Optimizing weighted ensemble sampling of steady states

DOI10.1137/18M1212100MaRDI QIDQ6302479arXivFDO

Authors David Aristoff, Daniel M. Zuckerman

Publication date 3 June 2018

Published in arXiv

Full work available at URL https://doi.org/10.1137/18M1212100

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical analysis or methods applied to Markov chains (65C40) Parallel numerical computation (65Y05)

arXiv classification

cs.NAmath.NA

Abstract: We propose parameter optimization techniques for weighted ensemble sampling of Markov chains in the steady-state regime. Weighted ensemble consists of replicas of a Markov chain, each carrying a weight, that are periodically resampled according to their weights inside of each of a number of bins that partition state space. We derive, from first principles, strategies for optimizing the choices of weighted ensemble parameters, in particular the choice of bins and the number of replicas to maintain in each bin. In a simple numerical example, we compare our new strategies with more traditional ones and with direct Monte Carlo.

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