sde-hjb-solver

This Python repository contains the implementation of the finite difference method for solving the Hamilton-Jacobi-Bellman (HJB) equation associated to the importance sampling (IS) problem of diffusion processes.

Setting

Importance sampling problem

Consider the stochastic process in $\mathbb{R}^d$ following the controlled dynamics for a given potential landscape $V$: $$\mathrm{d} X_s^u = (-\nabla V(X_s^u) + \sigma(X_s^u) u(X_s^u))\mathrm{d}s + \sigma(X_s^u) \mathrm{d}W_s, \qquad X_0^u = x.$$

We aim to estimate the following expectation value by doing importance sampling $$\Psi(x) = \mathbb{E}^x \bigl[I(X) \bigr] = \mathbb{E}^x \bigl[I(X^u) M^u \bigr], \quad I(X) = \exp \Bigl( -g(x_\tau) - \int\limits_0^\tau f(X_t) \mathrm{d}t \Bigl),$$ where $\tau_C$ is the first hitting time of the target set $C \subset \mathbb{R}^d$ and $M^u$ is the corresponding exponential Martingale provided by the Girsanov formula.

Every control $u^* \in \mathcal{U}$ provides us with an unbiased estimator of $\Psi(x)$. We want to find the $u^* \in \mathcal{U}$ which minimizes the variance of the importance sampling estimator $$u^* \in \text{argmin}_u { \text{Var}^x \bigl(I(X^u) M^u \bigr) }.$$

HJB equation

It is well known that the quantity that we want to estimate satisfies the following BVP $$(\mathcal{L} -f(x)) \Psi(x) = 0 \quad \forall x \in \mathcal{O}, \quad \Psi(x) = \exp(-g(x)) \quad \forall x \in \partial{\mathcal{O}},$$ on the domain $\mathcal{O} \coloneqq \mathcal{D} \cap C^c$ where $\mathcal{L}$ denotes the infinitesimal generator of the original not controlled process i.e. case $u=0$.

Contains

• Finite difference method for the 1d and 2d cases where the original stochastic dynamics follow the overdamped langevin equation with double well potential.

Install

1. clone the repo

git clone git@github.com:riberaborrell/sde-hjb-solver.git

2. move inside the directory, create virtual environment and install required packages

cd sde-hjb-solver
make venv

3. activate venv

source venv/bin/activate

4. create config.py file and edit it

cp src/sde_hjb_solver/config_template.py src/sde_hjb_solver/config.py

Developement

in step 2) also install developement packages

make develop

Examples

1d double well and mgf setting

Overdamped langevin dynamics with the 1-dimensional double well potential and the momgent generating function (MGF) setting ($f=\lambda=1$, $g=0$, $\tau=\tau_C$) and target set $C = [1, \infty)$.

$ python src/sde_hjb_solver/compute_hjb_solution_1d_st.py --setting mgf --alpha-i 1 --beta 1 --h 0.001 --plot

2d asymmetric double well and mgf setting

Overdamped langevin dynamics with the asymmetric 2-dimensional double well potential ($\alpha=(1, 2)$), MGF setting and target set $C = [1, \infty)^2$.

$ python src/sde_hjb_solver/compute_hjb_solution_2d_st.py --setting mgf --beta 1 --h 0.05 --plot

2d triple well and committor setting

Overdamped langevin dynamics with the 2-dimensional triple well potential and the committor setting: ($f=0$, $g=-log 1_B$, $\tau = \tau_A \wedge \tau_B $).