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Rare-event simulation techniques: An introduction and recent advances
S Juneja, P Shahabuddin - Handbooks in operations research and …, 2006 - Elsevier
In this chapter we review some of the recent developments for efficient estimation of rare-
events, most of which involve application of importance sampling techniques to achieve …
events, most of which involve application of importance sampling techniques to achieve …
Nonequilibrium Markov processes conditioned on large deviations
We consider the problem of conditioning a Markov process on a rare event and of
representing this conditioned process by a conditioning-free process, called the effective or …
representing this conditioned process by a conditioning-free process, called the effective or …
State-dependent importance sampling for rare-event simulation: An overview and recent advances
This paper surveys recent techniques that have been developed for rare-event analysis of
stochastic systems via simulation. We review standard (state-independent) techniques that …
stochastic systems via simulation. We review standard (state-independent) techniques that …
A reinforcement learning approach to rare trajectory sampling
Very often when studying non-equilibrium systems one is interested in analysing dynamical
behaviour that occurs with very low probability, so called rare events. In practice, since rare …
behaviour that occurs with very low probability, so called rare events. In practice, since rare …
Variational and optimal control representations of conditioned and driven processes
We have shown recently that a Markov process conditioned on rare events involving time-
integrated random variables can be described in the long-time limit by an effective Markov …
integrated random variables can be described in the long-time limit by an effective Markov …
Finite time large deviations via matrix product states
Recent work has shown the effectiveness of tensor network methods for computing large
deviation functions in constrained stochastic models in the infinite time limit. Here we show …
deviation functions in constrained stochastic models in the infinite time limit. Here we show …
Large deviations conditioned on large deviations I: Markov chain and Langevin equation
B Derrida, T Sadhu - Journal of Statistical Physics, 2019 - Springer
We present a systematic analysis of stochastic processes conditioned on an empirical
observable Q_T QT defined in a time interval 0, T, for large T. We build our analysis starting …
observable Q_T QT defined in a time interval 0, T, for large T. We build our analysis starting …
Optimal sampling of dynamical large deviations in two dimensions via tensor networks
We use projected entangled-pair states (PEPS) to calculate the large deviation statistics of
the dynamical activity of the two-dimensional East model, and the two-dimensional …
the dynamical activity of the two-dimensional East model, and the two-dimensional …
Adaptive sampling of large deviations
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 …
characterizing the fluctuations of additive functionals of Markov processes in the long-time …
Reinforcement learning of rare diffusive dynamics
We present a method to probe rare molecular dynamics trajectories directly using
reinforcement learning. We consider trajectories that are conditioned to transition between …
reinforcement learning. We consider trajectories that are conditioned to transition between …