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Trajectory stratification of stochastic dynamics

Publication ,  Journal Article
Tempkin, JOB; Koten, BV; Mattingly, JC; Dinner, AR; Weare, J
Published in: SIAM Review
2016

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.

Duke Scholars

Published In

SIAM Review

ISSN

1095-7200

Publication Date

2016

Publisher

Society for Industrial and Applied Mathematics

Related Subject Headings

  • Numerical & Computational Mathematics
  • 4901 Applied mathematics
  • 0906 Electrical and Electronic Engineering
  • 0102 Applied Mathematics
 

Citation

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Tempkin, J. O. B., Koten, B. V., Mattingly, J. C., Dinner, A. R., & Weare, J. (2016). Trajectory stratification of stochastic dynamics (Accepted). SIAM Review.
Tempkin, J. O. B., B. V. Koten, J. C. Mattingly, A. R. Dinner, and J. Weare. “Trajectory stratification of stochastic dynamics (Accepted).” SIAM Review, 2016.
Tempkin JOB, Koten BV, Mattingly JC, Dinner AR, Weare J. Trajectory stratification of stochastic dynamics (Accepted). SIAM Review. 2016;
Tempkin, J. O. B., et al. “Trajectory stratification of stochastic dynamics (Accepted).” SIAM Review, Society for Industrial and Applied Mathematics, 2016.
Tempkin JOB, Koten BV, Mattingly JC, Dinner AR, Weare J. Trajectory stratification of stochastic dynamics (Accepted). SIAM Review. Society for Industrial and Applied Mathematics; 2016;

Published In

SIAM Review

ISSN

1095-7200

Publication Date

2016

Publisher

Society for Industrial and Applied Mathematics

Related Subject Headings

  • Numerical & Computational Mathematics
  • 4901 Applied mathematics
  • 0906 Electrical and Electronic Engineering
  • 0102 Applied Mathematics