随机微分方程的对称重要抽样

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2017-07-10 DOI:10.2140/camcos.2018.13.215

Andrew B. Leach, Kevin K. Lin, M. Morzfeld

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引用次数: 2

摘要

研究了一类随机微分方程的重要抽样方法。进行了小噪声分析，结果表明，当噪声不太大时，简单的对称处理可以显著提高我们的重要采样方案的性能。我们证明，对于一些线性和非线性的例子，确实是这样。讨论了潜在的应用，例如数据同化。

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Symmetrized importance samplers for stochastic differential equations

We study a class of importance sampling methods for stochastic differential equations (SDEs). A small-noise analysis is performed, and the results suggest that a simple symmetrization procedure can significantly improve the performance of our importance sampling schemes when the noise is not too large. We demonstrate that this is indeed the case for a number of linear and nonlinear examples. Potential applications, e.g., data assimilation, are discussed.

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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.