Symmetrized importance samplers for stochastic differential equations

DOI10.2140/CAMCOS.2018.13.215zbMATH Open1401.65010arXiv1707.02695OpenAlexW2734908640WikidataQ129643707 ScholiaQ129643707MaRDI QIDQ1789237FDOQ1789237

Authors: Kevin K. Lin, Matthias Morzfeld, Andrew Leach 

Publication date: 10 October 2018

Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)

Abstract: We study a class of importance sampling methods for stochastic differential equations (SDEs). A small-noise analysis is performed, and the results suggest that a simple symmetrization procedure can significantly improve the performance of our importance sampling schemes when the noise is not too large. We demonstrate that this is indeed the case for a number of linear and nonlinear examples. Potential applications, e.g., data assimilation, are discussed.

Full work available at URL: https://arxiv.org/abs/1707.02695

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zbMATH Keywords

data assimilationimportance samplingstochastic differential equationssymmetrizationsmall noise theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Sequential Monte Carlo Methods in Practice
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• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
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• Exact asymptotics of Laplace integrals on nonsmooth functions.

Cited In (2)

• The use of importance sampling in the solution of stochastic differential equations.
• Small-noise analysis and symmetrization of implicit Monte Carlo samplers

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