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arXiv · 1511.02703

Rare event computation in deterministic chaotic systems using genealogical particle analysis

Jeroen Wouters·Freddy Bouchet
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Abstract

In this paper we address the use of rare event computation techniques to estimate small over-threshold probabilities of observables in determin-istic dynamical systems. We demonstrate that the 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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BibTeXRIS

Jeroen Wouters, Freddy Bouchet. 2016-06-20. Rare event computation in deterministic chaotic systems using genealogical particle analysis. https://doi.org/10.1088/1751-8113%2F49%2F37%2F374002

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