Related papers: Sensitivity Analysis for Rare Events based on R\'e…
Molecular motors and other complex nonequilibrium systems are controlled by large sets of design parameters, and optimizing those parameters requires computing sensitivities -- derivatives of dynamical observables with respect to the…
In the field of computational physics and material science, the efficient sampling of rare events occurring at atomic scale is crucial. It aids in understanding mechanisms behind a wide range of important phenomena, including protein…
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…
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…
Reliability-oriented sensitivity analysis methods have been developed for understanding the influence of model inputs relative to events which characterize the failure of a system (e.g., a threshold exceedance of the model output). In this…
Computing the return times of extreme events and assessing the impact of climate change on such return times is fundamental to extreme event attribution studies. However, the rarity of such events in the observational record makes this task…
We extend the duality between exponential integrals and relative entropy to a variational formula for exponential integrals involving the Renyi divergence. This formula characterizes the dependence of risk-sensitive functionals and related…
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…
In this work we propose an adaptive multilevel version of subset simulation to estimate the probability of rare events for complex physical systems. Given a sequence of nested failure domains of increasing size, the rare event probability…
Rare events are processes that occur upon the emergence of unlikely fluctuations. Unlike what their name suggests, rare events are fairly ubiquitous in nature, as the occurrence of many structural transformations in biology and material…
Studying extreme events and how they evolve in a changing climate is one of the most important current scientific challenges. Starting from complex climate models, a key difficulty is to be able to run long enough simulations in order to…
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…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
This paper develops tools to obtain robust probabilistic estimates for queueing models at the large deviations (LD) scale. These tools are based on the recently introduced robust R\'enyi bounds, which provide LD estimates (and more…
The random variable simulation problem consists in using a $k$-dimensional i.i.d. random vector $X^{k}$ with distribution $P_{X}^{k}$ to simulate an $n$-dimensional i.i.d. random vector $Y^{n}$ so that its distribution is approximately…
This paper studies the complexity of estimating Renyi divergences of discrete distributions: $p$ observed from samples and the baseline distribution $q$ known \emph{a priori}. Extending the results of Acharya et al. (SODA'15) on estimating…
We consider the problem of choosing design parameters to minimize the probability of an undesired rare event that is described through the average of $n$ iid random variables. Since the probability of interest for near optimal design…
R\'enyi divergences play a pivotal role in information theory, statistics, and machine learning. While several estimators of these divergences have been proposed in the literature with their consistency properties established and minimax…
The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general…
Estimating the probability of rare channel conditions is a central challenge in ultra-reliable wireless communication, where random events, such as deep fades, can cause sudden variations in the channel quality. This paper proposes a…