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Adaptive Multilevel Splitting: Historical Perspective and Recent Results

Abstract : This article first presents a short historical perpective of the importance splitting approach to simulate and estimate rare events, with a detailed description of several variants. We then give an account of recent theoretical results on these algorithms, including a central limit theorem for Adaptive Multilevel Splitting (AMS). Considering the asymptotic variance in the latter, the choice of the importance function, called the reaction coordinate in molecular dynamics, is also discussed. Finally, we briefly mention some worthwhile applications of AMS in various domains.
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https://hal.inria.fr/hal-01936611
Contributor : Frederic Cerou <>
Submitted on : Wednesday, April 24, 2019 - 2:26:29 PM
Last modification on : Thursday, February 18, 2021 - 9:53:18 AM

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Frédéric Cérou, Arnaud Guyader, Mathias Rousset. Adaptive Multilevel Splitting: Historical Perspective and Recent Results. Chaos: An Interdisciplinary Journal of Nonlinear Science, American Institute of Physics, 2019, 29 (4), pp.1-32. ⟨10.1063/1.5082247⟩. ⟨hal-01936611v2⟩

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