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Inference and rare event simulation for stopped Markov processes via reverse time sequential Monte Carlo

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Academic year: 2020

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Figure

Figure 1: 100 replicates of simulated hitting probabilities using reverse time SMC (left) andadaptive multilevel splitting (right) on an ATM network with parameters(splitting) respectively, yielding comparable run times of 130 seconds per replicate each on
Figure 2: 100 replicates of simulated hitting probabilities using reverse time SMC on an ATMnetwork with parameters K = 20, b = 30, λ = 0.5, µ = 10.0, α0 = 1.0, α1 = 3.0, and 10 000particles
Figure 3: 100 replicates of simulated containment probabilities of the hyperbolic diffusion withinitial interval (time step ∆ = 0000 initial conditons for splitting, giving total run times of 7 seconds (SMC) and 240 secondsl0, u0) = (−1, 1), terminal interv
Figure 5: Distributions of the maximum likelihood value across 100 iterations as a function ofgrid size in a nearest neighbour network
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