A variant of importance splitting for rare event estimation: Fixed number of successes, ACM Transactions on Modeling and Computer Simulation (TOMACS), vol.21, issue.2, p.13, 2011. ,
Estimation of small failure probabilities in high dimensions by subset simulation, Probabilistic Engineering Mechanics, vol.16, issue.4, pp.263-277, 2001. ,
Subset simulation and its application to seismic risk based on dynamic analysis, Journal of Engineering Mechanics, vol.129, issue.8, pp.901-917, 2003. ,
Rare event estimation for a large-scale stochastic hybrid system with air traffic application. In Rare event simulation using Monte Carlo methods, pp.193-214, 2009. ,
An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting, Methodol. Comput. Appl. Probab, vol.10, issue.4, pp.471-505, 2008. ,
Unbiasedness of some generalized adaptive multilevel splitting algorithms, Ann. Appl. Probab, vol.26, issue.6, pp.3559-3601, 2016. ,
On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting, 2018. ,
Unbiasedness of some generalized adaptive multilevel splitting algorithms, 2015. ,
Introduction to rare event simulation, Springer Series in Statistics, 2004. ,
Sequential Monte Carlo for rare event estimation, Stat. Comput, vol.22, issue.3, pp.795-808, 2012. ,
Genetic genealogical models in rare event analysis, ALEA Lat. Am. J. Probab. Math. Stat, vol.1, pp.181-203, 2006. ,
On the Asymptotic Normality of Adaptive Multilevel Splitting, SIAM/ASA Journal on Uncertainty Quantification, vol.7, issue.1, pp.1-30, 2019. ,
Adaptive multilevel splitting for rare event analysis, Stoch. Anal. Appl, vol.25, issue.2, pp.417-443, 2007. ,
Fluctuation analysis of adaptive multilevel splitting, Ann. Appl. Probab, vol.26, issue.6, pp.3319-3380, 2016. ,
A multiple replica approach to simulate reactive trajectories, The Journal of Chemical Physics, vol.134, issue.5, p.54108, 2011. ,
A general theory of particle filters in hidden Markov models and some applications, Ann. Statist, vol.41, issue.6, pp.2877-2904, 2013. ,
Properties of nested sampling, Biometrika, vol.97, issue.3, pp.741-755, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00216003
Feynman-Kac formulae, Genealogical and interacting particle systems with applications, 2004. ,
Mean field simulation for Monte Carlo integration, Monographs on Statistics and Applied Probability, vol.126, 2013. ,
Sequential Monte Carlo samplers, J. R. Stat. Soc. Ser. B Stat. Methodol, vol.68, issue.3, pp.411-436, 2006. ,
URL : https://hal.archives-ouvertes.fr/hal-01593880
The Alive Particle Filter and Its Use in Particle Markov Chain Monte Carlo, Stoch. Anal. Appl, vol.33, issue.6, pp.943-974, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-01669389
Sequential Monte Carlo Methods in Practice. Statistics for Engineering and Information Science, 2001. ,
The splitting method in rare event simulation, 2000. ,
Multilevel monte carlo path simulation. Operations Research, vol.56, pp.607-617, 2008. ,
Multilevel monte carlo methods, Acta Numerica, vol.24, pp.259-328, 2015. ,
Counterexamples in importance sampling for large deviations probabilities, Ann. Appl. Probab, vol.7, issue.3, pp.731-746, 1997. ,
Rare event simulation using reversible shaking transformations, SIAM J. Sci. Comput, vol.37, issue.5, pp.2295-2316, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-01058748
Simulation and estimation of extreme quantiles and extreme probabilities, Applied Mathematics and Optimization, vol.64, pp.171-196, 2011. ,
URL : https://hal.archives-ouvertes.fr/hal-00911891
Monte Carlo methods, 1965. ,
Estimation of particle transmission by random sampling, National Bureau of Standards Appl. Math. Series, vol.12, pp.27-30, 1951. ,
Multilevel branching and splitting algorithm for estimating rare event probabilities. Simulation Modelling Practice and Theory, vol.72, pp.150-167, 2017. ,
A two-step branching splitting model under cost constraint for rare event analysis, Journal of Applied Probability, vol.46, issue.2, pp.429-452, 2009. ,
A sequential particle algorithm that keeps the particle system alive, Signal Processing Conference, 2005 13th European, pp.1-4, 2005. ,
URL : https://hal.archives-ouvertes.fr/hal-00912079
Splitting for rare-event simulation, Proceedings of the 38th conference on Winter simulation, pp.137-148, 2006. ,
Variance estimation in the particle filter, Biometrika, vol.105, issue.3, pp.609-625, 2018. ,
Partial differential equations and stochastic methods in molecular dynamics, Acta Numer, vol.25, pp.681-880, 2016. ,
Computing return times or return periods with rare event algorithms, Journal of Statistical Mechanics: Theory and Experiment, vol.2018, issue.4, p.43213, 2018. ,
DOI : 10.1088/1742-5468/aab856
URL : https://hal.archives-ouvertes.fr/hal-02070403
Adaptive multilevel splitting method: Isomerization of the alanine dipeptide, 2017. ,
URL : https://hal.archives-ouvertes.fr/hal-01574847
Development of an adaptive variance reduction technique for Monte Carlo particle transport, 2017. ,
URL : https://hal.archives-ouvertes.fr/tel-01661422
Adaptive Multilevel Splitting for Monte Carlo particle transport, EPJ Web Conf, vol.153, p.6006, 2017. ,
DOI : 10.1051/epjconf/201715306006
URL : https://hal.archives-ouvertes.fr/hal-01661012
Nested sampling for general Bayesian computation, Bayesian Anal, vol.1, issue.4, pp.833-859, 2006. ,
DOI : 10.1214/06-ba127
URL : https://doi.org/10.1214/06-ba127
Nested sampling for Bayesian computations, Bayesian statistics 8, pp.491-524, 2007. ,
DOI : 10.1214/06-ba127
URL : https://doi.org/10.1214/06-ba127
Adaptive multilevel splitting method for molecular dynamics calculation of benzamidinetrypsin dissociation time, Journal of chemical theory and computation, vol.12, issue.6, pp.2983-2989, 2016. ,
URL : https://hal.archives-ouvertes.fr/hal-01389074
Multilevel estimation of rare events, SIAM/ASA Journal on Uncertainty Quantification, vol.3, issue.1, pp.922-953, 2015. ,
DOI : 10.1137/140992953
Enhancement of the accelerated simulation method RESTART by considering multiple thresholds ,
, Fundamental Role of Teletraffic in the Evolution of Telecommunication Networks : Proceedings of the 14th International, pp.787-810, 1994.
RESTART : a method for accelerating rare event simulation, ATM : Proceedings of the 13rd International Teletraffic Congress, pp.71-76, 1991. ,