Hartmann, C. and Kebiri, O. and Neureither, L. and Richter, L. (2019) Variational approach to rare event simulation using leastsquares regression. Chaos, 29 (6). 063107. ISSN 10541500 (print); 10897682 (online)

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Official URL: https://dx.doi.org/10.1063/1.5090271
Abstract
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. zerovariance) 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 FeynmanKac representation of the associated dynamic programming equations, and we discuss numerical aspects for highdimensional 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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