Hastings-Metropolis algorithm on Markov chains for small-probability estimation

DOI10.1051/PROC/201448013MaRDI QIDQ5744929zbMATH OpenOpenAlexFDO

Authors François Bachoc, Achref Bachouch, Lionel Lenôtre

Publication date 10 February 2016

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1411.5883

zbMATH Keywords

Hastings-Metropolis algorithminteracting particle methodMarkov chainsMonte Carlo methodsmall-probability estimation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: Shielding studies in neutron transport, with Monte Carlo codes, yield challenging problems of small-probability estimation. The particularity of these studies is that the small probability to estimate is formulated in terms of the distribution of a Markov chain, instead of that of a random vector in more classical cases. Thus, it is not straightforward to adapt classical statistical methods, for estimating small probabilities involving random vectors, to these neutron-transport problems. A recent interacting-particle method for small-probability estimation, relying on the Hastings-Metropolis algorithm, is presented. It is shown how to adapt the Hastings-Metropolis algorithm when dealing with Markov chains. A convergence result is also shown. Then, the practical implementation of the resulting method for small-probability estimation is treated in details, for a Monte Carlo shielding study. Finally, it is shown, for this study, that the proposed interacting-particle method considerably outperforms a simple-Monte Carlo method, when the probability to estimate is small.

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Cites work

• Genealogical particle analysis of rare events
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Markov Chains and Stochastic Stability
• Monte Carlo sampling methods using Markov chains and their applications
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• Simulation and estimation of extreme quantiles and extreme probabilities

Cited in

(4)

• Hastings-Metropolis algorithms and reference measures
• Accurate Monte Carlo estimation of very small \(p\)-values in Markov chains
• Improving hospital layout planning through clinical pathway mining
• Exponential convergence to quasi-stationary distribution and \(Q\)-process

Describes a project that uses

Uses Software

• Tripoli-4
• GEANT4

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