25 citations · 25 across the 1 of their papers we have counts for
3 papers
stat.CO2015
Rare Event Simulation and Splitting for Discontinuous Random Variables
Clément Walter
Multilevel Splitting methods, also called Sequential Monte-Carlo or \emph{Subset Simulation}, are widely used methods for estimating extreme probabilities of the form $P[S(\mathbf{…
cs.CE2014
Point Process-based Monte Carlo estimation
Clément Walter
This paper addresses the issue of estimating the expectation of a real-valued random variable of the form where is a deterministic function and …
stat.CO2014★ 25 cited
Moving Particles: a parallel optimal Multilevel Splitting method with application in quantiles estimation and meta-model based algorithms
Clément Walter
Considering the issue of estimating small probabilities p, ie. measuring a rare domain F = {x | g(x) > q} with respect to the distribution of a random vector X, Multilevel Splittin…