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1 ASPI - Applications of interacting particle systems to statistics UR1 - Université de Rennes 1, Inria Rennes – Bretagne Atlantique , CNRS - Centre National de la Recherche Scientifique : UMR6074 2 JAD - Laboratoire Jean Alexandre Dieudonné 3 CENA - Centre d-études de la Navigation Aérienne

Abstract : 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.

Keywords : RARE EVENTS FEYNMAN-KAC MODELS GENETIC ALGORITHMS GENEALOGICAL TREES INTERACTING PARTICLE SYSTEMS





Author: Frédéric Cérou - Pierre Del Moral - François Le Gland - Pascal Lezaud -

Source: https://hal.archives-ouvertes.fr/



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