Related papers: Bounding rare event probabilities in computer expe…

The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

Computing the probability of evidence even with known error bounds is NP-hard. In this paper we address this hard problem by settling on an easier problem. We propose an approximation which provides high confidence lower bounds on…

We present an algorithm for finding the probabilities of rare events in nonequilibrium processes. The algorithm consists of evolving the system with a modified dynamics for which the required event occurs more frequently. By keeping track…

Extreme weather events epitomize high cost: to society through their physical impacts, and to computer servers that simulate them to assess risk and advance physical understanding. It costs hundreds of simulation years to sample a few…

We investigate the statistics of selected rare events in a (1+1)-dimensional (classical) stochastic growth model which describes the evolution of (quantum) random unitary circuits. In such classical formulation, particles are created and/or…

Rare events in molecular dynamics are often related to noise-induced transitions between different macroscopic states (e.g., in protein folding). A common feature of these rare transitions is that they happen on timescales that are on…

We demonstrate an adaptive sampling approach for computing the probability of a rare event for a set of three-dimensional airplane geometries under various flight conditions. We develop a fully automated method to generate parameterized…

Several methods have been proposed in the literature to solve reliability-based optimization problems, where failure probabilities are design constraints. However, few methods address the problem of life-cycle cost or risk optimization,…

Many turbulent flows undergo drastic and abrupt configuration changes with huge impacts. As a paradigmatic example we study the multistability of jet dynamics in a barotropic beta plane model of atmosphere dynamics. It is considered as the…

Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…

We analyse the splitting algorithm performance in the estimation of rare event probabilities and this in a discrete multidimensional framework. For this we assume that each threshold is partitioned into disjoint subsets and the probability…

We calculate the probabilities to find systems of reacting particles in states which largely deviate from typical behavior. The rare event statistics is obtained from the master equation which describes the dynamics of the probability…

Rare events play a key role in many applications and numerous algorithms have been proposed for estimating the probability of a rare event. However, relatively little is known on how to quantify the sensitivity of the probability with…

It is now common practice in nuclear engineering to base extensive studies on numerical computer models. These studies require to run computer codes in potentially thousands of numerical configurations and without expert individual controls…

We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime. Our estimator is based…

Rare-event simulation techniques, such as importance sampling (IS), constitute powerful tools to speed up challenging estimation of rare catastrophic events. These techniques often leverage the knowledge and analysis on underlying system…

Rare events in the first-passage distributions of jump processes are capable of triggering anomalous reactions or series of events. Estimating their probability is particularly important when the jump probabilities have broad-tailed…

Within the setting of rare event modelling, the method of level sets allows us to define an equivalence relation over rare events with distinct rates of entropy production. This method allows us to clarify the relation between the empirical…

Conditional selective inference requires an exact characterization of the selection event, which is often unavailable except for a few examples like the lasso. This work addresses this challenge by introducing a generic approach to estimate…