TY - JOUR A1 - Hartmann, Carsten A1 - Schütte, Christof A1 - Weber, Marcus A1 - Zhang, Wei T1 - Importance sampling in path space for diffusion processes with slow-fast variables JF - Probability Theory and Related Fields N2 - Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sampling in the framework of diffusion process and consider the change of measure which is realized by adding a control force to the original dynamics. For certain exponential type expectation, the corresponding control force of the optimal change of measure leads to a zero-variance estimator and is related to the solution of a Hamilton–Jacobi–Bellmann equation. We focus on certain diffusions with both slow and fast variables, and the main result is that we obtain an upper bound of the relative error for the importance sampling estimators with control obtained from the limiting dynamics. We demonstrate our approximation strategy with an illustrative numerical example. Y1 - 2017 UR - http://rdcu.be/oA51 U6 - https://doi.org/10.1007/s00440-017-0755-3 N1 - If you are not subscribing to the journal please use the http link below as part of the Springer Nature SharedIt initiative SP - 1 EP - 52 ER - TY - JOUR A1 - Fischer, Alexander A1 - Cordes, Frank A1 - Schütte, Christof T1 - Hybrid Monte Carlo with Adaptive Temperature in Mixed–Canonical Ensemble: Efficient conformational analysis of RNA JF - J. Comp. Chem. Y1 - 1998 U6 - https://doi.org/10.1002/(SICI)1096-987X(19981130)19:15<1689::AID-JCC2>3.0.CO;2-J VL - 19 IS - 15 SP - 1689 EP - 1697 ER - TY - JOUR A1 - Metzner, Ph. A1 - Weber, Marcus A1 - Schütte, Christof T1 - Observation uncertainty in reversible Markov chains JF - Phys. Rev. E Y1 - 2010 U6 - https://doi.org/10.1103/PhysRevE.82.031114 VL - 82 IS - 3 SP - 031114 PB - American Physical Society ER - TY - GEN A1 - Helfmann, Luzie A1 - Djurdjevac Conrad, Natasa A1 - Djurdjevac, Ana A1 - Winkelmann, Stefanie A1 - Schütte, Christof T1 - From interacting agents to density-based modeling with stochastic PDEs N2 - Many real-world processes can naturally be modeled as systems of interacting agents. However, the long-term simulation of such agent-based models is often intractable when the system becomes too large. In this paper, starting from a stochastic spatio-temporal agent-based model (ABM), we present a reduced model in terms of stochastic PDEs that describes the evolution of agent number densities for large populations. We discuss the algorithmic details of both approaches; regarding the SPDE model, we apply Finite Element discretization in space which not only ensures efficient simulation but also serves as a regularization of the SPDE. Illustrative examples for the spreading of an innovation among agents are given and used for comparing ABM and SPDE models. T3 - ZIB-Report - 19-21 Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-73456 SN - 1438-0064 ER - TY - JOUR A1 - Helfmann, Luzie A1 - Djurdjevac Conrad, Natasa A1 - Djurdjevac, Ana A1 - Winkelmann, Stefanie A1 - Schütte, Christof T1 - From interacting agents to density-based modeling with stochastic PDEs JF - Communications in Applied Mathematics and Computational Science N2 - Many real-world processes can naturally be modeled as systems of interacting agents. However, the long-term simulation of such agent-based models is often intractable when the system becomes too large. In this paper, starting from a stochastic spatio-temporal agent-based model (ABM), we present a reduced model in terms of stochastic PDEs that describes the evolution of agent number densities for large populations. We discuss the algorithmic details of both approaches; regarding the SPDE model, we apply Finite Element discretization in space which not only ensures efficient simulation but also serves as a regularization of the SPDE. Illustrative examples for the spreading of an innovation among agents are given and used for comparing ABM and SPDE models. Y1 - 2021 U6 - https://doi.org/10.2140/camcos.2021.16.1 VL - 16 IS - 1 SP - 1 EP - 32 ER - TY - JOUR 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 JF - Siam Journal on Scientific Computing Y1 - 2014 U6 - https://doi.org/10.1137/14096493X VL - 36 IS - 6 SP - A2654 EP - A2672 ER - TY - JOUR A1 - Schütte, Christof A1 - Nielsen, Adam A1 - Weber, Marcus T1 - Markov State Models and Molecular Alchemy JF - Molecular Physics N2 - In recent years Markov State Models (MSMs) have attracted a consid- erable amount of attention with regard to modelling conformation changes and associated function of biomolecular systems. They have been used successfully, e.g., for peptides including time-resolved spectroscopic experiments, protein function and protein folding , DNA and RNA, and ligand-receptor interaction in drug design and more complicated multivalent scenarios. In this article a novel reweighting scheme is introduced that allows to construct an MSM for certain molecular system out of an MSM for a similar system. This permits studying how molecular properties on long timescales differ between similar molecular systems without performing full molecular dynamics simulations for each system under con- sideration. The performance of the reweighting scheme is illustrated for simple test cases including one where the main wells of the respective energy landscapes are located differently and an alchemical transformation of butane to pentane where the dimension of the state space is changed. KW - MSM KW - Reweighting KW - Girsanov Y1 - 2015 U6 - https://doi.org/10.1080/00268976.2014.944597 VL - 113 IS - 1 SP - 69 EP - 78 ER - TY - JOUR A1 - Weber, Marcus A1 - Fackeldey, Konstantin A1 - Schütte, Christof T1 - Set-Free Markov State Model Building JF - Journal of Chemical Physics Y1 - 2017 U6 - https://doi.org/10.1063/1.4978501 VL - 146 IS - 12 ER - TY - GEN A1 - Schütte, Christof A1 - Deuflhard, Peter A1 - Noé, Frank A1 - Weber, Marcus ED - Deuflhard, Peter ED - Grötschel, Martin ED - Hömberg, Dietmar ED - Horst, Ulrich ED - Kramer, Jürg ED - Mehrmann, Volker ED - Polthier, Konrad ED - Schmidt, Frank ED - Schütte, Christof ED - Skutella, Martin ED - Sprekels, Jürgen T1 - Design of functional molecules T2 - MATHEON-Mathematics for Key Technologies Y1 - 2014 VL - 1 SP - 49 EP - 65 PB - European Mathematical Society ER - TY - GEN A1 - Schütte, Christof A1 - Nielsen, Adam A1 - Weber, Marcus T1 - Markov State Models and Molecular Alchemy N2 - In recent years Markov State Models (MSMs) have attracted a consid- erable amount of attention with regard to modelling conformation changes and associated function of biomolecular systems. They have been used successfully, e.g., for peptides including time-resolved spectroscopic ex- periments, protein function and protein folding , DNA and RNA, and ligand-receptor interaction in drug design and more complicated multi- valent scenarios. In this article a novel reweighting scheme is introduced that allows to construct an MSM for certain molecular system out of an MSM for a similar system. This permits studying how molecular proper- ties on long timescales differ between similar molecular systems without performing full molecular dynamics simulations for each system under con- sideration. The performance of the reweighting scheme is illustrated for simple test cases including one where the main wells of the respective en- ergy landscapes are located differently and an alchemical transformation of butane to pentane where the dimension of the state space is changed. T3 - ZIB-Report - 14-05 KW - Girsanov Theorem KW - Stochastic Differential Equation KW - Importance Sampling Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-46718 SN - 1438-0064 ER -