Analysis of adaptive multilevel splitting algorithms in an idealized case

DOI10.1051/PS/2014029MaRDI QIDQ2786485zbMATH OpenOpenAlexFDO

Authors Charles-Edouard Bréhier, Tony Lelièvre, Mathias Rousset

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.1352

zbMATH Keywords

algorithmMonte Carlo simulationmultilevel splittingrare events

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

Abstract: The Adaptive Multilevel Splitting algorithm is a very powerful and versatile method to estimate rare events probabilities. It is an iterative procedure on an interacting particle system, where at each step, the $k$ less well-adapted particles among $n$ are killed while $k$ new better adapted particles are resampled according to a conditional law. We analyze the algorithm in the idealized setting of an exact resampling and prove that the estimator of the rare event probability is unbiased whatever $k$. We also obtain a precise asymptotic expansion for the variance of the estimator and the cost of the algorithm in the large $n$ limit, for a fixed $k$.

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Cites work

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• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
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Cited in

(19)

• Combinatorial analysis of the adaptive last particle method
• Rare event simulation and splitting for discontinuous random variables
• Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
• Adaptive Multilevel Splitting for Rare Event Analysis
• Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting
• Spectral theory for random Poincaré maps
• On the asymptotic normality of adaptive multilevel splitting
• On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
• Computing return times or return periods with rare event algorithms
• An ergodic theorem for the weighted ensemble method
• Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain
• Optimizing Weighted Ensemble Sampling of Steady States
• Fluctuation analysis of adaptive multilevel splitting
• Unbiasedness of some generalized adaptive multilevel splitting algorithms
• Adaptive multilevel splitting: historical perspective and recent results
• Adaptive particle techniques and rare event estimation
• On the optimal importance process for piecewise deterministic Markov process
• Adaptive multilevel subset simulation with selective refinement
• Statistical behaviour of adaptive multilevel splitting algorithms in simple models

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