Related papers: Application of importance sampling to the computat…
The probability of rare and extreme events is an important quantity for design purposes. However, computing the probability of rare events can be expensive because only a few events, if any, can be observed. To this end, it is necessary to…
Importance sampling is a rare event simulation technique used in Monte Carlo simulations to bias the sampling distribution towards the rare event of interest. By assigning appropriate weights to sampled points, importance sampling allows…
Estimating the probability of failures or accidents with aerospace systems is often necessary when new concepts or designs are introduced, as it is being done for Autonomous Aircraft. If the design is safe, as it is supposed to be, accident…
Active matter represents a broad class of systems that evolve far from equilibrium due to the local injection of energy. Like their passive analogues, transformations between distinct metastable states in active matter proceed through rare…
Rare event simulation and rare event probability estimation are important tasks within the analysis of systems subject to uncertainty and randomness. Simultaneously, accurately estimating rare event probabilities is an inherently difficult…
The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…
We develop a novel computational method for evaluating the extreme excursion probabilities arising from random initialization of nonlinear dynamical systems. The method uses excursion probability theory to formulate a sequence of Bayesian…
The development of enhanced sampling methods has greatly extended the scope of atomistic simulations, allowing long-time phenomena to be studied with accessible computational resources. Many such methods rely on the identification of an…
Langevin equations are used to model many processes of physical interest, including low-energy nuclear collisions. In this paper we develop a general method for computing probabilities of very rare events (e.g. small fusion cross-sections)…
Extreme weather events epitomize high cost: to society through their physical impacts, and to computer servers that simulate them to assess risk and advance physical understanding. It costs hundreds of simulation years to sample a few…
Interacting particle systems with many degrees of freedom may undergo phase transitions to sustain atypical fluctuations of dynamical observables such as the current or the activity. This leads in some cases to symmetry-broken space-time…
For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of numerical approximations of the Markov process. Recent work in the exact and…
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling density, which is approximated by an ensemble of interacting…
Deep neural networks, when optimized with sufficient data, provide accurate representations of high-dimensional functions; in contrast, function approximation techniques that have predominated in scientific computing do not scale well with…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Previous attempts at designing importance sampling algorithms…
We propose a method for the accurate estimation of rare event or failure probabilities for expensive-to-evaluate numerical models in high dimensions. The proposed approach combines ideas from large deviation theory and adaptive importance…
Randomized search algorithms for hard combinatorial problems exhibit a large variability of performances. We study the different types of rare events which occur in such out-of-equilibrium stochastic processes and we show how they cooperate…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit state function, which depends on the solution of a partial…