Splitting algorithms for rare event simulation over long time intervals

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-12-01 DOI:10.1214/20-aap1578

Anne Buijsrogge, P. Dupuis, M. Snarski

引用次数: 1

Abstract

In this paper we study the performance of splitting algorithms, and in particular the RESTART method, for the numerical approximation of the probability that a process leaves a neighborhood of a metastable point during some long time interval [0, T ]. We show that, in contrast to alternatives such as importance sampling, the decay rate of the second moment does not degrade as T → ∞. In the course of the analysis we develop some related large deviation estimates that apply when the time interval of interest depends on the large deviation parameter.

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长时间间隔罕见事件模拟的分割算法

在本文中，我们研究了分裂算法的性能，特别是RESTART方法，用于数值逼近过程在一长时间间隔[0,T]离开亚稳点邻域的概率。我们表明，与重要性采样等替代方法相比，第二矩的衰减率不会随着T→∞而退化。在分析过程中，我们开发了一些相关的大偏差估计，适用于当感兴趣的时间间隔依赖于大偏差参数时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

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