Abstract:We consider the computation of free energy-like quantities for diffusions in high dimension, when resorting to Monte Carlo simulation is necessary. Such stochastic computations typically suffer from high variance, in particular in a low noise regime, because the expectation is dominated by rare trajectories for which the observable reaches large values. Although importance sampling, or tilting of trajectories, is now a standard technique for reducing the variance of such estimators, quantitative criteria for p… Show more
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