Improving control based importance sampling strategies for metastable diffusions via adapted metadynamics

DOI10.1137/22M1503464arXiv2206.06628MaRDI QIDQ6402007FDOQ6402007

Jannes Quer, Christof Schütte, Lorenz Richter, Enric Ribera Borrell

Publication date: 14 June 2022

Abstract: Sampling rare events in metastable dynamical systems is often a computationally expensive task and one needs to resort to enhanced sampling methods such as importance sampling. Since we can formulate the problem of finding optimal importance sampling controls as a stochastic optimization problem, this then brings additional numerical challenges and the convergence of corresponding algorithms might as well suffer from metastabilty. In this article, we address this issue by combining systematic control approaches with the heuristic adaptive metadynamics method. Crucially, we approximate the importance sampling control by a neural network, which makes the algorithm in principle feasible for high dimensional applications. We can numerically demonstrate in relevant metastable problems that our algorithm is more effective than previous attempts and that only the combination of the two approaches leads to a satisfying convergence and therefore to an efficient sampling in certain metastable settings.

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (2)

• Importance sampling for the empirical measure of weakly interacting diffusions
• Connecting stochastic optimal control and reinforcement learning

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