Importance sampling for pathwise sensitivity of stochastic chaotic systems

DOI10.1137/20M1352454MaRDI QIDQ5158921zbMATH OpenOpenAlexFDO

Authors Wei Fang, Mike Giles

Publication date 26 October 2021

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.12160

zbMATH Keywords

chaotic systemimportance samplingMLMCRichardson-Rombergsensitivity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by importance sampling. The variance of the new estimator increases only linearly in time $T,$ compared with the exponential increase of the standard pathwise estimator. We compare our estimator with the Malliavin estimator and extend both of them to the Multilevel Monte Carlo method, which further improves the computational efficiency. Finally, we also consider using this estimator for the SDE with small volatility to approximate the sensitivities of the invariant measure of chaotic ODEs. Furthermore, Richardson-Romberg extrapolation on the volatility parameter gives a more accurate and efficient estimator. Numerical experiments support our analysis.

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Cited in

(1)

• Multi-index ensemble Kalman filtering

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