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Sequential Monte Carlo samplers for rare events
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Johansen, Adam M., Moral, Pierre Del and Doucet, Arnaud (2006) Sequential Monte Carlo samplers for rare events. In: 6th International Workshop on Rare Event Simulation (RESIM 2006), Bamberg, Germany , 9-10 Oct 2006. Published in: Proceedings of the 6th International Workshop on Rare Event Simulation pp. 256-267.
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Abstract
Abstract. We present novel sequential Monte Carlo (SMC) algorithms for the simulation of two broad classes of rare events which are suitable for the estimation of
tail probabilities and probability density functions in the regions of rare events, as well as the simulation of rare system trajectories. These methods have some connection
with previously proposed importance sampling (IS) and interacting particle system (IPS) methodologies, particularly those of [8, 4], but di.er significantly
from previous approaches in a number of respects: especially in that they operate directly on the path space of the Markov process of interest.
Item Type: | Conference Item (Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Monte Carlo method, Sequential analysis | ||||
Journal or Publication Title: | Proceedings of the 6th International Workshop on Rare Event Simulation | ||||
Official Date: | 2006 | ||||
Dates: |
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Page Range: | pp. 256-267 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | 6th International Workshop on Rare Event Simulation (RESIM 2006) | ||||
Type of Event: | Workshop | ||||
Location of Event: | Bamberg, Germany | ||||
Date(s) of Event: | 9-10 Oct 2006 |
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