Analysis of an interacting particle method for rare event estimation

Analysis of an interacting particle method for rare event estimation

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Article ID: iaor20132902
Volume: 73
Issue: 4
Start Page Number: 345
End Page Number: 406
Publication Date: Apr 2013
Journal: Queueing Systems
Authors: ,
Keywords: queues: theory
Abstract:

We present a large deviations analysis for the performance of an interacting particle method for rare event estimation. The analysis is restricted to a one‐dimensional setting, though even in this restricted setting a number of new techniques must be developed. In contrast to the large deviations analyses of related algorithms, for interacting particle schemes it is an occupation measure analysis that is relevant, and within this framework many standard assumptions (stationarity, Feller property) can no longer be assumed. The methods developed are not limited to the question of performance analysis, and in fact give the full large deviations principle for such systems.

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