Steering Diffusion Models to Rare Events with Sequential Monte Carlo

Diffusion models are increasingly used as surrogates for expensive simulators in weather prediction, molecular dynamics, and materials design. In these models, computing the probability p 0[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 proportional to!1/p 0[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 probabilities on a range of rarities from 10-3 to 10-5, achieving net speed-ups of 9 times to 1413 times over Monte Carlo.