m

F Nous contacter

0

Documents  Goudenège, Ludovic | enregistrements trouvés : 1

O
     

-A +A

P Q

Déposez votre fichier ici pour le déplacer vers cet enregistrement.

Research talks;Probability and Statistics

Consider a problem of Markovian trajectories of particles for which you are trying to estimate the probability of a event.
Under the assumption that you can represent this event as the last event of a nested sequence of events, it is possible to design a splitting algorithm to estimate the probability of the last event in an efficient way. Moreover you can obtain a sequence of trajectories which realize this particular event, giving access to statistical representation of quantities conditionally to realize the event.
In this talk I will present the "Adaptive Multilevel Splitting" algorithm and its application to various toy models. I will explain why it creates an unbiased estimator of a probability, and I will give results obtained from numerical simulations.
Consider a problem of Markovian trajectories of particles for which you are trying to estimate the probability of a event.
Under the assumption that you can represent this event as the last event of a nested sequence of events, it is possible to design a splitting algorithm to estimate the probability of the last event in an efficient way. Moreover you can obtain a sequence of trajectories which realize this particular event, giving access to ...

60J22 ; 65C35 ; 65C05 ; 65C40

... Lire [+]

Z