Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
We introduce and compare computational techniques for sharp extreme event probability
estimates in stochastic differential equations with small additive Gaussian noise. In …
estimates in stochastic differential equations with small additive Gaussian noise. In …
Symmetries and zero modes in sample path large deviations
Sharp large deviation estimates for stochastic differential equations with small noise, based
on minimizing the Freidlin–Wentzell action functional under appropriate boundary …
on minimizing the Freidlin–Wentzell action functional under appropriate boundary …
Noise correction of large deviations with anomalous scaling
D Nickelsen, H Touchette - Physical Review E, 2022 - APS
We present a path integral calculation of the probability distribution associated with the time-
integrated moments of the Ornstein-Uhlenbeck process that includes the Gaussian prefactor …
integrated moments of the Ornstein-Uhlenbeck process that includes the Gaussian prefactor …
Tipping in a low-dimensional model of a tropical cyclone
A presumed impact of global climate change is the increase in frequency and intensity of
tropical cyclones. Due to the possible destruction that occurs when tropical cyclones make …
tropical cyclones. Due to the possible destruction that occurs when tropical cyclones make …
Gel'fand–Yaglom type equations for calculating fluctuations around instantons in stochastic systems
In recent years, instanton calculus has successfully been employed to estimate tail
probabilities of rare events in various stochastic dynamical systems. Without further …
probabilities of rare events in various stochastic dynamical systems. Without further …
Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations
For many non-equilibrium dynamics driven by small noise, in physics, chemistry, biology, or
economy, rare events do matter. Large deviation theory then explains that the leading order …
economy, rare events do matter. Large deviation theory then explains that the leading order …
Approximate optimal controls via instanton expansion for low temperature free energy computation
The computation of free energies is a common issue in statistical physics. A natural
technique to compute such high-dimensional integrals is to resort to Monte Carlo …
technique to compute such high-dimensional integrals is to resort to Monte Carlo …
Computing exit location distribution of stochastic dynamical systems with noncharacteristic boundary based on deep learning
Y Li, F Zhao, J Wang, S Xu - Probabilistic Engineering Mechanics, 2024 - Elsevier
Rare events induced by random perturbations are ubiquitous phenomena in natural
systems, where the exit location distribution is a significant quantity, and its computation is …
systems, where the exit location distribution is a significant quantity, and its computation is …
Importance Sampling for the Empirical Measure of Weakly Interacting Diffusions
ZW Bezemek, M Heldman - Applied Mathematics & Optimization, 2024 - Springer
We construct an importance sampling method for computing statistics related to rare events
for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially …
for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially …
Most probable escape paths in perturbed gradient systems
K Slyman, M Simper, JA Gemmer… - arXiv preprint arXiv …, 2024 - arxiv.org
Stochastic systems are used to model a variety of phenomena in which noise plays an
essential role. In these models, one potential goal is to determine if noise can induce …
essential role. In these models, one potential goal is to determine if noise can induce …