Learning Koopman eigenfunctions of stochastic diffusions with optimal importance sampling and ISOKANN
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Abstract: For stochastic diffusion processes the dominant eigenfunctions of the corresponding Koopman operator contain important information about the slow-scale dynamics, that is, about the location and frequency of rare events. In this article, we reformulate the eigenproblem in terms of -functions in the ISOKANN framework and discuss how optimal control and importance sampling allows for zero variance sampling of these functions. We provide a new formulation of the ISOKANN algorithm allowing for a proof of convergence and incorporate the optimal control result to obtain an adaptive iterative algorithm alternating between importance sampling and -function approximation. We demonstrate the usage of our proposed method in experiments increasing the approximation accuracy by several orders of magnitude.
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Cites work
- A Koopman framework for rare event simulation in stochastic differential equations
- Fuzzy spectral clustering by PCCA+: application to Markov state models and data classification
- Importance sampling in path space for diffusion processes with slow-fast variables
- Metastability in reversible diffusion processes. I: Sharp asymptotics for capacities and exit times
- On the numerical approximation of the Perron-Frobenius and Koopman operator
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- The Monte Carlo computation error of transition probabilities
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