Optimal potential functions for the interacting particle system method
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Publication:2040468
Abstract: The assessment of the probability of a rare event with a naive Monte-Carlo method is computationally intensive, so faster estimation or variance reduction methods are needed. We focus on one of these methods which is the interacting particle system (IPS) method. The method is not intrusive in the sense that the random Markov system under consideration is simulated with its original distribution, but selection steps are introduced that favor trajectories (particles) with high potential values. An unbiased estimator with reduced variance can then be proposed. The method requires to specify a set of potential functions. The choice of these functions is crucial, because it determines the magnitude of the variance reduction. So far, little information was available on how to choose the potential functions. This paper provides the expressions of the optimal potential functions minimizing the asymptotic variance of the estimator of the IPS method and it proposes recommendations for the practical design of the potential functions.
Recommendations
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Cited in
(7)- Application of the interacting particle system method to piecewise deterministic Markov processes used in reliability
- Optimisation of interacting particle systems for rare event estimation
- Analysis of an interacting particle method for rare event estimation
- Space mapping-based optimization with the macroscopic limit of interacting particle systems
- Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process
- Interacting particle system based estimation of reach probability of general stochastic hybrid systems
- An ergodic theorem for the weighted ensemble method
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