Morio, Jérôme; Jacquemart, Damien; Balesdent, Mathieu; … - In: Computational Statistics & Data Analysis 66 (2013) C, pp. 117-128
The interacting particle system (IPS) is a recent probabilistic model proposed to estimate rare event probabilities for Markov chains. The principle of IPS is to apply alternatively selection and mutation stages to a set of initial particles in order to estimate probabilities or quantiles more...