Variational approach to rare event simulation using least-squares regression

1 code implementation • 26 Jan 2019 • Carsten Hartmann, Omar Kebiri, Lara Neureither, Lorenz Richter

We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion.

Probability Optimization and Control 65C05 (primary), 65C30, 92C40 (secondary)