Model reduction algorithms for optimal control and importance sampling of diffusions

  • We propose numerical algorithms for solving optimal control and importance sampling problems based on simplified models. The algorithms combine model reduction techniques for multiscale diffusions and stochastic optimization tools, with the aim of reducing the original, possibly high-dimensional problem to a lower dimensional representation of the dynamics, in which only a few relevant degrees of freedom are controlled or biased. Specifically, we study situations in which either a reaction coordinate onto which the dynamics can be projected is known, or situations in which the dynamics shows strongly localized behavior in the small noise regime. No explicit assumptions about small parameters or scale separation have to be made. We illustrate the approach with simple, but paradigmatic numerical examples.

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Author:Carsten Hartmann, Christof Schütte, Wei Zhang
Document Type:Article
Parent Title (English):Nonlinearity
First Page:2298
Last Page:2326
Year of first publication:2016