1 citations · 1 across the 4 of their papers we have counts for
4 papers
Phase transition for conditional covariance matrices estimated by importance sampling, and implications for cross-entropy schemes in high dimension
Jason Beh, Jerome Morio, Florian Simatos
Motivated by the estimation of covariance matrices by importance sampling arising in the cross-entropy (CE) algorithm, we study a random matrix model $\hat Σ= {\bf X} L {\bf X}^\to…
Affine invariant interacting Langevin dynamics in Markov chain importance sampling for rare event estimation
Jason Beh, Jérôme Morio, Florian Simatos +1
This work considers the framework of Markov chain importance sampling~(MCIS), in which one employs a Markov chain Monte Carlo~(MCMC) scheme to sample particles approaching the opti…
Insight from the Kullback--Leibler divergence into adaptive importance sampling schemes for rare event analysis in high dimension
Jason Beh, Yonatan Shadmi, Florian Simatos
We study two adaptive importance sampling schemes for estimating the probability of a rare event in the high-dimensional regime with the dimension. The first sch…
Height and contour processes of Crump-Mode-Jagers forests (II): The Bellman-Harris universality class
E. Schertzer, F. Simatos
Crump-Mode-Jagers (CMJ) trees generalize Galton-Watson trees by allowing individuals to live for an arbitrary duration and give birth at arbitrary times during their life-time. In…