Analysis and simulation of rare events for SPDE
Abstract
In this work, we consider the numerical estimation of the probability for a stochastic process to hit a set B before reaching another set A. This event is assumed to be rare. We consider reactive trajectories of the stochastic Allen-Cahn partial differential evolution equation (with double well potential) in dimension 1. Reactive trajectories are defined as the probability distribution of the trajectories of a stochastic process, conditioned by the event of hitting B before A. We investigate the use of the so-called Adaptive Multilevel Splitting algorithm in order to estimate the rare event and simulate reactive trajectories. This algorithm uses a \emph{reaction coordinate} (a real valued function of state space defining level sets), and is based on (i) the selection, among several replicas of the system having hit A before B, of those with maximal reaction coordinate; (ii) iteration of the latter step. We choose for the reaction coordinate the average magnetization, and for B the minimum of the well opposite to the initial condition. We discuss the context, prove that the algorithm has a sense in the usual functional setting, and numerically test the method (estimation of rare event, and transition state sampling).
Cite
@article{arxiv.1401.1380,
title = {Analysis and simulation of rare events for SPDE},
author = {Charles-Edouard Bréhier and Maxime Gazeau and Ludovic Goudenège and Mathias Rousset},
journal= {arXiv preprint arXiv:1401.1380},
year = {2019}
}