arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1911.05366math.PR
收藏

关于同步Fleming-Viot粒子系统

On Synchronized Fleming-Viot Particle Systems

Frédéric Cérou, Arnaud Guyader, Mathias Rousset

摘要:

本文介绍了一种变体的弗莱明-维奥特粒子系统,这是一个标准的方法来近似的法律马尔可夫过程与杀戮以及相关的数量。经典的Fleming-Viot粒子系统通过模拟$N$轨迹或粒子来进行,根据底层过程的动力学,直到其中一个被杀死。在该杀灭时间,粒子在其中一个$(N-1)$和其它的$(N-1)$上瞬间分支,依此类推,直到固定且有限的最终时间$T$。在我们的变体中,我们建议等到$K$粒子被杀死,然后在$(N-K)$存活粒子上独立地重新分支它们。具体来说,我们把我们的注意力集中在大人口的限制和制度,其中$K/N$有一个给定的限制时,$N$走向无穷大。在这种情况下,我们建立的一致性和渐近正态性的结果。我们提出的变体是出于罕见事件估计问题中的应用。

英文摘要:

This article presents a variant of Fleming-Viot particle systems, which are a standard way to approximate the law of a Markov process with killing as well as related quantities. Classical Fleming-Viot particle systems proceed by simulating $N$ trajectories, or particles, according to the dynamics of the underlying process, until one of them is killed. At this killing time, the particle is instantaneously branched on one of the $(N-1)$ other ones, and so on until a fixed and finite final time $T$. In our variant, we propose to wait until $K$ particles are killed and then rebranch them independently on the $(N-K)$ alive ones. Specifically, we focus our attention on the large population limit and the regime where $K/N$ has a given limit when $N$ goes to infinity. In this context, we establish consistency and asymptotic normality results. The variant we propose is motivated by applications in rare event estimation problems.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑