The Library
Rare event simulation for stochastic dynamics in continuous time
Tools
Tools
Tools
Angeli, Letizia, Grosskinsky, Stefan, Johansen, Adam M. and Pizzoferrato, Andrea (2019) Rare event simulation for stochastic dynamics in continuous time. Journal of Statistical Physics, 176 . pp. 1185-1210. doi:10.1007/s10955-019-02340-1
|
PDF
WRAP-rare-event-simulation-stochastic-dynamics-continuous-Grosskinsky-2019.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution 4.0. Download (746Kb) | Preview |
|
![[img]](http://wrap.warwick.ac.uk/style/images/fileicons/application_pdf.png) |
PDF
WRAP-rare-event-simulation-stochastic-dynamics-Grosskinsky-2019.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (999Kb) |
Official URL: https://doi.org/10.1007/s10955-019-02340-1
Abstract
Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question of convergence properties for cloning algorithms in continuous time, and establish connections to the literature of particle filters and sequential Monte Carlo methods. This enables us to derive rigorous convergence bounds for cloning algorithms which we report in this paper, with details of proofs given in a further publication. The tilted generator characterizing the large deviation rate function can be associated to non-linear processes which give rise to several representations of the dynamics and additional freedom for associated numerical approximations. We discuss these choices in detail, and combine insights from the filtering literature and cloning algorithms to compare different approaches and improve efficiency.
| Item Type: | Journal Article | |||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science > Engineering Faculty of Science > Mathematics |
|||||||||||||||||||||
| Journal or Publication Title: | Journal of Statistical Physics | |||||||||||||||||||||
| Publisher: | Springer New York LLC | |||||||||||||||||||||
| ISSN: | 0022-4715 | |||||||||||||||||||||
| Official Date: | September 2019 | |||||||||||||||||||||
| Dates: |
|
|||||||||||||||||||||
| Volume: | 176 | |||||||||||||||||||||
| Page Range: | pp. 1185-1210 | |||||||||||||||||||||
| DOI: | 10.1007/s10955-019-02340-1 | |||||||||||||||||||||
| Status: | Peer Reviewed | |||||||||||||||||||||
| Publication Status: | Published | |||||||||||||||||||||
| Access rights to Published version: | Open Access | |||||||||||||||||||||
| RIOXX Funder/Project Grant: |
|
|||||||||||||||||||||
| Related URLs: | ||||||||||||||||||||||
| Open Access Version: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
