Rare event simulation of small noise diffusions
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Hamilton-Jacobi equationMonte Carlo schemesnoisy Allen-Cahn equationnumerical examplesrare event problemssampling methodsmall noise diffusionstochastic differential equationszero variance importance sampling scheme
Hamilton-Jacobi equations (35F21) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- 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
- 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?)
- 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
(54)- Rare event simulation via importance sampling for linear SPDE's
- Importance sampling: intrinsic dimension and computational cost
- Symmetrized importance samplers for stochastic differential equations
- Adaptive sampling of large deviations
- Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- A Koopman framework for rare event simulation in stochastic differential equations
- Discovery of rare event testing for stochastic simulations of diffusion processes
- Efficient large deviation estimation based on importance sampling
- Algorithm for overcoming the curse of dimensionality for state-dependent Hamilton-Jacobi equations
- Rare event simulation for diffusion processes via two-stage importance sampling
- Reactive trajectories and the transition path process
- Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms
- An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
- Sampling, feasibility, and priors in data assimilation
- Small-noise analysis and symmetrization of implicit Monte Carlo samplers
- Improved diffusion Monte Carlo
- Peculiar spectral statistics of ensembles of trees and star-like graphs
- Rare Event Simulation Using Reversible Shaking Transformations
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Rare event simulation for multiscale diffusions in random environments
- A Primer on Noise-Induced Transitions in Applied Dynamical Systems
- Importance sampling for metastable and multiscale dynamical systems
- Some Numerical Methods for Rare Events Simulation and Analysis
- An automatic adaptive importance sampling algorithm for molecular dynamics in reaction coordinates
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Sequential design of computer experiments for the solution of Bayesian inverse problems
- Computing return times or return periods with rare event algorithms
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- An \(hp\)-adaptive minimum action method based on a posteriori error estimate
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Instanton based importance sampling for rare events in stochastic pdes
- Variational approach to rare event simulation using least-squares regression
- Numerical computation of rare events via large deviation theory
- Extreme event quantification in dynamical systems with random components
- A large-deviation-based splitting estimation of power flow reliability
- Partial differential equations and stochastic methods in molecular dynamics
- Sequential design of computer experiments for the computation of Bayesian model evidence
- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Non-equilibrium large deviations and parabolic-hyperbolic PDE with irregular drift
- Importance sampling for the empirical measure of weakly interacting diffusions
- Sharp asymptotic estimates for expectations, probabilities, and mean first passage times in stochastic systems with small noise
- Connecting stochastic optimal control and reinforcement learning
- Rare-event simulation for neural network and random forest predictors
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Importance sampling in path space for diffusion processes with slow-fast variables
- Strong convergence analysis of a fully discrete method for stochastic Allen-Cahn equation
- Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations in any space dimension
- Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems
- Escaping from an attractor: Importance sampling and rest points. I.
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