Genealogical particle analysis of rare events

DOI10.1214/105051605000000566zbMath1097.65013arXivmath/0602525OpenAlexW2060381075MaRDI QIDQ2496500

Pierre Del Moral, Josselin Garnier

Publication date: 10 July 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602525

zbMATH Keywords

importance samplingnumerical examplesrare eventsgenetic algorithmsvarianceinteracting particle systemsMonte Carlo Markov chainsrelability models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to physics (62P35) Stochastic particle methods (65C35)

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• Central limit theorem for nonlinear filtering and interacting particle systems
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• Sequential Monte Carlo Methods in Practice
• Probability for Statisticians
• Fast simulation of rare events in queueing and reliability models
• Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering

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