143 citations
- Institut de recherche mathématique de RennesFR2 papers
- SMART ReadingUS2 papers
- University of California, RiversideUS2 papers
- University of Wisconsin–MadisonUS2 papers
- Arizona State UniversityUS1 paper
- École nationale des ponts et chausséesFR1 paper
- Santa Clara UniversityUS1 paper
- Technion – Israel Institute of TechnologyIL1 paper
- Texas A&M UniversityUS1 paper
- University of Illinois ChicagoUS1 paper
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math.NA2022
Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics
Frédéric Cérou, Sofiane Martel, Mathias Rousset
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iterativ…
math.NA2022
Entropy minimizing distributions are worst-case optimal importance proposals
Frédéric Cérou, Patrick Héas, Mathias Rousset
Importance sampling of target probability distributions belonging to a given convex class is considered. Motivated by previous results, the cost of importance sampling is quantifie…