Probability evolution method for exit location distribution |
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Authors: | Jinjie Zhu Zhen Chen Xianbin Liu |
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Institution: | State Key Laboratory of Mechanics and Control of Mechanical Structures, College of Aerospace Engineering, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, China |
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Abstract: | The exit problem in the framework of the large deviation theory has been a hot topic in the past few decades. The most probable escape path in the weak-noise limit has been clarified by the Freidlin–Wentzell action functional. However, noise in real physical systems cannot be arbitrarily small while noise with finite strength may induce nontrivial phenomena, such as noise-induced shift and noise-induced saddle-point avoidance. Traditional Monte Carlo simulation of noise-induced escape will take exponentially large time as noise approaches zero. The majority of the time is wasted on the uninteresting wandering around the attractors. In this paper, a new method is proposed to decrease the escape simulation time by an exponentially large factor by introducing a series of interfaces and by applying the reinjection on them. This method can be used to calculate the exit location distribution. It is verified by examining two classical examples and is compared with theoretical predictions. The results show that the method performs well for weak noise while may induce certain deviations for large noise. Finally, some possible ways to improve our method are discussed. |
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Keywords: | Large deviation Exit location distribution Monte Carlo simulation |
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