sampling

Department of Automation, Tsinghua University, Beijing 100084, China.
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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.

Keywords

rare event simulationsplitting methodelite setadaptive differential evolutionlocal searching

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Tsinghua Science and Technology
Volume 26 Issue 4,
August 2021
Pages 417-425
DOI: 10.26599/TST.2020.9010006
Cite this article:
Wang L, Fan W. A Multilevel Splitting Algorithm for Quick Sampling. Tsinghua Science and Technology, 2021, 26(4): 417-425. https://doi.org/10.26599/TST.2020.9010006

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Received: 29 September 2019
Revised: 14 January 2020
Accepted: 09 February 2020
Published: 04 January 2021
© The author(s) 2021

The articles published in this open access journal are distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/).
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