Improved diffusion Monte Carlo

DOI10.1002/CPA.21526MaRDI QIDQ2930048OpenAlexarXivWikidataFDO

Authors Jonathan Weare, Martin Hairer

Publication date 17 November 2014

Published in Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.2866

zbMATH Keywords

diffusion Monte Carlo algorithmhigh-frequency data assimilation problemnonlinear filteringrare event simulation problemsimulation problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Abstract: We propose a modification, based on the RESTART (repetitive simulation trials after reaching thresholds) and DPR (dynamics probability redistribution) rare event simulation algorithms, of the standard diffusion Monte Carlo (DMC) algorithm. The new algorithm has a lower variance per workload, regardless of the regime considered. In particular, it makes it feasible to use DMC in situations where the "na"ive" generalisation of the standard algorithm would be impractical, due to an exponential explosion of its variance. We numerically demonstrate the effectiveness of the new algorithm on a standard rare event simulation problem (probability of an unlikely transition in a Lennard-Jones cluster), as well as a high-frequency data assimilation problem.

Recommendations

• Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
• The Brownian Fan
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• Simulation of diffusions by means of importance sampling paradigm
• Rare event simulation of small noise diffusions

Cites work

• A random map implementation of implicit filters
• Deterministic Nonperiodic Flow
• scientific article; zbMATH DE number 1082719 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• Introduction to rare event simulation.
• Monte Carlo strategies in scientific computing
• Rare event simulation of small noise diffusions
• The Brownian Fan
• The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
• The theory of direct probability redistribution and its application to rare event simulation

Cited in

(15)

• Quadratic accuracy diffusion Monte Carlo
• Statistical error of diffusion Monte Carlo
• Importance sampling in rigid body diffusion Monte Carlo
• Ensemble preconditioning for Markov chain Monte Carlo simulation
• More on the long time stability of Feynman-Kac semigroups
• Error estimates on ergodic properties of discretized Feynman-Kac semigroups
• The Brownian Fan
• Improving Monte Carlo Efficiency by Increasing Variance
• Improved sampling techniques for the direct simulation Monte Carlo method
• Trajectory stratification of stochastic dynamics
• An ergodic theorem for the weighted ensemble method
• Fast randomized iteration: diffusion Monte Carlo through the Lens of numerical linear algebra
• Global minimum search using DMC algorithm with continuous weights
• Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
• Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction

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