Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics

DOI10.1016/J.CPC.2015.04.010zbMATH Open1344.65004arXiv1410.2810OpenAlexW1988740514MaRDI QIDQ311864FDOQ311864

Authors: Mirco Zerbetto, Diego Frezzato 

Publication date: 13 September 2016

Published in: Computer Physics Communications (Search for Journal in Brave)

Abstract: We present a computational strategy for the evaluation of multidimensional integrals on hyper-rectangles based on Markovian stochastic exploration of the integration domain while the integrand is being morphed by starting from an initial appropriate profile. Thanks to an abstract reformulation of Jarzynski's equality applied in stochastic thermodynamics to evaluate the free-energy profiles along selected reaction coordinates via non-equilibrium transformations, it is possible to cast the original integral into the exponential average of the distribution of the pseudo-work (that we may term "computational work") involved in doing the function morphing, which is straightforwardly solved. Several tests illustrate the basic implementation of the idea, and show its performance in terms of computational time, accuracy and precision. The formulation for integrand functions with zeros and possible sign changes is also presented. It will be stressed that our usage of Jarzynski's equality shares similarities with a practice already known in statistics as Annealed Importance Sampling (AIS), when applied to computation of the normalizing constants of distributions. In a sense, here we dress the AIS with its "physical" counterpart borrowed from statistical mechanics.

Full work available at URL: https://arxiv.org/abs/1410.2810

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zbMATH Keywords

Jarzynski equalitymultidimensional integrationstochastic sampling

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical integration (65D30) Software, source code, etc. for problems pertaining to numerical analysis (65-04)

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Cited In (2)

• Summation through stochastic drawing of addends under steered morphing
• JEMDI

Uses Software

• Mathematica
• IMSL Numerical Libraries
• MPI/MPICH

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