Analysis and simulation of rare events for SPDEs

DOI10.1051/PROC/201448017zbMATH Open1334.35448arXiv1401.1380OpenAlexW2148043907MaRDI QIDQ5744934FDOQ5744934

Charles-Edouard Bréhier, Mathias Rousset, Ludovic Goudenège, Maxime Gazeau

Publication date: 10 February 2016

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Abstract: In this work, we consider the numerical estimation of the probability for a stochastic process to hit a set B before reaching another set A. This event is assumed to be rare. We consider reactive trajectories of the stochastic Allen-Cahn partial differential evolution equation (with double well potential) in dimension 1. Reactive trajectories are defined as the probability distribution of the trajectories of a stochastic process, conditioned by the event of hitting B before A. We investigate the use of the so-called Adaptive Multilevel Splitting algorithm in order to estimate the rare event and simulate reactive trajectories. This algorithm uses a emph{reaction coordinate} (a real valued function of state space defining level sets), and is based on (i) the selection, among several replicas of the system having hit A before B, of those with maximal reaction coordinate; (ii) iteration of the latter step. We choose for the reaction coordinate the average magnetization, and for B the minimum of the well opposite to the initial condition. We discuss the context, prove that the algorithm has a sense in the usual functional setting, and numerically test the method (estimation of rare event, and transition state sampling).

Full work available at URL: https://arxiv.org/abs/1401.1380

zbMATH Keywords

stochastic partial differential equationsrare events

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60)

Cited In (4)

• A Koopman framework for rare event simulation in stochastic differential equations
• On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
• Discovery of rare event testing for stochastic simulations of diffusion processes
• Title not available (Why is that?)

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