Analysis of an interacting particle method for rare event estimation

被引：1

作者：

Cai, Yi ^{[1
]}

Dupuis, Paul ^{[1
]}

机构：

[1] Brown Univ, Div Appl Math, Lefschetz Ctr Dynam Syst, Providence, RI 02912 USA

来源：

QUEUEING SYSTEMS | 2013年 / 73卷 / 04期

基金：

美国国家科学基金会;

关键词：

Rare event; Monte Carlo approximation; Interacting particle system; Large deviation; empirical measure; MARKOV PROCESS EXPECTATIONS; ASYMPTOTIC EVALUATION; LARGE TIME; SIMULATION;

D O I：

10.1007/s11134-013-9344-z

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

页码：345 / 406

页数：62

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