Adaptive power method for estimating large deviations in Markov chains

Abstract

We study the performance of a stochastic algorithm based on the power method that adaptively learns the large deviation functions characterizing the fluctuations of additive functionals of Markov processes, used in physics to model nonequilibrium systems. This algorithm was introduced in the context of risk-sensitive control of Markov chains and was recently adapted to diffusions evolving continuously in time. Here we provide an in-depth study of the convergence of this algorithm close to dynamical phase transitions, exploring the speed of convergence as a function of the learning rate and the effect of including transfer learning. We use as a test example the mean degree of a random walk on an Erdös-Rényi random graph, which shows a transition between high-degree trajectories of the random walk evolving in the bulk of the graph and low-degree trajectories evolving in dangling edges of the graph. The results show that the adaptive power method is efficient close to dynamical phase transitions, while having many advantages in terms of performance and complexity compared to other algorithms used to compute large deviation functions.

v1: 12 pages, 7 figures; v2: typos corrected, references updated, close to published version

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Cited by in corpus (5)

• Dynamical large deviations of linear diffusions
• Convergence of the Integral Fluctuation Theorem estimator for nonequilibrium Markov systems
• Understanding random-walk dynamical phase coexistence through waiting times
• Making rare events typical in $d$-dimensional chaotic maps
• Self-interacting processes via Doob conditioning