期刊
SIAM REVIEW
卷 60, 期 4, 页码 909-938出版社
SIAM PUBLICATIONS
DOI: 10.1137/16M1104329
关键词
rare events; molecular dynamics; Monte Carlo methods; computational statistical mechanics
资金
- National Institute of Health (NIH) [5 R01 GM109455-02]
- NSF Graduate Research Fellowship Program
We present a general mathematical framework for trajectory stratification for simulating rare events. Trajectory stratification involves decomposing trajectories of the underlying process into fragments limited to restricted regions of state space (strata), computing averages over the distributions of the trajectory fragments within the strata with minimal communication between them, and combining those averages with appropriate weights to yield averages with respect to the original underlying process. Our framework reveals the full generality and flexibility of trajectory stratification, and it illuminates a common mathematical structure shared by existing algorithms for sampling rare events. We demonstrate the power of the framework by defining strata in terms of both points in time and path-dependent variables for efficiently estimating averages that were not previously tractable.
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