Fluctuation analysis of adaptive multilevel splitting

DOI10.1214/16-AAP1177MaRDI QIDQ511471zbMATHOpenAlexFDO

Authors Frédéric Cérou, Arnaud Guyader

Publication date 21 February 2017

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

Full work available at URL https://arxiv.org/abs/1408.6366

zbMATH Keywords

sequential Monte Carloconsistencycentral limit theoreminteracting particle systemsrare eventsadaptive multilevel splittingadaptive branching modelsFeynman-Kac semigroups

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Applications of branching processes (60J85) Stochastic particle methods (65C35) Schrödinger and Feynman-Kac semigroups (47D08)

Abstract: Multilevel Splitting is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its probability. This article is concerned with the convergence and the fluctuation analysis of Adaptive Multilevel Splitting techniques. In contrast to their fixed level version, adaptive techniques estimate the sequence of levels on the fly and in an optimal way, with only a low additional computational cost. However, very few convergence results are available for this class of adaptive branching models, mainly because the sequence of levels depends on the occupation measures of the particle systems. This article proves the consistency of these methods as well as a central limit theorem. In particular, we show that the precision of the adaptive version is the same as the one of the fixed-levels version where the levels would have been placed in an optimal manner.

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Cited in

(13)

• Adaptive multilevel subset simulation with selective refinement
• Adaptive multilevel splitting: historical perspective and recent results
• On the convergence of adaptive sequential Monte Carlo methods
• On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
• On synchronized Fleming-Viot particle systems
• Adaptive Multilevel Splitting for Rare Event Analysis
• Recursive estimation of a failure probability for a Lipschitz function
• Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting
• Combinatorial analysis of the adaptive last particle method
• Variance estimation in adaptive sequential Monte Carlo
• Analysis of adaptive multilevel splitting algorithms in an idealized case
• Adaptive particle techniques and rare event estimation
• Deterministic computation of quantiles in a Lipschitz framework

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