Rare Event Simulation of Small Noise Diffusions

DOI10.1002/cpa.21428zbMath1268.65015OpenAlexW2036213650MaRDI QIDQ4650170

Jonathan Weare, Eric Vanden-Eijnden

Publication date: 23 November 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21428

zbMATH Keywords

Hamilton-Jacobi equationnumerical examplesstochastic differential equationssampling methodMonte Carlo schemessmall noise diffusionnoisy Allen-Cahn equationrare event problemszero variance importance sampling scheme

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Hamilton-Jacobi equations (35F21)

Related Items (42)

A Koopman framework for rare event simulation in stochastic differential equations ⋮ Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions ⋮ Rare Event Simulation for Multiscale Diffusions in Random Environments ⋮ A Primer on Noise-Induced Transitions in Applied Dynamical Systems ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ Improved Diffusion Monte Carlo ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction ⋮ Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems ⋮ Non-equilibrium large deviations and parabolic-hyperbolic PDE with irregular drift ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Sharp asymptotic estimates for expectations, probabilities, and mean first passage times in stochastic systems with small noise ⋮ Efficient large deviation estimation based on importance sampling ⋮ An Automatic Adaptive Importance Sampling Algorithm for Molecular Dynamics in Reaction Coordinates ⋮ Algorithm for overcoming the curse of dimensionality for state-dependent Hamilton-Jacobi equations ⋮ On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting ⋮ Sequential Design of Computer Experiments for the Solution of Bayesian Inverse Problems ⋮ Peculiar spectral statistics of ensembles of trees and star-like graphs ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ Adaptive sampling of large deviations ⋮ An Hp-Adaptive Minimum Action Method Based on a Posteriori Error Estimate ⋮ Importance sampling: intrinsic dimension and computational cost ⋮ Reactive trajectories and the transition path process ⋮ Partial differential equations and stochastic methods in molecular dynamics ⋮ Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients ⋮ Symmetrized importance samplers for stochastic differential equations ⋮ Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems ⋮ Computing return times or return periods with rare event algorithms ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations ⋮ Instanton based importance sampling for rare events in stochastic PDEs ⋮ Variational approach to rare event simulation using least-squares regression ⋮ Numerical computation of rare events via large deviation theory ⋮ Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis ⋮ Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms ⋮ Small-Noise Analysis and Symmetrization of Implicit Monte Carlo Samplers ⋮ Extreme Event Quantification in Dynamical Systems with Random Components ⋮ Sequential Design of Computer Experiments for the Computation of Bayesian Model Evidence ⋮ Large Deviations for Additive Functionals of Reflected Jump-Diffusions ⋮ A Large-Deviation-Based Splitting Estimation of Power Flow Reliability ⋮ Sampling, feasibility, and priors in data assimilation

Uses Software

• Ipopt

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic series and exit time probabilities
• A variational representation for certain functionals of Brownian motion
• Counterexamples in importance sampling for large deviations probabilities
• Dynamic importance sampling for uniformly recurrent Markov chains
• Introduction to rare event simulation.
• Dynamic importance sampling for queueing networks
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Controlled Markov processes and viscosity solutions
• The Cauchy problem for a nonlinear first order partial differential equation
• Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation
• State-dependent importance sampling for regularly varying random walks
• Large fluctuations for a nonlinear heat equation with noise
• Importance Sampling, Large Deviations, and Differential Games
• Minimum action method for the study of rare events
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

This page was built for publication: Rare Event Simulation of Small Noise Diffusions