Adaptive sampling of large deviations
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Computational methods for problems pertaining to probability theory (60-08) Large deviations (60F10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Abstract: We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting the probability and pathways of rare events in stochastic processes, as well as for understanding the physics of nonequilibrium systems driven in steady states by external forces and reservoirs. The algorithm uses methods from risk-sensitive and feedback control to estimate from a single trajectory a new process, called the driven process, known to be efficient for importance sampling. Its advantages compared to other simulation techniques, such as splitting or cloning, are discussed and illustrated with simple equilibrium and nonequilibrium diffusion models.
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Cited in
(27)- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Sampling rare events across dynamical phase transitions
- Analysis and application of adaptive sampling
- Non-equivalence of dynamical ensembles and emergent non-ergodicity
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- Failure-Informed Adaptive Sampling for PINNs
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- Approximating Large Frequency Moments with Pick-and-Drop Sampling
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