Rare event simulation for stochastic dynamics in continuous time
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Publication:2328699
DOI10.1007/S10955-019-02340-1zbMATH Open1436.60085arXiv1810.00693OpenAlexW3105274927MaRDI QIDQ2328699FDOQ2328699
Authors: Letizia Angeli, Adam M. Johansen, Andrea Pizzoferrato, S. Grosskinsky 
Publication date: 10 October 2019
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Abstract: Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question of convergence properties for cloning algorithms in continuous time, and establish connections to the literature of particle filters and sequential Monte Carlo methods. This enables us to derive rigorous convergence bounds for cloning algorithms which we report in this paper, with details of proofs given in a further publication. The tilted generator characterizing the large deviation rate function can be associated to non-linear processes which give rise to several representations of the dynamics and additional freedom for associated numerical approximations. We discuss these choices in detail, and combine insights from the filtering literature and cloning algorithms to compare different approaches and improve efficiency.
Full work available at URL: https://arxiv.org/abs/1810.00693
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Cited In (16)
- Analysis and simulation of rare events for SPDEs
- Sampling rare events across dynamical phase transitions
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Adaptive sampling of large deviations
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- RARE EVENT SIMULATION
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- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
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