An ergodic theorem for the weighted ensemble method

DOI10.1017/JPR.2021.38MaRDI QIDQ5067216zbMATH OpenOpenAlexWikidataFDO

Authors David Aristoff

Publication date 1 April 2022

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.00856

zbMATH Keywords

ergodic theoremimportance samplinginteracting particle systemsequential Monte Carlosteady statestratificationweighted ensemble

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic particle methods (65C35) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: We study weighted ensemble, an interacting particle method for sampling distributions of Markov chains that has been used in computational chemistry since the 1990s. Many important applications of weighted ensemble require the computation of long time averages. We establish the consistency of weighted ensemble in this setting by proving an ergodic theorem for time averages. As part of the proof, we derive explicit variance formulas that could be useful for optimizing the method.

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Cited in

(4)

• Generalization and Robustness of Batched Weighted Average Algorithm with V-Geometrically Ergodic Markov Data
• Analysis and optimization of weighted ensemble sampling
• Analysis of the accelerated weighted ensemble methodology
• Optimizing Weighted Ensemble Sampling of Steady States

Describes a project that uses

Uses Software

• WESTPA

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