17,676 research outputs found

    Split Sampling: Expectations, Normalisation and Rare Events

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    In this paper we develop a methodology that we call split sampling methods to estimate high dimensional expectations and rare event probabilities. Split sampling uses an auxiliary variable MCMC simulation and expresses the expectation of interest as an integrated set of rare event probabilities. We derive our estimator from a Rao-Blackwellised estimate of a marginal auxiliary variable distribution. We illustrate our method with two applications. First, we compute a shortest network path rare event probability and compare our method to estimation to a cross entropy approach. Then, we compute a normalisation constant of a high dimensional mixture of Gaussians and compare our estimate to one based on nested sampling. We discuss the relationship between our method and other alternatives such as the product of conditional probability estimator and importance sampling. The methods developed here are available in the R package: SplitSampling

    Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting

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    The Adaptive Multilevel Splitting (AMS) algorithm is a powerful and versatile method for the simulation of rare events. It is based on an interacting (via a mutation-selection procedure) system of replicas, and depends on two integer parameters: n ∈\in N * the size of the system and the number k ∈\in {1, . . . , n -- 1} of the replicas that are eliminated and resampled at each iteration. In an idealized setting, we analyze the performance of this algorithm in terms of a Large Deviations Principle when n goes to infinity, for the estimation of the (small) probability P(X \textgreater{} a) where a is a given threshold and X is real-valued random variable. The proof uses the technique introduced in [BLR15]: in order to study the log-Laplace transform, we rely on an auxiliary functional equation. Such Large Deviations Principle results are potentially useful to study the algorithm beyond the idealized setting, in particular to compute rare transitions probabilities for complex high-dimensional stochastic processes

    Efficient Reactive Brownian Dynamics

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    We develop a Split Reactive Brownian Dynamics (SRBD) algorithm for particle simulations of reaction-diffusion systems based on the Doi or volume reactivity model, in which pairs of particles react with a specified Poisson rate if they are closer than a chosen reactive distance. In our Doi model, we ensure that the microscopic reaction rules for various association and disassociation reactions are consistent with detailed balance (time reversibility) at thermodynamic equilibrium. The SRBD algorithm uses Strang splitting in time to separate reaction and diffusion, and solves both the diffusion-only and reaction-only subproblems exactly, even at high packing densities. To efficiently process reactions without uncontrolled approximations, SRBD employs an event-driven algorithm that processes reactions in a time-ordered sequence over the duration of the time step. A grid of cells with size larger than all of the reactive distances is used to schedule and process the reactions, but unlike traditional grid-based methods such as Reaction-Diffusion Master Equation (RDME) algorithms, the results of SRBD are statistically independent of the size of the grid used to accelerate the processing of reactions. We use the SRBD algorithm to compute the effective macroscopic reaction rate for both reaction- and diffusion-limited irreversible association in three dimensions. We also study long-time tails in the time correlation functions for reversible association at thermodynamic equilibrium. Finally, we compare different particle and continuum methods on a model exhibiting a Turing-like instability and pattern formation. We find that for models in which particles diffuse off lattice, such as the Doi model, reactions lead to a spurious enhancement of the effective diffusion coefficients.Comment: To appear in J. Chem. Phy
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