Analysis of an interacting particle method for rare event estimation (Q351492): Difference between revisions
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Property / review text | |||
Among the various numerical schemes based on the construction of branching processes that have been proposed for problems of rare event estimation the present paper focuses on a procedure where nested sets are introduced with a rule for branching when these sets are entered. This class of schemes have recently been considered and called interacting particle systems or genealogical particle methods. Here the large deviation analysis for the performance of the method is developed in a one-dimensional setting. Dependence at each branching time is reintroduced by a resampling and this makes the analysis more difficult than in the independent scheme. It is an occupation measure that is now relevant and within this framework neither stationarity nor Feller property can be assumed. Large deviation upper and lower bounds are yet obtained. For any fixed number of particles, the method has a suboptimal rate of convergence of the second moment of the estimation to zero. | |||
Property / review text: Among the various numerical schemes based on the construction of branching processes that have been proposed for problems of rare event estimation the present paper focuses on a procedure where nested sets are introduced with a rule for branching when these sets are entered. This class of schemes have recently been considered and called interacting particle systems or genealogical particle methods. Here the large deviation analysis for the performance of the method is developed in a one-dimensional setting. Dependence at each branching time is reintroduced by a resampling and this makes the analysis more difficult than in the independent scheme. It is an occupation measure that is now relevant and within this framework neither stationarity nor Feller property can be assumed. Large deviation upper and lower bounds are yet obtained. For any fixed number of particles, the method has a suboptimal rate of convergence of the second moment of the estimation to zero. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F10 / rank | |||
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Property / Mathematics Subject Classification ID: 60J85 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K35 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C35 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6184796 / rank | |||
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Property / zbMATH Keywords | |||
rare event | |||
Property / zbMATH Keywords: rare event / rank | |||
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Property / zbMATH Keywords | |||
Monte Carlo approximation | |||
Property / zbMATH Keywords: Monte Carlo approximation / rank | |||
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Property / zbMATH Keywords | |||
interacting particle system | |||
Property / zbMATH Keywords: interacting particle system / rank | |||
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large deviation | |||
Property / zbMATH Keywords: large deviation / rank | |||
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empirical measure | |||
Property / zbMATH Keywords: empirical measure / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Dominique Lépingle / rank | |||
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Property / describes a project that uses | |||
Property / describes a project that uses: RESTART / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s11134-013-9344-z / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1995723161 / rank | |||
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Property / cites work | |||
Property / cites work: Q5563135 / rank | |||
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Latest revision as of 15:26, 6 July 2024
scientific article
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English | Analysis of an interacting particle method for rare event estimation |
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Statements
Analysis of an interacting particle method for rare event estimation (English)
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5 July 2013
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Among the various numerical schemes based on the construction of branching processes that have been proposed for problems of rare event estimation the present paper focuses on a procedure where nested sets are introduced with a rule for branching when these sets are entered. This class of schemes have recently been considered and called interacting particle systems or genealogical particle methods. Here the large deviation analysis for the performance of the method is developed in a one-dimensional setting. Dependence at each branching time is reintroduced by a resampling and this makes the analysis more difficult than in the independent scheme. It is an occupation measure that is now relevant and within this framework neither stationarity nor Feller property can be assumed. Large deviation upper and lower bounds are yet obtained. For any fixed number of particles, the method has a suboptimal rate of convergence of the second moment of the estimation to zero.
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rare event
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Monte Carlo approximation
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interacting particle system
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large deviation
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empirical measure
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