A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms

DOI10.1007/S00245-017-9401-9zbMATH Open1397.65015arXiv1604.05703OpenAlexW2964262838WikidataQ60110922 ScholiaQ60110922MaRDI QIDQ1670372FDOQ1670372

Authors: J. Doll, Paul Dupuis, Pierre Nyquist 

Publication date: 5 September 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel simulations. From the perspective of large deviations it is optimal to let the swap rate tend to infinity and it is possible to construct a corresponding simulation scheme, known as infinite swapping. In this paper we propose a novel use of large deviations for empirical measures for a more detailed analysis of the infinite swapping limit in the setting of continuous time jump Markov processes. Using the large deviations rate function and associated stochastic control problems we consider a diagnostic based on temperature assignments, which can be easily computed during a simulation. We show that the convergence of this diagnostic to its a priori known limit is a necessary condition for the convergence of infinite swapping. The rate function is also used to investigate the impact of asymmetries in the underlying potential landscape, and where in the state space poor sampling is most likely to occur.

Full work available at URL: https://arxiv.org/abs/1604.05703

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Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (11)

• Methodological and computational aspects of parallel tempering methods in the infinite swapping limit
• Infinite Swapping Algorithm for Training Restricted Boltzmann Machines
• Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit
• Large deviation properties of the empirical measure of a metastable small noise diffusion
• Ergodicity of the infinite swapping algorithm at low temperature
• Spectral gap of replica exchange Langevin diffusion on mixture distributions
• Large deviations for the empirical measure of the zig-zag process
• State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm
• On the infinite swapping limit for parallel tempering
• A large deviation principle for the empirical measures of Metropolis-Hastings chains
• Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature

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