Optimisation of interacting particle systems for rare event estimation

Jérôme Morio, Damien Jacquemart, Mathieu Balesdent and Julien Marzat

Computational Statistics & Data Analysis, 2013, vol. 66, issue C, 117-128

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.

Keywords: Rare event; Probability; Interacting particle system; Optimisation; Hyperparameter; Surrogate model; Input–output model; Kriging (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:66:y:2013:i:c:p:117-128

DOI: 10.1016/j.csda.2013.03.025

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