Variational approach to rare event simulation using least-squares regression

26 Jan 2019Carsten HartmannOmar KebiriLara NeureitherLorenz Richter

We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a 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... (read more)

PDF Abstract


No code implementations yet. Submit your code now


Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods used in the Paper

🤖 No Methods Found Help the community by adding them if they're not listed; e.g. Deep Residual Learning for Image Recognition uses ResNet