Variational approach to rare event simulation using least-squares regression
von Carsten Hartmann, Omar Kebiri, Lara Neureither, Lorenz Richter
Jahr:
2019
Publikation:
Chaos 29, 063107
Abstrakt:
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by diffusion. The scheme is based on a Gibbs variational principle that is used to determine the optimal (i.e., zero-variance) change of measure and exploits the fact that the latter can be rephrased as a stochastic optimal control problem.
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About the Co-Author
With an original focus on stochastics and numerics (FU Berlin), the mathematician has been dealing with deep learning algorithms for some time now. Besides his interest in the theory, he has practically solved multiple data science problems in the last 10 years. Lorenz leads the machine learning team.