Sequential Monte Carlo for rare event estimation

@article{Crou2012SequentialMC,
  title={Sequential Monte Carlo for rare event estimation},
  author={Fr{\'e}d{\'e}ric C{\'e}rou and Pierre Del Moral and Teddy Furon and Arnaud Guyader},
  journal={Statistics and Computing},
  year={2012},
  volume={22},
  pages={795-808}
}
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estimation of tail probabilities. Our method uses a system of interacting particles and exploits a FeynmanKac representation of that system to analyze their fluctuations. Our precise analysis of the variance of a standard multilevel splitting algorithm reveals an opportunity for improvement. This leads to a novel method that relies on adaptive levels and produces estimates with optimal variance. The… CONTINUE READING
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