Rare Event Simulation Using Reversible Shaking Transformations

DOI10.1137/14098418XzbMath1327.65006OpenAlexW1866625467WikidataQ121366279 ScholiaQ121366279MaRDI QIDQ3447461

Gang Liu, Emmanuel Gobet

Publication date: 27 October 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14098418x

zbMATH Keywords

Monte Carlo simulationsinteracting particle systemsergodic propertiesrare event

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Stochastic particle methods (65C35)

Related Items (5)

Transform MCMC schemes for sampling intractable factor copula models ⋮ Adaptive multilevel splitting: Historical perspective and recent results ⋮ On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting ⋮ MCMC design-based non-parametric regression for rare event. application to nested risk computations ⋮ Study of new rare event simulation schemes and their application to extreme scenario generation

Uses Software

• RESTART

Cites Work

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