Rare event simulation of small noise diffusions
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numerical examplesstochastic differential equationsHamilton-Jacobi equationsampling methodMonte Carlo schemessmall noise diffusionnoisy Allen-Cahn equationrare event problemszero variance importance sampling scheme
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Sampling theory, sample surveys (62D05) Hamilton-Jacobi equations (35F21) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 3826915 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- A variational representation for certain functionals of Brownian motion
- Action minimization and sharp-interface limits for the stochastic Allen-Cahn equation
- Asymptotic series and exit time probabilities
- Controlled Markov processes and viscosity solutions
- Counterexamples in importance sampling for large deviations probabilities
- Dynamic importance sampling for queueing networks
- Dynamic importance sampling for uniformly recurrent Markov chains
- Importance Sampling, Large Deviations, and Differential Games
- Introduction to rare event simulation.
- Large fluctuations for a nonlinear heat equation with noise
- Minimum action method for the study of rare events
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- State-dependent importance sampling for regularly varying random walks
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- The Cauchy problem for a nonlinear first order partial differential equation
Cited in
(53)- Escaping from an attractor: Importance sampling and rest points. I.
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Sequential design of computer experiments for the computation of Bayesian model evidence
- Sampling, feasibility, and priors in data assimilation
- Extreme event quantification in dynamical systems with random components
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Importance sampling for the empirical measure of weakly interacting diffusions
- Non-equilibrium large deviations and parabolic-hyperbolic PDE with irregular drift
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- A Primer on Noise-Induced Transitions in Applied Dynamical Systems
- Importance sampling: intrinsic dimension and computational cost
- Rare event simulation for multiscale diffusions in random environments
- Adaptive sampling of large deviations
- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations in any space dimension
- Instanton based importance sampling for rare events in stochastic pdes
- A Koopman framework for rare event simulation in stochastic differential equations
- Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
- Connecting stochastic optimal control and reinforcement learning
- A large-deviation-based splitting estimation of power flow reliability
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Efficient large deviation estimation based on importance sampling
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Algorithm for overcoming the curse of dimensionality for state-dependent Hamilton-Jacobi equations
- Discovery of rare event testing for stochastic simulations of diffusion processes
- An automatic adaptive importance sampling algorithm for molecular dynamics in reaction coordinates
- Rare Event Simulation Using Reversible Shaking Transformations
- Symmetrized importance samplers for stochastic differential equations
- Improved diffusion Monte Carlo
- Rare event simulation for diffusion processes via two-stage importance sampling
- An \(hp\)-adaptive minimum action method based on a posteriori error estimate
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Computing return times or return periods with rare event algorithms
- Sequential design of computer experiments for the solution of Bayesian inverse problems
- Partial differential equations and stochastic methods in molecular dynamics
- Sharp asymptotic estimates for expectations, probabilities, and mean first passage times in stochastic systems with small noise
- Small-noise analysis and symmetrization of implicit Monte Carlo samplers
- Strong convergence analysis of a fully discrete method for stochastic Allen-Cahn equation
- Rare-event simulation for neural network and random forest predictors
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Peculiar spectral statistics of ensembles of trees and star-like graphs
- Numerical computation of rare events via large deviation theory
- Importance sampling for metastable and multiscale dynamical systems
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
- Reactive trajectories and the transition path process
- Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems
- Variational approach to rare event simulation using least-squares regression
- Rare event simulation via importance sampling for linear SPDE's
- Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms
- Importance sampling in path space for diffusion processes with slow-fast variables
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