Journal
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL
Volume 49, Issue 37, Pages -Publisher
IOP Publishing Ltd
DOI: 10.1088/1751-8113/49/37/374002
Keywords
rare event simulation; deterministic dynamical systems; genealogical particle analysis; large deviation theory
Categories
Funding
- AXA Research Fund
- European Community's Seventh Framework Programme [PIOF-GA-2013-626210]
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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.
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