Learning-based importance sampling via stochastic optimal control for stochastic reaction networks

DOI10.1007/s11222-023-10222-6zbMath1516.62007arXiv2110.14335OpenAlexW4361212142MaRDI QIDQ6172912

Sophia Wiechert, Raúl Tempone, Chiheb Ben Hammouda, Nadhir Ben Rached

Publication date: 20 July 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.14335

zbMATH Keywords

dynamic programmingimportance samplingstochastic optimal controlstochastic reaction networksrare eventtau-leap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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