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arXiv · 1312.7480

Malliavin weight sampling: a practical guide

Patrick B. Warren·Rosalind J. Allen
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Abstract

Malliavin weight sampling (MWS) is a stochastic calculus technique for computing the derivatives of averaged system properties with respect to parameters in stochastic simulations, without perturbing the system's dynamics. It applies to systems in or out of equilibrium, in steady state or time-dependent situations, and has applications in the calculation of response coefficients, parameter sensitivities and Jacobian matrices for gradient-based parameter optimisation algorithms. The implementation of MWS has been described in the specific contexts of kinetic Monte Carlo and Brownian dynamics simulation algorithms. Here, we present a general theoretical framework for deriving the appropriate MWS update rule for any stochastic simulation algorithm. We also provide pedagogical information on its practical implementation.

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Patrick B. Warren, Rosalind J. Allen. 2013-12-28. Malliavin weight sampling: a practical guide. https://doi.org/10.3390/e16010221

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