Repository: Freie Universit├Ąt Berlin, Math Department

Variational approach to rare event simulation using least-squares regression

Hartmann, C. and Kebiri, O. and Neureither, L. and Richter, L. (2019) Variational approach to rare event simulation using least-squares regression. Chaos, 29 (6). 063107. ISSN 1054-1500 (print); 1089-7682 (online)


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We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion. The scheme is based on a Gibbs variational principle that is used to determine the optimal (i.e. zero-variance) change of measure and exploits the fact that the latter can be rephrased as a stochastic optimal control problem. The control problem can be solved by a stochastic approximation algorithm, using the Feynman-Kac representation of the associated dynamic programming equations, and we discuss numerical aspects for high-dimensional problems along with simple toy examples.

Item Type:Article
Additional Information:SFB 1114 Preprint in arXiv:1901.09195
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
ID Code:2381
Deposited By: Silvia Hoemke
Deposited On:20 Nov 2019 10:02
Last Modified:17 Jan 2020 10:21

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