11 citations · 21 across the 8 of their papers we have counts for
3 papers · 1 filter
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…