Importance sampling of rare events in chaotic systems

• Type: Article in International Scientific Journal
• Date: 2017

Authors

Leitao, JC (Author) Other; Lopes, JMVP (Author) FCUP; Altmann, EG (Author) Other

Journal

Title: European Physical Journal B

Vol. 90

ISSN: 1434-6028

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 5 Citations

Scopus - 5 Citations

Other information

Authenticus ID: P-00N-2S1

DOI: 10.1140/epjb/e2017-80054-3

Abstract (EN): 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 MetropolisHastings 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).

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 23