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Determination of sample size in a rare event simulation method

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Cybernetics and Systems Analysis Aims and scope

Abstract

A technique is proposed for evaluating the probability of aircraft collision by the importance sampling technique. Upper limits for the size of an auxiliary sample are found, which ensure the prescribed relative accuracy of probability evaluation. Theoretical conclusions are confirmed by numerical experiments.

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References

  1. D. H. Fuk and S. V. Nagaev, “Probabilistic inequalities for the sums of independent random variables,” Teor. Veroyatn. Primen., 16, No. 4, 660–675 (1971).

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Author information

Authors and Affiliations

  1. National Aviation University, Kiev, Ukraine

    V. P. Kharchenko

  2. Institute of Mathematics, Russian Academy of Sciences, Novosibirsk, Russia

    S. V. Nagaev

  3. Taras Shevchenko National University, Kiev, Ukraine

    A. G. Kukush & S. I. Dotsenko

  4. Institute for Information and Diagnostics Systems, National Aviation University, Kiev, Ukraine

    E. A. Znakovskaya

Authors
  1. V. P. Kharchenko
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  2. S. V. Nagaev
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  3. A. G. Kukush
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  4. E. A. Znakovskaya
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  5. S. I. Dotsenko
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Additional information

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Translated from Kibernetika i Sistemnyi Analiz, No. 1, pp. 76–86, January–February 2006.

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Kharchenko, V.P., Nagaev, S.V., Kukush, A.G. et al. Determination of sample size in a rare event simulation method. Cybern Syst Anal 42, 65–74 (2006). https://doi.org/10.1007/s10559-006-0038-y

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  • DOI: https://doi.org/10.1007/s10559-006-0038-y

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