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[02215] Solving Fokker-Planck Equation in High Dimensions via Milestoning

  • Session Time & Room : 2D (Aug.22, 15:30-17:10) @E506
  • Type : Contributed Talk
  • Abstract : We propose a novel method for solving Fokker-Planck-type equations via the Feynman-Kac formula, closely related to rare events sampling. A family of trajectories is maintained between each pair of milestones while new samples are drawn based on an importance-sampling principle. We also show a probabilistic estimate of the sampling error which explains why, so-called, milestoning can significantly speed up molecular dynamics simulations.
  • Classification : 65C35, 65C30, 60H35
  • Format : Talk at Waseda University
  • Author(s) :
    • Ziheng Chen (University of Texas at Austin)
    • Bjorn Engquist (University of Texas at Austin)