Optimal potential functions for the interacting particle system method

DOI10.1515/MCMA-2021-2086zbMATH Open1469.65012arXiv1811.10450OpenAlexW3158295958MaRDI QIDQ2040468FDOQ2040468

Anne Dutfoy, Hassane Chraibi, Thomas Galtier, Josselin Garnier

Publication date: 14 July 2021

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1811.10450

zbMATH Keywords

interacting particle systemrare event simulationsequential Monte Carlo samplersFeynman-Kac particle filters

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic particle methods (65C35)

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Cited In (4)

• Application of the interacting particle system method to piecewise deterministic Markov processes used in reliability
• An ergodic theorem for the weighted ensemble method
• 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

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