Patent Document ID: 20090182536
Application ID: 12178355
Patent Flag: 0

Claim One:
1. A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for estimating the probability of occurrence of an event (E), the method steps comprising: performing an adaptive unconstrained estimation of an optimal biased distribution for a multi-dimensional random variable (z) defined on a sample space (Γ); performing an importance-sampling (IS) simulation using the optimal biased distribution for z to yield a first result; performing an adaptive constrained estimation of an optimal biased distribution for z over regions of Γ where E occurs; performing an IS simulation using the optimal biased distribution for z, over regions of Γ where E occurs, to yield a second result; and estimating the probability of the occurrence of E based on the first and second results.