Section: New Results

Rare event techniques for integral estimation

Participants : Frédéric Cérou, Arnaud Guyader, Jean-Baptiste Le Meur.

See  3.4 and  4.2 .

This is a collaboration with Éric Matzner–Løber, from université de Rennes 2.

We applied our rare event techniques to the estimation of integrals that are too complicated to be computed by either numerical methods, or Monte Carlo. Typically, one can think of the partition function of a Gibbs measure. Very preliminary results indicate that the proposed method may prove very useful for some difficult cases. This is still a work in progress.