Stratification of Markov processes for rare event simulation
Presenter
February 26, 2015
Abstract
Jonathan Weare
University of Chicago
Mathematics
I will discuss an ensemble sampling scheme based on a decomposition of the target average of interest into subproblems that are each individually easier to solve and can be solved in parallel. The most basic version of the scheme computes averages with respect to a given density and is a generalization of the Umbrella Sampling method for the calculation of free energies. Our framework and a detailed perturbation analysis for Markov Chains clearly reveal the utility of the approach. I will also discuss extensions of the stratification philosophy to the calculation of dynamic averages with respect a given Markov process. The scheme is capable of computing very general dynamic averages and offers a natural way to parallelize in both time and space.