Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
From MaRDI portal
Publication:6089193
Abstract: We introduce and compare computational techniques for sharp extreme event probability estimates in stochastic differential equations with small additive Gaussian noise. In particular, we focus on strategies that are scalable, i.e. their efficiency does not degrade upon spatial and temporal refinement. For that purpose, we extend algorithms based on the Laplace method for estimating the probability of an extreme event to infinite dimensions. The method estimates the limiting exponential scaling using a single realization of the random variable, the large deviation minimizer. Finding this minimizer amounts to solving an optimization problem governed by a differential equation. The probability estimate becomes sharp when it additionally includes prefactor information, which necessitates computing the determinant of a second derivative operator to evaluate a Gaussian integral around the minimizer. We present an approach in infinite dimensions based on Fredholm determinants, and develop numerical algorithms to compute these determinants efficiently for the high-dimensional systems that arise upon discretization. We also give an interpretation of this approach using Gaussian process covariances and transition tubes. An example model problem, for which we also provide an open-source python implementation, is used throughout the paper to illustrate all methods discussed. To study the performance of the methods, we consider examples of stochastic differential and stochastic partial differential equations, including the randomly forced incompressible three-dimensional Navier-Stokes equations.
Recommendations
- Data-based importance sampling estimates for extreme events
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Extreme event quantification in dynamical systems with random components
- Analysis and simulation of extremes and rare events in complex systems
Cites work
- A Koopman framework for rare event simulation in stochastic differential equations
- A large deviation theory-based analysis of heat waves and cold spells in a simplified model of the general circulation of the atmosphere
- A memory-reduced implementation of the Newton-CG method in optimal control of nonlinear time-dependent PDEs
- A Natural Approach to the Numerical Integration of Riccati Differential Equations
- A scaling theory of bifurcations in the symmetric weak-noise escape problem.
- A Theorem on Infinite Products of Eigenvalues of Sturm-Liouville Type Operators
- Adaptive high-order splitting schemes for large-scale differential Riccati equations
- Algorithm 799: revolve
- Algorithms for PDE-constrained optimization
- An Eyring-Kramers law for the stochastic Allen-Cahn equation in dimension two
- Analysis and approximation of rare events. Representations and weak convergence methods
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- ARPACK Users' Guide
- Asymptotic Analysis of Gaussian Integrals. I. Isolated Minimum Points
- Asymptotic analysis of Gaussian integrals. II: Manifold of minimum points
- Asymptotic approximations for probability integrals
- Computation of extreme heat waves in climate models using a large deviation algorithm
- Eddy-viscous modeling and the topology of extreme circulation events in three-dimensional turbulence
- Efficient computation of instantons for multi-dimensional turbulent flows with large scale forcing
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Extreme event quantification in dynamical systems with random components
- Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
- Fredholm determinants
- Functional determinants and geometry
- Functional determinants by contour integration methods.
- Gaussian approximations for transition paths in Brownian dynamics
- Gel’fand–Yaglom type equations for calculating fluctuations around instantons in stochastic systems
- scientific article; zbMATH DE number 3876298 (Why is no real title available?)
- scientific article; zbMATH DE number 3911895 (Why is no real title available?)
- scientific article; zbMATH DE number 3761143 (Why is no real title available?)
- scientific article; zbMATH DE number 3512673 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Instanton based importance sampling for rare events in stochastic pdes
- Instanton filtering for the stochastic Burgers equation
- Instantons for rare events in heavy-tailed distributions
- Integration in Functional Spaces and its Applications in Quantum Physics
- Interval estimation for a binomial proportion. (With comments and a rejoinder).
- Introduction to rare event simulation.
- Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
- Large deviations and asymptotic methods in finance
- Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
- Methods de laplace et de la phase stationnaire sur l'espace de wiener
- Minimum action method for the study of rare events
- Notes on infinite determinants of Hilbert space operators
- Numerical computation of rare events via large deviation theory
- On the numerical evaluation of Fredholm determinants
- Optimal control
- Optimization with PDE Constraints
- Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations
- Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
- Quantum field theory and critical phenomena
- R-torsion and the Laplacian on Riemannian manifolds
- Random Perturbations of Dynamical Systems
- Rare event simulation of small noise diffusions
- Rogue waves and large deviations in deep sea
- Second Order Methods for Optimal Control of Time-Dependent Fluid Flow
- Second-order adjoints for solving PDE-constrained optimization problems
- Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems
- Symmetries and zero modes in sample path large deviations
- The art of differentiating computer programs. An introduction to algorithmic differentiation.
- The instanton method and its numerical implementation in fluid mechanics
- The Laplace method for probability measures in Banach spaces
- Zeta and Fredholm determinants of self-adjoint operators
Cited in
(8)- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Extreme event quantification in dynamical systems with random components
- Sharp asymptotic estimates for expectations, probabilities, and mean first passage times in stochastic systems with small noise
- Short-time large deviations of the spatially averaged height of a Kardar-Parisi-Zhang interface on a ring
- Quasi-potential of stochastic dynamics via instanton-guided sparse identification
- Scalability of the second-order reliability method for stochastic differential equations with multiplicative noise
- Data-based importance sampling estimates for extreme events
This page was built for publication: Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089193)
