A Multilevel Interacting Particle System Method for the estimation of Failure Probabilities

DOI10.48550/arXiv.2608.27275MaRDI QIDQ7285038arXivFDO

Authors Rubén Aylwin, José Pinto

Publication date 27 August 2026

Published in arXiv

Tldr A multilevel interacting particle system method is proposed to estimate failure probabilities, achieving faster convergence rates than Multilevel Monte Carlo and being dimension independent. The algorithm generates a sequence that concentrates near the critical value of the quantity of interest.

Full work available at URL https://doi.org/10.48550/arXiv.2608.27275

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

arXiv classification

math.NA

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