On the infinite swapping limit for parallel tempering

DOI10.1137/110853145zbMATH Open1261.65009arXiv1110.4984OpenAlexW2171032649MaRDI QIDQ4903663FDOQ4903663

Authors: Paul Dupuis, Yufei Liu, Nuria Plattner, J. Doll 

Publication date: 24 January 2013

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Abstract: Parallel tempering, also known as replica exchange sampling, is an important method for simulating complex systems. In this algorithm simulations are conducted in parallel at a series of temperatures, and the key feature of the algorithm is a swap mechanism that exchanges configurations between the parallel simulations at a given rate. The mechanism is designed to allow the low temperature system of interest to escape from deep local energy minima where it might otherwise be trapped, via those swaps with the higher temperature components. In this paper we introduce a performance criteria for such schemes based on large deviation theory, and argue that the rate of convergence is a monotone increasing function of the swap rate. This motivates the study of the limit process as the swap rate goes to infinity. We construct a scheme which is equivalent to this limit in a distributional sense, but which involves no swapping at all. Instead, the effect of the swapping is captured by a collection of weights that influence both the dynamics and the empirical measure. While theoretically optimal, this limit is not computationally feasible when the number of temperatures is large, and so variations that are easy to implement and nearly optimal are also developed.

Full work available at URL: https://arxiv.org/abs/1110.4984

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zbMATH Keywords

Monte Carlorate of convergencelarge deviationsparallel temperingrelative entropystochastic differential equationsGibbs measuresempirical measure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

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• Stationary Averaging for Multiscale Continuous Time Markov Chains Using Parallel Replica Dynamics
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• Infinite Swapping Algorithm for Training Restricted Boltzmann Machines
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• Gradient flows and randomised thresholding: sparse inversion and classification
• Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit
• Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
• Large deviation properties of the empirical measure of a metastable small noise diffusion
• Large deviations of empirical measures of diffusions in weighted topologies
• Infinite swapping using IID samples
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• Ergodicity of the infinite swapping algorithm at low temperature
• Spectral gap of replica exchange Langevin diffusion on mixture distributions
• Improving the convergence of reversible samplers
• A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms
• Anytime parallel tempering
• Generalized parallel tempering on Bayesian inverse problems
• Monte Carlo methods for rough free energy landscapes: population annealing and parallel tempering
• 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
• Massively parallel simulations for disordered systems
• A large deviation principle for the empirical measures of Metropolis-Hastings chains

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