Section: New Results

Central limit theorem for adaptive multilevel splitting

Participants : Frédéric Cérou, Arnaud Guyader, Mathias Rousset.

This is a collaboration with Bernard Delyon (université de Rennes 1).

In this work, we consider the adaptive multilevel splitting algorithm as a Fleming–Viot particle system: the particles are indexed by levels instead of time, and the associated states are given by first entrance into level sets, in a similar fashion as in  [38]. A rigorous proof of a central limit theorem has been obtained in [24] for Fleming–Viot particle systems. The application to AMS (adaptive multilevel splitting) algorithm is in preparation.