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Applications of the cross-entropy method to importance sampling and optimal control of diffusions
(2014)
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.
Applications of the cross-entropy method to importance sampling and optimal control of diffusions
(2014)
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.