Section: New Results

Minimum volume set for a rare event

Participants : François Le Gland, Rudy Pastel.

See  3.3 and  4.2 .

This is a collaboration with Jérôme Morio (ONERA Palaiseau).

The paper [19] first reviews the principle of minimum volume set estimation of a given probability level for a multidimensional density, a strategy that provides a sound solution to the multidimensional quantile issue. It then describes an importance sampling algorithm that is suitable for this kind of estimation problems, and provides simulation results for the estimation of the impact zone of a space launcher. The current work aims at designing an importance splitting method that would be more efficient for extreme quantiles.