Fluctuation analysis of adaptive multilevel splitting
نویسندگان
چکیده
منابع مشابه
Fluctuation analysis of adaptive multilevel splitting
Multilevel Splitting, also called Subset Simulation, is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its probability. This article is concerned with the convergence and the fluctuation analysis of Adaptive Multilevel Splitting techniques. In contrast to their fixed level version, adaptive techniques estimate the sequence of levels on the fly an...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2016
ISSN: 1050-5164
DOI: 10.1214/16-aap1177