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 …

Nonequilibrium Markov processes conditioned on large deviations

R Chetrite, H Touchette - Annales Henri Poincaré, 2015 - Springer
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 …

State-dependent importance sampling for rare-event simulation: An overview and recent advances

J Blanchet, H Lam - Surveys in Operations Research and Management …, 2012 - Elsevier
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 …

A reinforcement learning approach to rare trajectory sampling

DC Rose, JF Mair, JP Garrahan - New Journal of Physics, 2021 - iopscience.iop.org
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 …

Variational and optimal control representations of conditioned and driven processes

R Chetrite, H Touchette - Journal of Statistical Mechanics: Theory …, 2015 - iopscience.iop.org
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 …

Finite time large deviations via matrix product states

L Causer, MC Bañuls, JP Garrahan - Physical Review Letters, 2022 - APS
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 …

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 …

Optimal sampling of dynamical large deviations in two dimensions via tensor networks

L Causer, MC Bañuls, JP Garrahan - Physical Review Letters, 2023 - APS
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 …

Adaptive sampling of large deviations

G Ferré, H Touchette - Journal of Statistical Physics, 2018 - Springer
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 …

Reinforcement learning of rare diffusive dynamics

A Das, DC Rose, JP Garrahan… - The Journal of Chemical …, 2021 - pubs.aip.org
We present a method to probe rare molecular dynamics trajectories directly using
reinforcement learning. We consider trajectories that are conditioned to transition between …