Related papers: Analysis and simulation of rare events for SPDE

Estimating the probability of failures or accidents with aerospace systems is often necessary when new concepts or designs are introduced, as it is being done for Autonomous Aircraft. If the design is safe, as it is supposed to be, accident…

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 study the trajectories of a solution $X_t$ to an It\^o stochastic differential equation in $\Rm^d$, as the process passes between two disjoint open sets, $A$ and $B$. These segments of the trajectory are called transition paths or…

An important step in the design of autonomous systems is to evaluate the probability that a failure will occur. In safety-critical domains, the failure probability is extremely small so that the evaluation of a policy through Monte Carlo…

The probability of rare and extreme events is an important quantity for design purposes. However, computing the probability of rare events can be expensive because only a few events, if any, can be observed. To this end, it is necessary to…

The Adaptive Multilevel Splitting (AMS) algorithm is a powerful and versatile method for the simulation of rare events. It is based on an interacting (via a mutation-selection procedure) system of replicas, and depends on two integer…

The paper presents a new efficient and robust method for rare event probability estimation for computational models of an engineering product or a process returning categorical information only, for example, either success or failure. For…

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…

Bayesian inversions followed by estimations of rare event probabilities are often needed to analyse groundwater hazards. Instead of focusing on the posterior distribution of model parameters, the main interest lies then in the distribution…

Transitional localised turbulence in shear flows is known to either decay to an absorbing laminar state or proliferate via splitting. The average passage times from one state to the other depend super-exponentially on the Reynolds number…

We introduce a generalization of the Adaptive Multilevel Splitting algorithm in the discrete time dynamic setting, namely when it is applied to sample rare events associated with paths of Markov chains. By interpreting the algorithm as a…

Stochastic computational models in the form of pure jump processes occur frequently in the description of chemical reactive processes, of ion channel dynamics, and of the spread of infections in populations. For spatially extended models,…

Rare events arising in nonlinear atmospheric dynamics remain hard to predict and attribute. We address the problem of forecasting rare events in a prototypical example, Sudden Stratospheric Warmings (SSWs). Approximately once every other…

The modern theory of rare events is grounded in near equilibrium ideas, however many systems of modern interest are sufficiently far from equilibrium that traditional approaches do not apply. Using the recently developed variational path…

I give an overview of rare event simulation techniques to generate dynamical pathways across high free energy barriers. The methods on which I will concentrate are the reactive flux approach, transition path sampling, (replica-exchange)…

This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We assume we can build using evaluations of the true score, an…

Estimating the probability of rare failure events is an essential step in the reliability assessment of engineering systems. Computing this failure probability for complex non-linear systems is challenging, and has recently spurred the…

Rare event simulation and rare event probability estimation are important tasks within the analysis of systems subject to uncertainty and randomness. Simultaneously, accurately estimating rare event probabilities is an inherently difficult…

Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often…

Simulation of stochastic spatially-extended systems is a challenging problem. The fundamental quantities in these models are individual entities such as molecules, cells, or animals, which move and react in a random manner. In big systems,…