TY - GEN A1 - Hartmann, Carsten A1 - Banisch, Ralf A1 - Sarich, Marco A1 - Badowski, Thomas A1 - Schütte, Christof T1 - Characterization of Rare Events in Molecular Dynamics N2 - A good deal of molecular dynamics simulations aims at predicting and quantifying rare events, such as the folding of a protein or a phase transition. Simulating rare events is often prohibitive, especially if the equations of motion are high-dimensional, as is the case in molecular dynamics. Various algorithms have been proposed for efficiently computing mean first passage times, transition rates or reaction pathways. This article surveys and discusses recent developments in the field of rare event simulation and outlines a new approach that combines ideas from optimal control and statistical mechanics. The optimal control approach described in detail resembles the use of Jarzynski's equality for free energy calculations, but with an optimized protocol that speeds up the sampling, while (theoretically) giving variance-free estimators of the rare events statistics. We illustrate the new approach with two numerical examples and discuss its relation to existing methods. T3 - ZIB-Report - 13-51 KW - rare events KW - moleculare dynamics KW - optimal pathways KW - stochastic control KW - dynamic programming KW - change of measure KW - cumulant generating function Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-42410 SN - 1438-0064 ER - TY - GEN A1 - Zhang, Wei A1 - Wang, Han A1 - Hartmann, Carsten A1 - Weber, Marcus A1 - Schütte, Christof T1 - Applications of the cross-entropy method to importance sampling and optimal control of diffusions N2 - We study the cross-entropy method for diffusions. One of the results is a versatile cross-entropy algorithm that can be used to design efficient importance sampling strategies for rare events or to solve optimal control problems. The approach is based on the minimization of a suitable cross-entropy functional, with a parametric family of exponentially tilted probability distributions. We illustrate the new algorithm with several numerical examples and discuss algorithmic issues and possible extensions of the method. T3 - ZIB-Report - 14-10 KW - important sampling KW - optimal control KW - cross-entropy method KW - rare events KW - change of measure Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-49720 SN - 1438-0064 ER -