Hamiltonian Flow Simulation of Rare Events

09/05/2017

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by   Raphael Douady, et al.

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Hamiltonian Flow Monte Carlo(HFMC) methods have been implemented in engineering, biology and chemistry. HFMC makes large gradient based steps to rapidly explore the state space. The application of the Hamiltonian dynamics allows to estimate rare events and sample from target distributions defined as the change of measures. The estimates demonstrated a variance reduction of the presented algorithm and its efficiency with respect to a standard Monte Carlo and interacting particle based system(IPS). We tested the algorithm on the case of the barrier option pricing.