Instanton based importance sampling for rare events in stochastic PDEs

DOI10.1063/1.5085119zbMATH Open1476.60005arXiv1812.03543OpenAlexW3103293640WikidataQ91559633 ScholiaQ91559633MaRDI QIDQ5227580FDOQ5227580

Georgios Margazoglou, Lasse Ebener, Jan Friedrich, R. Grauer, L. Biferale

Publication date: 6 August 2019

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: We present a new method for sampling rare and large fluctuations in a non-equilibrium system governed by a stochastic partial differential equation (SPDE) with additive forcing. To this end, we deploy the so-called instanton formalism that corresponds to a saddle-point approximation of the action in the path integral formulation of the underlying SPDE. The crucial step in our approach is the formulation of an alternative SPDE that incorporates knowledge of the instanton solution such that we are able to constrain the dynamical evolutions around extreme flow configurations only. Finally, a reweighting procedure based on the Girsanov theorem is applied to recover the full distribution function of the original system. The entire procedure is demonstrated on the example of the one-dimensional Burgers equation. Furthermore, we compare our method to conventional direct numerical simulations as well as to Hybrid Monte Carlo methods. It will be shown that the instanton-based sampling method outperforms both approaches and allows for an accurate quantification of the whole probability density function of velocity gradients from the core to the very far tails.

Full work available at URL: https://arxiv.org/abs/1812.03543

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Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (13)

• Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
• Importance sampling for the empirical measure of weakly interacting diffusions
• Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain
• Rare events in stochastic partial differential equations on large spatial domains
• Gel’fand–Yaglom type equations for calculating fluctuations around instantons in stochastic systems
• A Koopman framework for rare event simulation in stochastic differential equations
• Instantons for rare events in heavy-tailed distributions
• Parametric Hamilton’s equations for stochastic systems
• Collapse of transitional wall turbulence captured using a rare events algorithm
• Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
• Rare event simulation for diffusion processes via two-stage importance sampling
• Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
• Symmetries and zero modes in sample path large deviations

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