Browsing by Author "Heldman, Max"
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- Fluctuation analysis for particle-based stochastic reaction-diffusion modelsHeldman, Max; Spilopoulos, Konstantinos; Isaacson, Samuel; Ma, Jingwei (2024-01-17)Recent works have derived and proven the large-population mean-field limit for several classes of particle-based stochastic reaction-diffusion (PBSRD) models. These limits correspond to systems of partial integral-differential equations (PIDEs) that generalize standard mass-action reaction-diffusion PDE models. In this work we derive and prove the next order fluctuation corrections to such limits, which we show satisfy systems of stochastic PIDEs with Gaussian noise. Numerical examples are presented to illustrate how including the fluctuation corrections can enable the accurate estimation of higher order statistics of the underlying PBSRD model.
- Importance Sampling for the Empirical Measure of Weakly Interacting DiffusionsBezemek, Z. W.; Heldman, Max (Springer, 2023-11-22)We construct an importance sampling method for computing statistics related to rare events for weakly interacting diffusions. Standard Monte Carlo methods behave exponentially poorly with the number of particles in the system for such problems. Our scheme is based on subsolutions of a Hamilton–Jacobi–Bellman (HJB) equation on Wasserstein space which arises in the theory of mean-field (McKean–Vlasov) control. We identify conditions under which such a scheme is asymptotically optimal. In the process, we make connections between the large deviations principle for the empirical measure of weakly interacting diffusions, mean-field control, and the HJB equation on Wasserstein space. We also provide evidence, both analytical and numerical, that with sufficient regularity of the HJB equation, our scheme can have vanishingly small relative error in the many particle limit.