Instanton based importance sampling for rare events in stochastic PDEs

DOI10.1063/1.5085119zbMath1476.60005arXiv1812.03543OpenAlexW3103293640WikidataQ91559633 ScholiaQ91559633MaRDI QIDQ5227580

Georgios Margazoglou, Lasse Ebener, Jan Friedrich, Rainer Grauer, Luca Biferale

Publication date: 6 August 2019

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.03543

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (10)

A Koopman framework for rare event simulation in stochastic differential equations ⋮ Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain ⋮ Symmetries and zero modes in sample path large deviations ⋮ Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions ⋮ Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation ⋮ Collapse of transitional wall turbulence captured using a rare events algorithm ⋮ Parametric Hamilton’s equations for stochastic systems ⋮ Gel’fand–Yaglom type equations for calculating fluctuations around instantons in stochastic systems

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