Hastings-Metropolis algorithm on Markov chains for small-probability estimation

DOI10.1051/proc/201448013zbMath1334.60148arXiv1411.5883OpenAlexW2120933819MaRDI QIDQ5744929

Lionel Lenôtre, François Bachoc, Achref Bachouch

Publication date: 10 February 2016

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.5883

zbMATH Keywords

Markov chainsMonte Carlo methodHastings-Metropolis algorithminteracting particle methodsmall-probability estimation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

Related Items (2)

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Uses Software

• GEANT4
• Tripoli-4

Cites Work

• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Simulation and estimation of extreme quantiles and extreme probabilities
• Genealogical particle analysis of rare events
• Markov Chains and Stochastic Stability
• Monte Carlo sampling methods using Markov chains and their applications

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