Rare Event Simulation Using Reversible Shaking Transformations

DOI10.1137/14098418XzbMath1327.65006WikidataQ121366279 ScholiaQ121366279MaRDI QIDQ3447461

Gang Liu, Emmanuel Gobet

Publication date: 27 October 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14098418x

zbMATH Keywords

Monte Carlo simulations; interacting particle systems; ergodic properties; rare event

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60K35: Interacting random processes; statistical mechanics type models; percolation theory

65C40: Numerical analysis or methods applied to Markov chains

37M25: Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.)

65C35: Stochastic particle methods

Related Items

On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting, Adaptive multilevel splitting: Historical perspective and recent results, Transform MCMC schemes for sampling intractable factor copula models, MCMC design-based non-parametric regression for rare event. application to nested risk computations, Study of new rare event simulation schemes and their application to extreme scenario generation

Uses Software

• RESTART

Cites Work

• Sampling per mode for rare event simulation in switching diffusions
• The large deviation principle for the Erdős-Rényi random graph
• Sequential Monte Carlo for rare event estimation
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• The importance sampling technique for understanding rare events in Erdős-Rényi random graphs
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Algebraic properties of beta and gamma distributions, and applications
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Introduction to rare event simulation.
• Nonasymptotic bounds on the estimation error of MCMC algorithms
• Genealogical particle analysis of rare events
• Rare Event Simulation using Monte Carlo Methods
• Markov Chains and Stochastic Stability
• On Lewis' simulation method for point processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
• Stochastic Equations in Infinite Dimensions
• Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks
• Simulation and the Monte Carlo Method
• Spectra of some self-exciting and mutually exciting point processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item