CÉROU, Frédéric; DEL MORAL, Pierre; LE GLAND, François; LEZAUD, Pascal

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CÉROU, Frédéric
Applications of interacting particle systems to statistics [ASPI]

DEL MORAL, Pierre
Laboratoire Jean Alexandre Dieudonné [JAD]

LE GLAND, François
Applications of interacting particle systems to statistics [ASPI]

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Ce document a été publié dans

2006

Résumé en anglais

We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent the distribution of a Markov process hitting a rare target in terms of a Feynman-Kac model in path space. We show how these branching particle models described in previous works can be used to estimate the probability of the corresponding rare events as well as the distribution of the process in this regime.< Réduire

Mots clés en anglais

INTERACTING PARTICLE SYSTEMS

RARE EVENTS

FEYNMAN-KAC MODELS

GENETIC ALGORITHMS

GENEALOGICAL TREES

Origine

Importé de hal

Unités de recherche

Institut de Mathématiques de Bordeaux (IMB) - UMR 5251