A self-similarity principle for the computation of rare event probability

DOI10.1088/1751-8121/AB5313OpenAlexW2985099631MaRDI QIDQ5873008FDOQ5873008

Authors: Malik Hassanaly, Venkat Raman 

Publication date: 5 January 2023

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.01222

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zbMATH Keywords

chaotic systemrare eventprobability computation

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX) Quantum theory (81-XX)

Cites Work

• Nonlinear analysis of hydrodynamic instability in laminar flames—I. Derivation of basic equations
• Fourth-Order Time-Stepping for Stiff PDEs
• Importance sampling in the Monte Carlo study of sequential tests
• A tutorial on the cross-entropy method
• Adaptive Multilevel Splitting for Rare Event Analysis
• The instanton method and its numerical implementation in fluid mechanics
• Genealogical particle analysis of rare events
• Rare event computation in deterministic chaotic systems using genealogical particle analysis
• Multifidelity importance sampling
• Computing return times or return periods with rare event algorithms
• Computation of extreme heat waves in climate models using a large deviation algorithm

Cited In (3)

• Adversarial sampling of unknown and high-dimensional conditional distributions
• A probabilistic decomposition-synthesis method for the quantification of rare events due to internal instabilities
• Rare event simulation for steady-state probabilities via recurrency cycles

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