Related papers: Application of importance sampling to the computat…
We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting…
Driven by applications in telecommunication networks, we explore the simulation task of estimating rare event probabilities for tandem queues in their steady state. Existing literature has recognized that importance sampling methods can be…
This article reviews the concepts and methods of variational path sampling. These methods allow computational studies of rare events in systems driven arbitrarily far from equilibrium. Based upon a statistical mechanics of trajectory space…
Although many computational methods for rare event sampling exist, this type of calculation is not usually practical for general nonequilibrium conditions, with macroscopically irreversible dynamics and away from both stationary and…
Rare event simulation and estimation for systems in equilibrium are among the most challenging topics in molecular dynamics. As was shown by Jarzynski and others, nonequilibrium forcing can theoretically be used to obtain equilibrium rare…
Sampling the collective, dynamical fluctuations that lead to nonequilibrium pattern formation requires probing rare regions of trajectory space. Recent approaches to this problem based on importance sampling, cloning, and spectral…
Studying extreme events and how they evolve in a changing climate is one of the most important current scientific challenges. Starting from complex climate models, a key difficulty is to be able to run long enough simulations in order to…
We consider systems of slow--fast diffusions with small noise in the slow component. We construct provably logarithmic asymptotically optimal importance schemes for the estimation of rare events based on the moderate deviations principle.…
The modern theory of rare events is grounded in near equilibrium ideas, however many systems of modern interest are sufficiently far from equilibrium that traditional approaches do not apply. Using the recently developed variational path…
We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…
Rare events are events that are expected to occur infrequently, or more technically, those that have low probabilities (say, order of $10^{-3}$ or less) of occurring according to a probability model. In the context of uncertainty…
Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sampling algorithms in the context of queueing networks. The…
We provide an algorithm based on weighted-ensemble (WE) methods, to accurately sample systems at steady state. Applying our method to different one- and two-dimensional models, we succeed to calculate steady state probabilities of order…
I give an overview of rare event simulation techniques to generate dynamical pathways across high free energy barriers. The methods on which I will concentrate are the reactive flux approach, transition path sampling, (replica-exchange)…
We present three algorithms for calculating rate constants and sampling transition paths for rare events in simulations with stochastic dynamics. The methods do not require a priori knowledge of the phase space density and are suitable for…
In this work, we propose an algorithm to simulate rare events for electronic circuit design. Our approach heavily relies on a smart use of importance sampling, which enables us to tackle probabilities of the magnitude 10 --10. Not only can…
In this paper, we consider an importance sampling problem for a certain rare-event simulations involving the behavior of a diffusion process pertaining to a chain of distributed systems with random perturbations. We also assume that the…
We study rare events in systems of diffusive fields driven out of equilibrium by the boundaries. We present a numerical technique and use it to calculate the probabilities of rare events in one and two dimensions. Using this technique, we…
Atypical, rare trajectories of dynamical systems are important: they are often the paths for chemical reactions, the haven of (relative) stability of planetary systems, the rogue waves that are detected in oil platforms, the structures that…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…