A Multilevel Interacting Particle System Method for the estimation of Failure Probabilities
Year: 2026
Type: preprint
Abstract: We propose a novel method that combines a multilevel decomposition with the framework of Interacting Particle Systems to compute the probability that given quantities of interest take values above or below a certain pre-specified value. Through the application of a sequential sampling scheme, the algorithm is able to achieve convergence rates faster than those achieved by the classical Multilevel Monte Carlo algorithm, and competes with the current state of the art techniques, while also being dimension independent. Furthermore, the sample points generated by the algorithm form a sequence which concentrates near the critical value of the quantity of interest. Our results are rigorously established and later verified through numerical experiments.
Source: arXiv (Cornell University)
Authors: Aylwin, Rubén, Pinto, José
Institutions: Universität Ulm, Adolfo Ibáñez University
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7204558729
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