LLNL CCMS Summer Institute 2005 Lectures
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Importance Sampling in Monte Carlo Simulation of Rare Transition Events

The purpose of these three lectures is to bring out the inner connections among the importance sampling method, Monte Carlo simulation of random walkers, and rare transition events between metastable states. These connections lead to a new way of boosting the efficiency of atomistic simulations whose time scale is severely limited due to rare transition events. The discussion is focused on computational methods with illustrations on low-dimensional model problems. The materials are roughly organized as the following: (1) Monte Carlo computation of integrals and importance sampling as a variance reduction technique. (2) Using random walks to solve integral equations and partial differential equations, and application of importance sampling. (3) Using importance sampling to boost efficiency of Monte Carlo simulations of rare transition events.

Meeting Time & Place
10:30-11:30am, August 1-3, 2005, B219, R163, LLNL