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arXiv · 2207.06926

Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation

Nadhir Ben Rached·Abdul-Lateef Haji-Ali·Shyam Mohan Subbiah Pillai·Raúl Tempone
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Abstract

This paper investigates Monte Carlo (MC) methods to estimate probabilities of rare events associated with solutions to the $d$-dimensional McKean-Vlasov stochastic differential equation (MV-SDE). MV-SDEs are usually approximated using a stochastic interacting $P$-particle system, which is a set of $P$ coupled $d$-dimensional stochastic differential equations (SDEs). Importance sampling (IS) is a common technique for reducing high relative variance of MC estimators of rare-event probabilities. We first derive a zero-variance IS change of measure for the quantity of interest by using stochastic optimal control theory. However, when this change of measure is applied to stochastic particle systems, it yields a $P \times d$-dimensional partial differential control equation (PDE), which is computationally expensive to solve. To address this issue, we use the decoupling approach introduced in [dos Reis et al., 2023], generating a $d$-dimensional control PDE for a zero-variance estimator of the decoupled SDE. Based on this approach, we develop a computationally efficient double loop MC (DLMC) estimator. We conduct a comprehensive numerical error and work analysis of the DLMC estimator. As a result, we show optimal complexity of $\mathcal{O}(\mathrm{TOL}_{\mathrm{r}}^{-4})$ with a significantly reduced constant to achieve a prescribed relative error tolerance $\mathrm{TOL}_{\mathrm{r}}$. Subsequently, we propose an adaptive DLMC method combined with IS to numerically estimate rare-event probabilities, substantially reducing relative variance and computational runtimes required to achieve a given $\mathrm{TOL}_{\mathrm{r}}$ compared with standard MC estimators in the absence of IS. Numerical experiments are performed on the Kuramoto model from statistical physics.

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Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai, Raúl Tempone. 2023-10-22. Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation. https://doi.org/10.1007/s11222-024-10497-3

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