Rare Event Simulation Using Reversible Shaking Transformations
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Publication:3447461
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Stochastic particle methods (65C35)
Recommendations
- Simulating rare events in dynamical processes
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- Sinusoidal shaking in event-driven simulations
- RARE EVENT SIMULATION
- Rare event simulation for large-scale structures with local nonlinearities
- Rare event simulation for steady-state probabilities via recurrency cycles
- Rare event simulation of small noise diffusions
- Efficient rare event simulation for failure problems in random media
- Rare events simulation for heavy-tailed distributions
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- Simulation and the Monte Carlo Method
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Cited in
(7)- Study of new rare event simulation schemes and their application to extreme scenario generation
- Adaptive multilevel splitting: historical perspective and recent results
- Transform MCMC schemes for sampling intractable factor copula models
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Adaptive multilevel subset simulation with selective refinement
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
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