Related papers: Consensus-based rare event estimation
In this work we are interested in stochastic particle methods for multi-objective optimization. The problem is formulated using parametrized, single-objective sub-problems which are solved simultaneously. To this end a consensus based…
We propose a new method to define anomaly scores and apply this to particle physics collider events. Anomalies can be either rare, meaning that these events are a minority in the normal dataset, or different, meaning they have values that…
This paper deals with the estimation of rare event probabilities using importance sampling (IS), where an optimal proposal distribution is computed with the cross-entropy (CE) method. Although, IS optimized with the CE method leads to an…
Recently developed particle flow algorithms provide an alternative to importance sampling for drawing particles from a posterior distribution, and a number of particle filters based on this principle have been proposed. Samples are drawn…
This work considers the framework of Markov chain importance sampling~(MCIS), in which one employs a Markov chain Monte Carlo~(MCMC) scheme to sample particles approaching the optimal distribution for importance sampling, prior to…
This work presents a novel gradient-free importance sampling-based framework for precisely and efficiently estimating rare event probabilities, often encountered in reliability analyses of engineering systems. The approach is formulated…
In Bayesian inference, we seek to compute information about random variables such as moments or quantiles on the basis of {available data} and prior information. When the distribution of random variables is {intractable}, Monte Carlo (MC)…
Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set $B$ before another set $A$, and it is assumed that this probability satisfies a large…
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 introduce a theoretical and practical framework for efficient importance sampling of mini-batch samples for gradient estimation from single and multiple probability distributions. To handle noisy gradients, our framework dynamically…
We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…
This work introduces and compares approaches for estimating rare-event probabilities related to the number of edges in the random geometric graph on a Poisson point process. In the one-dimensional setting, we derive closed-form expressions…
Importance sampling is a rare event simulation technique used in Monte Carlo simulations to bias the sampling distribution towards the rare event of interest. By assigning appropriate weights to sampled points, importance sampling allows…
Importance sampling is a widely used technique to estimate properties of a distribution. This paper investigates trading-off some bias for variance by adaptively winsorizing the importance sampling estimator. The novel winsorizing…
We consider systems of slow--fast diffusions with small noise in the slow component. We construct provably logarithmic asymptotically optimal importance schemes for the estimation of rare events based on the moderate deviations principle.…
In this work we extend the class of Consensus-Based Optimization (CBO) metaheuristic methods by considering memory effects and a random selection strategy. The proposed algorithm iteratively updates a population of particles according to a…
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general…
This work combines multilevel Monte Carlo (MLMC) with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of the solution to a broad class of McKean--Vlasov stochastic…
State-of-the-art methods for rare event simulation of non-Markovian models face practical or theoretical limits if observing the event of interest requires prior knowledge or information on the timed behavior of the system. In this paper,…
In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is sufficiently controlled. It is widely known that when a rare-event…