Abstract: We analyze the convergence properties of the Wang-Landau algorithm. This sampling method belongs to the general class of adaptive importance sampling strategies which use the free energy along a chosen reaction coordinate as a bias. Such algorithms are very helpful to enhance the sampling properties of Markov Chain Monte Carlo algorithms, when the dynamics is metastable. We prove the convergence of the Wang-Landau algorithm and an associated central limit theorem.
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Cited in
(24)- Convergence and efficiency of adaptive importance sampling techniques with partial biasing
- Safe adaptive importance sampling: a mixture approach
- An adaptively weighted stochastic gradient MCMC algorithm for Monte Carlo simulation and global optimization
- Properties of the stochastic approximation EM algorithm with mini-batch sampling
- Convergence of metadynamics: discussion of the adiabatic hypothesis
- Stochastic proximal-gradient algorithms for penalized mixed models
- The Wang-Landau algorithm reaches the flat histogram criterion in finite time
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- Efficiency of the Wang-Landau algorithm: a simple test case
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- Convergence and refinement of the Wang-Landau algorithm
- Numerical integration using Wang-Landau sampling
- Convergence rates for an adaptive biasing potential scheme from a Wasserstein optimization perspective
- Wang-Landau algorithm: an adapted random walk to boost convergence
- Stochastic approximation Monte Carlo importance sampling for approximating exact conditional probabilities
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