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We present a sequential Monte Carlo algorithm for Markov chain trajectories with proposals constructed in reverse time, which is advantageous when paths are conditioned to end in a rare set.
Exponentially decreasing distributions for the logarithm of particle size
O. Barndorff-Nielsen · 1977
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Hyperbolic distributions and distributions on hyperbolae
O. Barndorff-Nielsen · 1978
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Reverse-time modelling, optimal control and large deviations
M. R. Frater, R. A. Kennedy, and B. D. O. Anderson · 1989
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Analysis of rare events in continuous time Markov chains via time reversal and fluid approximation
V. Anantharam, P. Heidelberg, and P. Tsoucas · 1990
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Fast simulation of rare events using reverse-time models
M. R. Frater, R. R. Bitmean, R. A. Kennedy, and B. D. O. Anderson · 1990
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On large deviation theory and asymptotically efficient Monte Carlo estimation
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Induced rare events: analysis via large deviations and time reversal
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Simulating probability distributions in the coalescent
R. C. Griffiths and S. Tavaré · 1994
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Diffusions, Markov processes and martingales , volume 1
L. C. G Rogers and D. Williams · 1994
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Simulating rations of normalizing constants via a simple identity: a theoretical exploration
X. L. Meng and W. H. Wong · 1996
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Counterexamples in importance sampling for large deviations probabilities
P. Glasserman and Y. Wang · 1997
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Multi-level splitting for estimating rare event probabilities
P. Glasserman, P. Heidelberg, P. Shahabuddin, and T. Zajic · 1999
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Weak approximation of killed diffusions using Euler schemes
E. Gobet · 2000
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Epidemics and percolation in small-world networks
C. Moore and M. E. J. Newman · 2000
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Inference in molecular population genetics
M. Stephens and P. Donnelly · 2000
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Sequential Monte Carlo methods in practice
A. Doucet, J. F. G. De Freitas, and N. J. Gordon · 2001
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Monte Carlo strategies in scientific computing
J. S. Liu · 2001
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Epidemic spreading in scale-free networks
R. Pastor-Satorras and A. Vespignani · 2001
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Hyperbolic processes in finance
B. M. Bibby and M. Sørensen · 2003
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Feynman-Kac formulae: genealogical and interacting particle systems with applications
P. Del Moral · 2004
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Stopping-time resampling for sequential Monte Carlo methods
Y. Chen, J. Xie, and J. S. Liu · 2005
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Genealogical particle analysis of rare events
P. Del Moral and J. Garnier · 2005
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On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods
A. Lee, C. Yau, M. B. Giles, A. Doucet, and C. C. Holmes · 2010
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Sampling per mode simulation for switching diffusions
P. Lezaud, J. Krystul, and F. Le Gland · 2010
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On generating Monte Carlo samples of continuous diffusion bridges
M. Lin, R. Chen, and P. Mykland · 2010
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Detecting sources of computer viruses in networks: theory and experiment
D. Shah and T. Zaman · 2010
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Importance sampling for Lambda-coalescents in the infinitely many sites model
M. Birkner, J. Blath, and M. Steinrücken · 2011
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A non-asymptotic variance theorem for unnormalized Feynman-Kac particle models
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C. Jarzynski · 2006
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Sequential Monte Carlo samplers for rare events
A. M. Johansen, P. Del Moral, and A. Doucet · 2006
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Probabilistic reachability analysis for large scale stochastic hybrid systems
H. A. P. Blom, G. J. Bakker, and J. Krystul · 2007
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Computing likelihoods for coalescents with multiple collisions in the infinitely many sites model
M. Birkner and J. Blath · 2008
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Exact Monte Carlo simulation of killed diffusions
B. Casella and G. O. Roberts · 2008
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Computational methods for complex stochastic systems: a review of some alternatives to MCMC
P. Fearnhead · 2008
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F. Cérou, P. Del Moral, and A. Guyader · 2011
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A tutorial on particle filtering and smoothing: fifteen years later
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Sequential Monte Carlo for rare event estimation
F. Cérou, P. Del Moral, T. Furon, and A. Guyader · 2012
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Stopping-time resampling and population genetic inference under coalescent models
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Estimation in discretely observed Markov processes killed at a threshold
E. Bibbona and S. Ditlevsen · 2013
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Bayesian parameter inference for partially observed stopped processes
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Rumor source detection for rumor spreading on random increasing trees
M. Fuchs and P.-D. Yu · 2015
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The effect of network topology on the spread of epidemics
A. Ganesh, L. Massoulie, and D. Towsley · 2015
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Computational inference beyond Kingman’s coalescent
J. Koskela, P. A. Jenkins, and D. Spanò · 2015
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Finding rumor sources on random trees
D. Shah and T. Zaman · 2016
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