Related papers: Importance sampling large deviations in nonequilib…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
We consider the problem of inferring a latent function in a probabilistic model of data. When dependencies of the latent function are specified by a Gaussian process and the data likelihood is complex, efficient computation often involve…
Simple models of irreversible dynamical processes such as Bootstrap Percolation have been successfully applied to describe cascade processes in a large variety of different contexts. However, the problem of analyzing non-typical…
A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…
Consider a queueing system fed by traffic from $N$ independent and identically distributed marked point processes. We establish several novel sample path large deviations results in the scaled uniform topology for such a system with a small…
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…
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…
We develop a space-time large-deviation point of view on Gibbs-non-Gibbs transitions in spin systems subject to a stochastic spin-flip dynamics. Using the general theory for large deviations of functionals of Markov processes outlined in…
The dynamics of stochastic systems, both classical and quantum, can be studied by analysing the statistical properties of dynamical trajectories. The properties of ensembles of such trajectories for long, but fixed, times are described by…
The large deviation properties of equilibrium (reversible) lattice gases are mathematically reasonably well understood. Much less is known in non--equilibrium, namely for non reversible systems. In this paper we consider a simple example of…
We analyze finite-sample statistics of Bohmian trajectories for single spinless and spin-1/2 particles. Equivariance ensures agreement with $|\psi|^2$ in the quantum equilibrium limit, yet experiments and simulations necessarily use finite…
In stochastic systems, numerically sampling the relevant trajectories for the estimation of the large deviation statistics of time-extensive observables requires overcoming their exponential (in space and time) scarcity. The optimal way to…
Discrepancies play an important role in the study of uniformity properties of point sets. Their probability distributions are a help in the analysis of the efficiency of the Quasi Monte Carlo method of numerical integration, which uses…
Robust inference for stochastic dynamical systems is often hampered by sparse sampling and the absence of closed-form likelihoods. We introduce a Monte Carlo path-inference framework that leverages full-path statistics and bridge processes…
In these lectures, we shall present some remarkable results that have been obtained for systems far from equilibrium during the last two decades. We shall put a special emphasis on the concept of large deviation functions that provide us…
This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this…
We consider a multiscale system of stochastic differential equations in which the slow component is perturbed by a small fractional Brownian motion with Hurst index $H>1/2$ and the fast component is driven by an independent Brownian motion.…
A new theoretical approach to non-equilibrium statistical systems has recently been proposed by the author, a co-author and others. It is based on a variational principle which is associated with the discrepancy of a path through…
We present a framework to calculate large deviations for nonlinear functions of independent random variables supported on compact sets in Banach spaces, by extending the result in Chatterjee and Dembo [6]. Previous research on nonlinear…
We study non-equilibrium statistical mechanics of a Gaussian dynamical system and compute in closed form the large deviation functionals describing the fluctuations of the entropy production observable with respect to the reference state…