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 . A rigorous proof of a central limit theorem has been obtained in  for Fleming–Viot particle systems. The application to AMS (adaptive multilevel splitting) algorithm is in preparation.