Fluctuation analysis of adaptive multilevel splitting

DOI10.1214/16-AAP1177zbMATH Open1362.65018arXiv1408.6366OpenAlexW2963154803MaRDI QIDQ511471FDOQ511471

Arnaud Guyader, Frédéric Cérou

Publication date: 21 February 2017

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

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.

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)

Cited In (9)

• Variance estimation in adaptive sequential Monte Carlo
• On the convergence of adaptive sequential Monte Carlo methods
• Recursive estimation of a failure probability for a Lipschitz function
• Analysis of adaptive multilevel splitting algorithms in an idealized case
• Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting
• On synchronized Fleming–Viot particle systems
• Adaptive Multilevel Splitting for Rare Event Analysis
• Deterministic computation of quantiles in a Lipschitz framework
• Adaptive multilevel splitting: Historical perspective and recent results

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