Importance sampling for rare event tracking within the ensemble Kalman filtering framework
Rached N.B. Schwerin E.V. Shaimerdenova G. Tempone R.
February 2026Springer
Statistics and Computing
2026#36Issue 1
In this work we employ importance sampling (IS) techniques to track a small over-threshold probability of a running maximum associated with the solution of a stochastic differential equation (SDE) within the framework of ensemble Kalman filtering (EnKF). The proposed method acts as a post-processing step applied to the EnKF output: it uses the ensemble at a given observation time to estimate the probability of a rare event occurring before the next observation, without altering the EnKF itself. Between two observation times of the EnKF, we propose to use IS with respect to the initial condition of the SDE, IS with respect to the Wiener process via a stochastic optimal control formulation, and combined IS with respect to both initial condition and Wiener process. Both IS strategies require the approximation of the solution of Kolmogorov Backward equation (KBE) with boundary conditions. In multidimensional settings, we employ a Markovian projection dimension reduction technique to obtain an approximation of the solution of the KBE by just solving a one dimensional PDE. The proposed ideas are tested on three illustrative examples: Double Well SDE, Langevin dynamics and noisy Charney-deVore model, and showcase a significant variance reduction compared to the standard Monte Carlo method and another sampling-based IS technique, namely, multilevel cross entropy.
ensemble Kalman filter , importance sampling , Monte Carlo , rare event simulation , stochastic optimal control
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School of Mathematics, Faculty of Engineering and Physical Sciences, University of Leeds, Leeds, United Kingdom
Applied Mathematics and Computational Sciences, KAUST, Thuwal, Saudi Arabia
School of Artificial Intelligence and Data Science, Astana IT University, Astana, Kazakhstan
Chair of Mathematics for Uncertainty Quantification, RWTH Aachen University, Aachen, Germany
School of Mathematics
Applied Mathematics and Computational Sciences
School of Artificial Intelligence and Data Science
Chair of Mathematics for Uncertainty Quantification
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Книга Публикация научной статьи Волощук 2026 Book Publication of a scientific article 2026