Rare event computation in deterministic chaotic systems using genealogical particle analysis
Statistical Mechanics
2016-09-21 v2 Computation
Abstract
In this paper we address the use of rare event computation techniques to estimate small over-threshold probabilities of observables in determin-istic dynamical systems. We demonstrate that the genealogical particle analysis algorithms can be successfully applied to a toy model of atmospheric dynamics, the Lorenz '96 model. We furthermore use the Ornstein-Uhlenbeck system to illustrate a number of implementation issues. We also show how a time-dependent objective function based on the fluctuation path to a high threshold can greatly improve the performance of the estimator compared to a fixed-in-time objective function.
Cite
@article{arxiv.1511.02703,
title = {Rare event computation in deterministic chaotic systems using genealogical particle analysis},
author = {Jeroen Wouters and Freddy Bouchet},
journal= {arXiv preprint arXiv:1511.02703},
year = {2016}
}