长时间间隔罕见事件模拟的分割算法

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

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引用次数: 1

摘要

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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Splitting algorithms for rare event simulation over long time intervals

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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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

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.