80 citations · 83 across the 3 of their papers we have counts for
5 papers
Adaptive reduced tempering For Bayesian inverse problems and rare event simulation
Frederic Cerou, Patrick Heas, Mathias Rousset
This work proposes an adaptive sequential Monte Carlo sampling algorithm to solve Bayesian inverse problems in scenarios where likelihood evaluations are costly but can be approxim…
On the Asymptotic Normality of Adaptive Multilevel Splitting
Frédéric Cérou, Bernard Delyon, Arnaud Guyader +1
Adaptive Multilevel Splitting (AMS for short) is a generic Monte Carlo method for Markov processes that simulates rare events and estimates associated probabilities. Despite its pr…
A Central Limit Theorem for Fleming-Viot Particle Systems with Soft Killing
Frederic Cerou, Bernard Delyon, Arnaud Guyader +1
The distribution of a Markov process with killing, conditioned to be still alive at a given time, can be approximated by a Fleming-Viot type particle system. In such a system, each…
Fluctuation Analysis of Adaptive Multilevel Splitting
Frederic Cerou, Arnaud Guyader
Multilevel Splitting is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its probability. This article is concerned with the converge…
A multiple replica approach to simulate reactive trajectories
Frédéric Cérou, Arnaud Guyader, Tony Lelièvre +1
A method to generate reactive trajectories, namely equilibrium trajectories leaving a metastable state and ending in another one is proposed. The algorithm is based on simulating i…