11 citations · 21 across the 8 of their papers we have counts for
8 papers
Adaptive Reduced Multilevel Splitting
Frédéric Cérou, Patrick Héas, Mathias Rousset
This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We a…
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…
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…
Chilled Sampling for Uncertainty Quantification: A Motivation From A Meteorological Inverse Problem
Patrick Héas, Frédéric Cérou, Mathias Rousset
Atmospheric motion vectors (AMVs) extracted from satellite imagery are the only wind observations with good global coverage. They are important features for feeding numerical weath…
On Synchronized Fleming-Viot Particle Systems
Frédéric Cérou, Arnaud Guyader, Mathias Rousset
This article presents a variant of Fleming-Viot particle systems, which are a standard way to approximate the law of a Markov process with killing as well as related quantities. Cl…
A Central Limit Theorem for Fleming-Viot Particle Systems with Hard Killing
Bernard Delyon, Frédéric Cérou, Arnaud Guyader +1
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic…
New Insights Into Approximate Bayesian Computation
Gérard Biau, Frédéric Cérou, Arnaud Guyader
Approximate Bayesian Computation (ABC for short) is a family of computational techniques which offer an almost automated solution in situations where evaluation of the posterior li…
On the length of one-dimensional reactive paths
Frédéric Cérou, Arnaud Guyader, Tony Lelièvre +1
Motivated by some numerical observations on molecular dynamics simulations, we analyze metastable trajectories in a very simplecsetting, namely paths generated by a one-dimensional…