Numerical computation of rare events via large deviation theory
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Publication:5227587
DOI10.1063/1.5084025zbMATH Open1416.65042arXiv1812.00681OpenAlexW3103897655WikidataQ91559854 ScholiaQ91559854MaRDI QIDQ5227587FDOQ5227587
Eric Vanden-Eijnden, Tobias Grafke
Publication date: 6 August 2019
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Abstract: An overview of rare events algorithms based on large deviation theory (LDT) is presented. It covers a range of numerical schemes to compute the large deviation minimizer in various setups, and discusses best practices, common pitfalls, and implementation trade-offs. Generalizations, extensions, and improvements of the minimum action methods are proposed. These algorithms are tested on example problems which illustrate several common difficulties which arise e.g. when the forcing is degenerate or multiplicative, or the systems are infinite-dimensional. Generalizations to processes driven by non-Gaussian noises or random initial data and parameters are also discussed, along with the connection between the LDT-based approach reviewed here and other methods, such as stochastic field theory and optimal control. Finally, the integration of this approach in importance sampling methods using e.g. genealogical algorithms is explored.
Full work available at URL: https://arxiv.org/abs/1812.00681
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