Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

Tools
- Tools
+ Tools

Koskela, Jere, Spanò, Dario and Jenkins, Paul (2018) Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo. Statistics and Computing, 28 (1). pp. 131-144. doi:10.1007/s11222-017-9722-1 ISSN 0960-3174.

[img]
Preview
PDF
WRAP_st-160317-wrap_-reverse_time_smc.pdf - Accepted Version - Requires a PDF viewer.

Download (707Kb) | Preview
Official URL: http://dx.doi.org/10.1007/s11222-017-9722-1

Request Changes to record.

Abstract

We present a sequential Monte Carlo algorithm for Markov chain trajectories with proposals constructed in reverse time, which is advantageous when paths are conditioned to end in a rare set. The reverse time proposal distribution is constructed by approximating the ratio of Green's functions in Nagasawa's formula. Conditioning arguments can be used to interpret these ratios as low-dimensional conditional sampling distributions of some coordinates of the process given the others. Hence the difficulty in designing SMC proposals in high dimension is greatly reduced. We illustrate our method on estimating an overflow probability in a queueing model, the probability that a diffusion follows a narrowing corridor, and the initial location of an infection in an epidemic model on a network.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Q Science > QC Physics
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH): Time reversal, Monte Carlo method, Markov processes, Algorithms
Journal or Publication Title: Statistics and Computing
Publisher: Springer
ISSN: 0960-3174
Official Date: January 2018
Dates:
DateEvent
January 2018Published
24 January 2017Available
3 January 2017Accepted
Volume: 28
Number: 1
Page Range: pp. 131-144
DOI: 10.1007/s11222-017-9722-1
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
Date of first compliant deposit: 9 January 2017
Date of first compliant Open Access: 24 January 2018
RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
EP/HO23364/1[EPSRC] Engineering and Physical Sciences Research Councilhttp://dx.doi.org/10.13039/501100000266
EP/L018497/1[EPSRC] Engineering and Physical Sciences Research Councilhttp://dx.doi.org/10.13039/501100000266
Open Access Version:
  • ArXiv

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us