Unbiasedness of some generalized adaptive multilevel splitting algorithms

DOI10.1214/16-AAP1185zbMATH Open1361.65006arXiv1505.02674MaRDI QIDQ511481FDOQ511481

Tony Lelièvre, Charles-Edouard Bréhier, Ludovic Goudenège, Maxime Gazeau, Mathias Rousset

Publication date: 21 February 2017

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

Abstract: We introduce a generalization of the Adaptive Multilevel Splitting algorithm in the discrete time dynamic setting, namely when it is applied to sample rare events associated with paths of Markov chains. By interpreting the algorithm as a sequential sampler in path space, we are able to build an estimator of the rare event probability (and of any non-normalized quantity associated with this event) which is unbiased, whatever the choice of the importance function and the number of replicas. This has practical consequences on the use of this algorithm, which are illustrated through various numerical experiments.

Full work available at URL: https://arxiv.org/abs/1505.02674

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zbMATH Keywords

Markov chainunbiased estimatornumerical experimentrare eventadaptive multilevel splitting algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

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