Multi-index importance sampling for McKean--Vlasov stochastic differential equations
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| _version_ | 1866908750322860032 |
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| author | Rached, Nadhir Ben Haji-Ali, Abdul-Lateef Pillai, Shyam Mohan Subbiah Tempone, Raúl |
| author_facet | Rached, Nadhir Ben Haji-Ali, Abdul-Lateef Pillai, Shyam Mohan Subbiah Tempone, Raúl |
| contents | This work addresses the estimation of rare-event quantities expressed as expectations of smooth observables of solutions to a broad class of McKean--Vlasov stochastic differential equations (MV-SDEs). Building on the double loop Monte Carlo (DLMC) method with stochastic optimal control-based importance sampling (IS) introduced by Ben Rached et al. (2024a), this work extends this framework to the multi-index Monte Carlo (MIMC) setting. The resulting multi-index DLMC estimator mitigates the explosion of the coefficient of variation for rare event quantities. Moreover, it exploits the sampling efficiency of MIMC by leveraging the propagation of chaos to ensure mixed-difference variances vanish in the mean-field limit. The complexity analysis relies on assumptions on mixed-difference bias and variance decay, similar to standard MIMC assumptions. Although not rigorously proved, this work presents strong numerical evidence in support of these assumptions. The primary contribution of this work is the novel numerical integration of the MIMC method with IS for MV-SDEs. This approach reduces the computational complexity from $\mathcal{O}(\mathrm{TOL}_{\mathrm{r}}^{-4})$ for the DLMC estimator to $\mathcal{O}(\mathrm{TOL}_{\mathrm{r}}^{-2} (\log \mathrm{TOL}_{\mathrm{r}}^{-1})^2)$, enabling an accurate estimation of rare-event quantities within a prescribed relative error tolerance $\mathrm{TOL}_{\mathrm{r}}$. Numerical experiments on the Kuramoto model from statistical physics demonstrate computational savings of several orders of magnitude for the multi-index DLMC estimator with IS, compared with the standard Monte Carlo (MC) method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_05149 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Multi-index importance sampling for McKean--Vlasov stochastic differential equations Rached, Nadhir Ben Haji-Ali, Abdul-Lateef Pillai, Shyam Mohan Subbiah Tempone, Raúl Numerical Analysis Computation 60H35, 65C30, 65C05, 65C35 This work addresses the estimation of rare-event quantities expressed as expectations of smooth observables of solutions to a broad class of McKean--Vlasov stochastic differential equations (MV-SDEs). Building on the double loop Monte Carlo (DLMC) method with stochastic optimal control-based importance sampling (IS) introduced by Ben Rached et al. (2024a), this work extends this framework to the multi-index Monte Carlo (MIMC) setting. The resulting multi-index DLMC estimator mitigates the explosion of the coefficient of variation for rare event quantities. Moreover, it exploits the sampling efficiency of MIMC by leveraging the propagation of chaos to ensure mixed-difference variances vanish in the mean-field limit. The complexity analysis relies on assumptions on mixed-difference bias and variance decay, similar to standard MIMC assumptions. Although not rigorously proved, this work presents strong numerical evidence in support of these assumptions. The primary contribution of this work is the novel numerical integration of the MIMC method with IS for MV-SDEs. This approach reduces the computational complexity from $\mathcal{O}(\mathrm{TOL}_{\mathrm{r}}^{-4})$ for the DLMC estimator to $\mathcal{O}(\mathrm{TOL}_{\mathrm{r}}^{-2} (\log \mathrm{TOL}_{\mathrm{r}}^{-1})^2)$, enabling an accurate estimation of rare-event quantities within a prescribed relative error tolerance $\mathrm{TOL}_{\mathrm{r}}$. Numerical experiments on the Kuramoto model from statistical physics demonstrate computational savings of several orders of magnitude for the multi-index DLMC estimator with IS, compared with the standard Monte Carlo (MC) method. |
| title | Multi-index importance sampling for McKean--Vlasov stochastic differential equations |
| topic | Numerical Analysis Computation 60H35, 65C30, 65C05, 65C35 |
| url | https://arxiv.org/abs/2307.05149 |