Variational approach to rare event simulation using least-squares regression
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Publication:5227583
DOI10.1063/1.5090271zbMath1421.62009arXiv1901.09195OpenAlexW2913860142WikidataQ91559998 ScholiaQ91559998MaRDI QIDQ5227583
Lorenz Richter, Lara Neureither, Omar Kebiri, Carsten Hartmann
Publication date: 6 August 2019
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.09195
rare event simulationstochastic optimal control problemleast-squares regressionimportance sampling scheme
Linear regression; mixed models (62J05) Sampling theory, sample surveys (62D05) Optimal stochastic control (93E20)
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Uses Software
Cites Work
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