Committor functions via tensor networks. (English) Zbl 07620352
Summary: We propose a novel approach for computing committor functions, which describe transitions of a stochastic process between metastable states. The committor function satisfies a backward Kolmogorov equation, and in typical high-dimensional settings of interest, it is intractable to compute and store the solution with traditional numerical methods. By parametrizing the committor function in a matrix product state/tensor train format and using a similar representation for the equilibrium probability density, we solve the variational formulation of the backward Kolmogorov equation with linear time and memory complexity in the number of dimensions. This approach bypasses the need for sampling the equilibrium distribution, which can be difficult when the distribution has multiple modes. Numerical results demonstrate the effectiveness of the proposed method for high-dimensional problems.
MSC:
| 60Hxx | Stochastic analysis |
| 65Fxx | Numerical linear algebra |
| 65Nxx | Numerical methods for partial differential equations, boundary value problems |
Keywords:
committor function; variational formulation; tensor network; tensor train; matrix product state; alternating least squaresReferences:
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