
Stats/ML PhD student @OxfordStats
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![Diffusion models are increasingly used as surrogates for expensive simulators in weather prediction, molecular dynamics, and materials design. In these models, computing the probability p₀[E] of an event E is difficult, especially when the event of interest is rare. A stable estimate using Monte Carlo becomes computationally intractable, requiring a growing sample size ∝1/p₀[E] to compensate for an increasing rarity. In this paper, we present Diffusion Importance Sampling of Rare Events or DireSMC, a sequential Monte Carlo scheme that guides a population of weighted samples towards the rare event, giving access not only to samples but also to a calibrated estimate of its probability. We set up our guidance using an analytical relaxation of the event set, allowing the method to easily extend to a wide range of user-defined rare events. We validate our method on a toy problem with analytical solutions and on a score-based climate emulator, where we obtain accurate rare-event probabilitie](https://pbs.twimg.com/media/HUDon8hXQAAXutj.png?name=small&format=webp)
ALT Diffusion models are increasingly used as surrogates for expensive simulators in weather prediction, molecular dynamics, and materials design. In these models, computing the probability p₀[E] of an event E is difficult, especially when the event of interest is rare. A stable estimate using Monte Carlo becomes computationally intractable, requiring a growing sample size ∝1/p₀[E] to compensate for an increasing rarity. In this paper, we present Diffusion Importance Sampling of Rare Events or DireSMC, a sequential Monte Carlo scheme that guides a population of weighted samples towards the rare event, giving access not only to samples but also to a calibrated estimate of its probability. We set up our guidance using an analytical relaxation of the event set, allowing the method to easily extend to a wide range of user-defined rare events. We validate our method on a toy problem with analytical solutions and on a score-based climate emulator, where we obtain accurate rare-event probabilitie











