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Rare event computation in deterministic chaotic systems using genealogical particle analysis

Wouters, J. and Bouchet, F. (2016) Rare event computation in deterministic chaotic systems using genealogical particle analysis. Journal of Physics A: Mathematical and Theoretical, 49 (37). 374002. ISSN 1751-8121

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To link to this item DOI: 10.1088/1751-8113/49/37/374002

Abstract/Summary

In this paper we address the use of rare event computation techniques to estimate small over-threshold probabilities of observables in deterministic dynamical systems. We demonstrate that genealogical particle analysis algorithms can be successfully applied to a toy model of atmospheric dynamics, the Lorenz '96 model. We furthermore use the Ornstein–Uhlenbeck system to illustrate a number of implementation issues. We also show how a time-dependent objective function based on the fluctuation path to a high threshold can greatly improve the performance of the estimator compared to a fixed-in-time objective function.

Item Type:Article
Refereed:Yes
Divisions:No Reading authors. Back catalogue items
Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:81415
Publisher:IOP

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