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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.
Applications of the cross-entropy method to importance sampling and optimal control of diffusions
(2014)
We previously reported the successful design, synthesis and testing of the prototype opioid painkiller NFEPP that does not elicit adverse side effects. The design process of NFEPP was based on mathematical modelling of extracellular interactions between G-protein coupled receptors (GPCRs) and ligands, recognizing that GPCRs function differently under pathological versus healthy conditions. We now present an additional and novel stochastic model of GPCR function that includes intracellular dissociation of G-protein subunits and modulation of plasma membrane calcium channels and their dependence on parameters of inflamed and healthy tissue (pH, radicals). The model is validated against in vitro experimental data for the ligands NFEPP and fentanyl at different pH values and radical concentrations. We observe markedly reduced binding affinity and calcium channel inhibition for NFEPP at normal pH compared to lower pH, in contrast to the effect of fentanyl. For increasing radical concentrations, we find enhanced constitutive G-protein activation but reduced ligand binding affinity. Assessing the different effects, the results suggest that, compared to radicals, low pH is a more important determinant of overall GPCR function in an inflamed environment. Future drug design efforts should take this into account.