Combinatorial analysis of the adaptive last particle method

DOI10.1007/S11222-014-9489-6MaRDI QIDQ2631359zbMATH OpenOpenAlexFDO

Authors Eric Simonnet

Publication date 29 July 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-014-9489-6

zbMATH Keywords

adaptive multilevel splittingChu-Vandermonde identitiescommittorlast particle methodMarkov chain

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25) Reliability and life testing (62N05)

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Cites work

• Adaptive Multilevel Splitting for Rare Event Analysis
• An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
• Genetic genealogical models in rare event analysis
• scientific article; zbMATH DE number 4207654 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• Langevin dynamics, large deviations and instantons for the quasi-geostrophic model and two-dimensional Euler equations
• Multilevel splitting for estimating rare event probabilities
• On a generalized Chu-Vandermonde identity
• Sequential Monte Carlo for rare event estimation
• Simulation and estimation of extreme quantiles and extreme probabilities
• The Gibbs cloner for combinatorial optimization, counting and sampling

Cited in

(9)

• Application of adaptive multilevel splitting to high-dimensional dynamical systems
• Computing transition rates for the 1-D stochastic Ginzburg-Landau-Allen-Cahn equation for finite-amplitude noise with a rare event algorithm
• Rare event simulation and splitting for discontinuous random variables
• Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
• The instanton method and its numerical implementation in fluid mechanics
• Computing return times or return periods with rare event algorithms
• Collapse of transitional wall turbulence captured using a rare events algorithm
• Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain
• Computing non-equilibrium trajectories by a deep learning approach

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