Moving particles: A parallel optimal Multilevel Splitting method with application in quantiles estimation and meta-model based algorithms

摘要

Considering the issue of estimating small probabilities p, i.e. measuring a rare domain F = {x vertical bar g(x) > q} with respect to the distribution of a random vector X, Multilevel Splitting strategies (also called Subset Simulation) aim at writing F as an intersection of less rare events (nested subsets) such that their measures are conditionally easily computable. However the definition of an appropriate sequence of nested subsets remains an open issue.