Importance sampling for the empirical measure of weakly interacting diffusions
From MaRDI portal
Abstract: We construct an importance sampling method for computing statistics related to rare events for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially poorly with the number of particles in the system for such problems. Our scheme is based on subsolutions of a Hamilton-Jacobi-Bellman (HJB) Equation on Wasserstein Space which arises in the theory of mean-field (McKean-Vlasov) control. We identify conditions under which such a scheme is asymptotically optimal. In the process, we make connections between the large deviations principle for the empirical measure of weakly interacting diffusions, mean-field control, and the HJB Equation on Wasserstein Space. We also provide evidence, both analytical and numerical, that with sufficient regularity of the HJB Equation, our scheme can have vanishingly small relative error in the many particle limit.
Recommendations
- Rare event simulation of small noise diffusions
- Importance sampling for multiscale diffusions
- Importance sampling in path space for diffusion processes with slow-fast variables
- Variational approach to rare event simulation using least-squares regression
- Importance Sampling, Large Deviations, and Differential Games
Cites work
- A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions
- A Hamilton-Jacobi PDE associated with hydrodynamic fluctuations from a nonlinear diffusion equation
- A probabilistic approach to classical solutions of the master equation for large population equilibria
- A variational representation for certain functionals of Brownian motion
- A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
- Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise
- Asymptotic series and exit time probabilities
- Barriers of the McKean-Vlasov energy via a mountain pass theorem in the space of probability measures
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- Consensus convergence with stochastic effects
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
- DeepSets and their derivative networks for solving symmetric PDEs
- Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
- Dynamic programming for mean-field type control
- Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions
- Escaping from an attractor: Importance sampling and rest points. I.
- Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law
- From a large-deviations principle to the Wasserstein gradient flow: a new micro-macro passage
- From the master equation to mean field game limit theory: large deviations and concentration of measure
- Hamilton-Jacobi equations in space of measures associated with a system of conservation laws
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- Importance sampling for McKean-Vlasov SDEs
- Importance sampling for multiscale diffusions
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Importance Sampling, Large Deviations, and Differential Games
- Improving control based importance sampling strategies for metastable diffusions via adapted metadynamics
- Instanton based importance sampling for rare events in stochastic pdes
- Large and moderate deviation principles for McKean-Vlasov SDEs with jumps
- Large deviation properties of weakly interacting processes via weak convergence methods
- Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
- Large deviations and gradient flows
- Large deviations and gradient flows for the Brownian one-dimensional hard-rod system
- Large deviations for a mean field model of systemic risk
- Large deviations for interacting multiscale particle systems
- Large deviations for interacting particle systems: Applications to non-linear filtering
- Large deviations for interacting particle systems: joint mean-field and small-noise limit
- Large deviations for stochastic processes.
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Limit theory for controlled McKean-Vlasov dynamics
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Markov state models for rare events in molecular dynamics
- Metastability in a continuous mean-field model at low temperature and strong interaction
- Minimum action method for the study of rare events
- Moderate deviation principles for weakly interacting particle systems
- Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Numerical method for FBSDEs of McKean-Vlasov type
- Numerical methods for mean field games and mean field type control
- Numerical resolution of McKean-Vlasov FBSDEs using neural networks
- On the form of the large deviation rate function for the empirical measures of weakly interacting systems
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Perturbative calculation of quasi-potential in non-equilibrium diffusions: a mean-field example
- Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
- Propagation of chaos for the Boltzmann equation
- Propagation of chaos: a review of models, methods and applications. I: Models and methods
- Random Perturbations of Dynamical Systems
- Rare event simulation of small noise diffusions
- Rare event simulation via importance sampling for linear SPDE's
- Rate of convergence for particle approximation of PDEs in Wasserstein space
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
This page was built for publication: Importance sampling for the empirical measure of weakly interacting diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6142541)
