Variational approach to rare event simulation using least-squares regression

DOI10.1063/1.5090271zbMath1421.62009arXiv1901.09195OpenAlexW2913860142WikidataQ91559998 ScholiaQ91559998MaRDI QIDQ5227583

Lorenz Richter, Lara Neureither, Omar Kebiri, Carsten Hartmann

Publication date: 6 August 2019

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.09195

zbMATH Keywords

rare event simulationstochastic optimal control problemleast-squares regressionimportance sampling scheme

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Sampling theory, sample surveys (62D05) Optimal stochastic control (93E20)

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Uses Software

• RESTART
• Adam

Cites Work

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