Learning-based importance sampling via stochastic optimal control for stochastic reaction networks
From MaRDI portal
Publication:6172912
DOI10.1007/s11222-023-10222-6zbMath1516.62007arXiv2110.14335OpenAlexW4361212142MaRDI QIDQ6172912
Sophia Wiechert, Raúl Tempone, Chiheb Ben Hammouda, Nadhir Ben Rached
Publication date: 20 July 2023
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.14335
dynamic programmingimportance samplingstochastic optimal controlstochastic reaction networksrare eventtau-leap
Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Unnamed Item
- Markov state models for rare events in molecular dynamics
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Multilevel hybrid split-step implicit tau-leap
- Importance sampling in path space for diffusion processes with slow-fast variables
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Reversible-equivalent-monomolecular tau: a leaping method for ``small number and stiff stochastic chemical systems
- Stochastic kinetic modeling of vesicular stomatitis virus intracellular growth
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Adaptive importance sampling with forward-backward stochastic differential equations
- Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
- Data-driven method for efficient characterization of rare event probabilities in biochemical systems
- Controlled Markov processes and viscosity solutions
- An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks
- Importance Sampling for Multiscale Diffusions
- Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics
- Multilevel Monte Carlo Methods
- Handbook of Monte Carlo Methods
- Chebyshev Methods with Discrete Noise: the Tau-ROCK Methods
- Mathematical Models in Population Biology and Epidemiology
- Multilevel Monte Carlo Path Simulation
- Analysis of Explicit Tau-Leaping Schemes for Simulating Chemically Reacting Systems
- Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
- IMPLICIT SIMULATION METHODS FOR STOCHASTIC CHEMICAL KINETICS
- Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions
- Variational approach to rare event simulation using least-squares regression
- Stochastic Analysis of Biochemical Systems
- Moment growth bounds on continuous time Markov processes on non-negative integer lattices
- A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks
