Rare event simulation for stochastic dynamics in continuous time
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Monte Carlo methods (65C05) Large deviations (60F10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Interacting particle systems in time-dependent statistical mechanics (82C22) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
Abstract: Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question of convergence properties for cloning algorithms in continuous time, and establish connections to the literature of particle filters and sequential Monte Carlo methods. This enables us to derive rigorous convergence bounds for cloning algorithms which we report in this paper, with details of proofs given in a further publication. The tilted generator characterizing the large deviation rate function can be associated to non-linear processes which give rise to several representations of the dynamics and additional freedom for associated numerical approximations. We discuss these choices in detail, and combine insights from the filtering literature and cloning algorithms to compare different approaches and improve efficiency.
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Cites work
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- A Koopman framework for rare event simulation in stochastic differential equations
- Efficient large deviation estimation based on importance sampling
- Approximating the cumulant generating function of triangles in the Erdös-Rényi random graph
- Discreteness effects in population dynamics
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Event-driven stochastic approximation
- Rare event simulation for steady-state probabilities via recurrency cycles
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