Section: New Results

Adaptive multilevel splitting

Participants : Frédéric Cérou, Arnaud Guyader.

We show [21] that an adaptive version of multilevel splitting for rare events is strongly consistent. We also show that the estimates satisfy a CLT (central limit theorem), with the same asymptotic variance as the non-adaptive algorithm with the optimal choice of the parameters. It is a strong and general result, that generalizes some of our previous results, and the proof is quite technical and involved.

This work has been presented at the 10th International Workshop on Rare Event Simulation (RESIM), held in Amsterdam in August 2014.