Efficiency of the Wang-Landau algorithm: a simple test case (Q2927897)
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scientific article; zbMATH DE number 6365876
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| English | Efficiency of the Wang-Landau algorithm: a simple test case |
scientific article; zbMATH DE number 6365876 |
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5 November 2014
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Markov chain Monte Carlo
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adaptive importance sampling
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Metropolis-Hastings algorithm
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Wang-Landau algorithm
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numerical result
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computational statistical physics
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Efficiency of the Wang-Landau algorithm: a simple test case (English)
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The Wang-Landau algorithm is an adaptive importance Markov chain Monte Carlo (MCMC) technique based on a single trajectory interacting with its own past. The authors analyze the efficiency of this algorithm in escaping metastable states. Analytic results are presented for a toy model with only three states (two metastable states and one intermediate state which is visited with a low probability). Numerical results are discussed for a 2D-model from computational statistical physics. It is shown that in these examples the exit times from metastable states are much smaller for the Wang-Landau algorithm than for the standard Metropolis-Hastings algorithm.
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