title: Adaptive importance sampling Monte Carlo simulation of rare transition events.
abstract: We develop a general theoretical framework for the recently proposed importance sampling method for enhancing the efficiency of rare-event simulations [W. Cai, M. H. Kalos, M. de Koning, and V. V. Bulatov, Phys. Rev. E 66, 046703 (2002)], and discuss practical aspects of its application. We define the success/fail ensemble of all possible successful and failed transition paths of any duration and demonstrate that in this formulation the rare-event problem can be interpreted as a "hit-or-miss" Monte Carlo quadrature calculation of a path integral. The fact that the integrand contributes significantly only for a very tiny fraction of all possible paths then naturally leads to a "standard" importance sampling approach to Monte Carlo (MC) quadrature and the existence of an optimal importance function. In addition to showing that the approach is general and expected to be applicable beyond the realm of Markovian path simulations, for which the method was originally proposed, the formulation reveals a conceptual analogy with the variational MC (VMC) method. The search for the optimal importance function in the former is analogous to finding the ground-state wave function in the latter. In two model problems we discuss practical aspects of finding a suitable approximation for the optimal importance function. For this purpose we follow the strategy that is typically adopted in VMC calculations: the selection of a trial functional form for the optimal importance function, followed by the optimization of its adjustable parameters. The latter is accomplished by means of an adaptive optimization procedure based on a combination of steepest-descent and genetic algorithms.
authors.affiliation: Instituto de Física, Universidade de São Paulo, Caixa Postal 66318, 05315-970 São Paulo, SP, Brazil.
authors.forename: Maurice
authors.initials: M
authors.lastname: de Koning
authors.forename: Wei
authors.initials: W
authors.lastname: Cai
authors.forename: Babak
authors.initials: B
authors.lastname: Sadigh
authors.forename: Tomas
authors.initials: T
authors.lastname: Oppelstrup
authors.forename: Malvin H
authors.initials: MH
authors.lastname: Kalos
authors.forename: Vasily V
authors.initials: VV
authors.lastname: Bulatov