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Optimisation of interacting particle systems for rare event estimation

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  • Morio, Jérôme
  • Jacquemart, Damien
  • Balesdent, Mathieu
  • Marzat, Julien

Abstract

The interacting particle system (IPS) is a recent probabilistic model proposed to estimate rare event probabilities for Markov chains. The principle of IPS is to apply alternatively selection and mutation stages to a set of initial particles in order to estimate probabilities or quantiles more accurately than with usual estimation techniques. The practical issue of IPS is the tuning of a parameter in the selection stage. Kriging-based optimisation strategy with a low simulation cost is thus proposed in order to minimise the probability estimate relative error. The efficiency of the proposed strategy is demonstrated on different test cases.

Suggested Citation

  • Morio, Jérôme & Jacquemart, Damien & Balesdent, Mathieu & Marzat, Julien, 2013. "Optimisation of interacting particle systems for rare event estimation," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 117-128.
    • Handle: RePEc:eee:csdana:v:66:y:2013:i:c:p:117-128
    DOI: 10.1016/j.csda.2013.03.025
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    References listed on IDEAS

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