An iterative stochastic method for simulating large deviations and rare events

DOI10.1137/100789373MaRDI QIDQ3093613zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Graham M. Donovan, William L. Kath

Publication date 18 October 2011

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e2c22b2e9307805731d1b174f1188423a35c3d5b

zbMATH Keywords

cross-entropy methodGaussian white noiseimportance samplingMonte Carlo simulationsingular value decompositionvariance reduction

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Large deviations (60F10) Monte Carlo methods (65C05) Monte Carlo methods applied to problems in optics and electromagnetic theory (78M31)

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• A Koopman framework for rare event simulation in stochastic differential equations
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• Incorporating radiation in noise-induced phase evolution of optical solitons
• A path-based method for simulating large deviations and rare events in nonlinear lightwave systems
• A Method for Determining Most Probable Errors in Nonlinear Lightwave Systems
• Rare event simulation for steady-state probabilities via recurrency cycles
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• Instantons for rare events in heavy-tailed distributions

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