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Computational & Applied Math Seminar

Optimal control and importance sampling for diffusion process

  • 演讲者:Xiang Zhou(香港城市大学)

  • 时间:2018-07-20 15:00-16:00

  • 地点:慧园3栋 415报告厅

Abstract


It is very challenging to efficiently sample the stochastic Itô diffusion subject to a potential energy with multiple wells. It has been shown that the importance sampling measure is connected to the gradient of the value function associated with a certain stochastic optimal control problem in the path space. In the vanishing noise limit, the problem is related to the minimal action path in the Freidlin-Wentzell large deviation theory.