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arXiv 1701.06265nlin.CDcond-mat.stat-mechphysics.comp-ph
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混沌系统中稀有事件的重要性抽样

Importance Sampling of Rare Events in Chaotic Systems

Jorge C. Leitao, Joao M. Viana Parente Lopes, Eduardo G. Altmann

摘要:

在动力系统中寻找和采样稀有轨迹是一项困难的计算任务,它涉及许多问题和应用。在本文中,我们展示了如何构建大都市-黑斯廷斯蒙特卡罗方法,可以有效地采样罕见的轨迹(非常粗糙)相空间的混沌系统。作为我们的一般框架的例子,我们计算有限时间李雅普诺夫指数的分布(在不同的混沌映射)和逃逸时间的分布(在瞬态混沌问题)。我们的方法以多项式数量的样本对指数罕见状态进行采样(在低维和高维系统中)。可以在https://github.com/jorgecarleitao/chaospp中找到实现我们的算法并再现我们的结果的开源软件

英文摘要:

Finding and sampling rare trajectories in dynamical systems is a difficult computational task underlying numerous problems and applications. In this paper we show how to construct Metropolis- Hastings Monte Carlo methods that can efficiently sample rare trajectories in the (extremely rough) phase space of chaotic systems. As examples of our general framework we compute the distribution of finite-time Lyapunov exponents (in different chaotic maps) and the distribution of escape times (in transient-chaos problems). Our methods sample exponentially rare states in polynomial number of samples (in both low- and high-dimensional systems). An open-source software that implements our algorithms and reproduces our results can be found in https://github.com/jorgecarleitao/chaospp

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