Universität Augsburg

Professor Dr. Carsten Hartmann
Freie Universität Berlin
spricht am
Donnerstag, 19. April 2018
um
16:30 Uhr
im
Raum 2004 (L1)
über das Thema:
Abstract: 
The talk will be devoted to the question of computing the optimal change of measure for certain classes of rare event simulation problems that appear in statistical mechanics, e.g. in molecular dynamics. The method is based on a representation of the rare event sampling problem as an equivalent (or: dual) stochastic optimal control problem, whose value function characterizes the optimal (i.e. minimum variance) change of measure. The specific duality behind the problem is then used to devise numerical algorithms for computing the optimal change of measure. I will describe two approaches in some detail that are built on a semiparametric representation of the value function: a crossentropy based stochastic approximation algorithm and a MonteCarlo based leastsquares discretisation of a related forwardbackward stochastic differential equation. I will discuss the general approach, with a particular focus on the choice of the ansatz functions and the solution of highdimensional problems, and illustrate the numerical method with simple toy examples. 
Hierzu ergeht herzliche Einladung. 
Prof. Dr. Bernd Schmidt 
Kaffee, Tee und Gebäck eine halbe Stunde vor Vortragsbeginn im Raum 2006 (L1).