Hastings-Metropolis algorithm on Markov chains for small-probability estimation

Shielding studies in neutron transport, with Monte Carlo codes, yield challenging problems of small-probability estimation. The particularity of these studies is that the small probability to estimate is formulated in terms of the distribution of a Markov chain, instead of that of a random vector in more classical cases. Thus, it is not straightforward to adapt classical statistical methods, for estimating small probabilities involving random vectors, to these neutron-transport problems. A recent interacting-particle method for small-probability estimation, relying on the Hastings-Metropolis algorithm, is presented. It is shown how to adapt the Hastings-Metropolis algorithm when dealing with Markov chains. A convergence result is also shown. Then, the practical implementation of the resulting method for small-probability estimation is treated in details, for a Monte Carlo shielding study. Finally, it is shown, for this study, that the proposed interacting-particle method considerably outperforms a simple-Monte Carlo method, when the probability to estimate is small.Comment: 33 page

Path-tracing Monte Carlo Library for 3D Radiative Transfer in Highly Resolved Cloudy Atmospheres

Interactions between clouds and radiation are at the root of many difficulties in numerically predicting future weather and climate and in retrieving the state of the atmosphere from remote sensing observations. The large range of issues related to these interactions, and in particular to three-dimensional interactions, motivated the development of accurate radiative tools able to compute all types of radiative metrics, from monochromatic, local and directional observables, to integrated energetic quantities. In the continuity of this community effort, we propose here an open-source library for general use in Monte Carlo algorithms. This library is devoted to the acceleration of path-tracing in complex data, typically high-resolution large-domain grounds and clouds. The main algorithmic advances embedded in the library are those related to the construction and traversal of hierarchical grids accelerating the tracing of paths through heterogeneous fields in null-collision (maximum cross-section) algorithms. We show that with these hierarchical grids, the computing time is only weakly sensitivive to the refinement of the volumetric data. The library is tested with a rendering algorithm that produces synthetic images of cloud radiances. Two other examples are given as illustrations, that are respectively used to analyse the transmission of solar radiation under a cloud together with its sensitivity to an optical parameter, and to assess a parametrization of 3D radiative effects of clouds.Comment: Submitted to JAMES, revised and submitted again (this is v2

Bounding rare event probabilities in computer experiments

We are interested in bounding probabilities of rare events in the context of computer experiments. These rare events depend on the output of a physical model with random input variables. Since the model is only known through an expensive black box function, standard efficient Monte Carlo methods designed for rare events cannot be used. We then propose a strategy to deal with this difficulty based on importance sampling methods. This proposal relies on Kriging metamodeling and is able to achieve sharp upper confidence bounds on the rare event probabilities. The variability due to the Kriging metamodeling step is properly taken into account. The proposed methodology is applied to a toy example and compared to more standard Bayesian bounds. Finally, a challenging real case study is analyzed. It consists of finding an upper bound of the probability that the trajectory of an airborne load will collide with the aircraft that has released it.Comment: 21 pages, 6 figure