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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 molecular dynamics and related fields one considers dynamical descriptions of complex systems in full (atomic) detail. In order to reduce the overwhelming complexity of realistic systems (high dimension, large timescale spread, limited computational resources) the projection of the full dynamics onto some reaction coordinates is examined in order to extract statistical information like free energies or reaction rates. In this context, the effective dynamics that is induced by the full dynamics on the reaction coordinate space has attracted considerable attention in the literature. In this article, we contribute to this discussion: We first show that if we start with an ergodic diffusion processes whose invariant measure is unique then these properties are inherited by the effective dynamics. Then, we give equations for the effective dynamics, discuss whether the dominant timescales and reaction rates inferred from the effective dynamics are accurate approximations of such quantities for the full dynamics, and compare our findings to results from approaches like Zwanzig-Mori, averaging, or homogenization. Finally, by discussing the algorithmic realization of the effective dynamics, we demonstrate that recent algorithmic techniques like the ”equation-free” approach and the ”heterogeneous multiscale method” can be seen as special cases of our approach.
Grand-canonical-like molecular-dynamics simulations by using an adaptive-resolution technique
(2013)
Linear response theory and optimal control for a molecular system under nonequilibrium conditions
(2013)
In this paper, we propose a straightforward generalization of linear
response theory to systems in nonequilibrium that are subject to
nonequilibrium driving. We briefly revisit the standard linear response
result for equilibrium systems, where we consider Langevin dynamics
as a special case, and then give an alternative derivation using a
change-of-measure argument that does not rely on any stationarity or
reversibility assumption. This procedure moreover easily enables us
to calculate the second order correction to the linear response formula
(which may or may not be useful in practice). Furthermore, we outline
how the novel nonequilibirum linear response formula can be used to
compute optimal controls of molecular systems for cases in which one
wants to steer the system to maximize a certain target expectation
value. We illustrate our approach with simple numerical examples.
Linear response theory and optimal control for a molecular system under nonequilibrium conditions
(2013)
Conformation Dynamics
(2009)