Fluctuation analysis of adaptive multilevel splitting
type: Item
instance of: scholarly article
title: Fluctuation analysis of adaptive multilevel splitting
zbMATH Open document ID: 1362.65018
DOI: 10.1214/16-AAP1177
author: Frédéric Cérou
author: Arnaud Guyader
published in: The Annals of Applied Probability
publication date: 2017-02-21T00:00:00Z
full work available at URL: https://arxiv.org/abs/1408.6366
full work available at URL: https://projecteuclid.org/euclid.aoap/1481792587
review text: Multilevel splitting techniques were introduced as a natural heuristics to analyze particle emission energies and molecular polymer conformations. This paper describes 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, it is shown 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.
Mathematics Subject Classification ID: 65C35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60J85
Mathematics Subject Classification ID: 47D08
Mathematics Subject Classification ID: 82C80
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 6687412
zbMATH Keywords: sequential Monte Carlo
zbMATH Keywords: rare events
zbMATH Keywords: interacting particle systems
zbMATH Keywords: Feynman-Kac semigroups
zbMATH Keywords: adaptive multilevel splitting
zbMATH Keywords: adaptive branching models
zbMATH Keywords: consistency
zbMATH Keywords: central limit theorem
MaRDI profile type: MaRDI publication profile
arXiv ID: 1408.6366
OpenAlex ID: W2963154803
description: scientific article