Research-Optimal control and importance sampling for diffusion process

Research

Computational & Applied Math Seminar

Optimal control and importance sampling for diffusion process

Speaker: Xiang Zhou (City University of Hong Kong)
Time: Jul 20, 2018, 15:00-16:00
Location: Conference Room 415, Huiyuan 3#

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.