Multicanonical MCMC for sampling rare events: an illustrative review
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chaotic dynamical systemexact testmulticanonical MCMCrandom graphrandom matrixrare event samplingreplica exchange MCMCsurrogationWang-Landau algorithm
Random graphs (graph-theoretic aspects) (05C80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random matrices (probabilistic aspects) (60B20) Computational methods in Markov chains (60J22) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: Multicanonical MCMC (Multicanonical Markov Chain Monte Carlo; Multicanonical Monte Carlo) is discussed as a method of rare event sampling. Starting from a review of the generic framework of importance sampling, multicanonical MCMC is introduced, followed by applications in random matrices, random graphs, and chaotic dynamical systems. Replica exchange MCMC (also known as parallel tempering or Metropolis-coupled MCMC) is also explained as an alternative to multicanonical MCMC. In the last section, multicanonical MCMC is applied to data surrogation; a successful implementation in surrogating time series is shown. In the appendices, calculation of averages and normalizing constant in an exponential family, phase coexistence, simulated tempering, parallelization, and multivariate extensions are discussed.
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Cited in
(8)- A subset multicanonical Monte Carlo method for simulating rare failure events
- Rare-event detection by Quasi-Wang-Landau Monte Carlo sampling with approximate Bayesian computation
- Monte Carlo sampling in diffusive dynamical systems
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