The parallel replica method for computing equilibrium averages of Markov chains

DOI10.1515/MCMA-2015-0110zbMATH Open1329.65005arXiv1501.00217OpenAlexW3100409794MaRDI QIDQ898648FDOQ898648

Authors: David Aristoff 

Publication date: 18 December 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Abstract: An algorithm is proposed for computing equilibrium averages of Markov chains which suffer from metastability -- the tendency to remain in one or more subsets of state space for long time intervals. The algorithm, called the parallel replica method (or ParRep), uses many parallel processors to explore these subsets more efficiently. Numerical simulations on a simple model demonstrate consistency of the method. A proof of consistency is given in an idealized setting. The parallel replica method can be considered a generalization of A.F. Voter's parallel replica dynamics, originally developed to efficiently simulate metastable Langevin stochastic dynamics.

Full work available at URL: https://arxiv.org/abs/1501.00217

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zbMATH Keywords

Markov chain Monte CarloMonte Carlo methodsparallel computingmetastabilityLangevin stochastic dynamicsparallel replica method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Parallel numerical computation (65Y05)

Cited In (10)

• Stationary Averaging for Multiscale Continuous Time Markov Chains Using Parallel Replica Dynamics
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• Generalizing Parallel Replica Dynamics: Trajectory Fragments, Asynchronous Computing, and PDMPs
• An ergodic theorem for the weighted ensemble method
• Numerical analysis of parallel replica dynamics
• A generalized parallel replica dynamics
• Analysis of the accelerated weighted ensemble methodology
• Markov chain Monte Carlo algorithms allowing parallel processing. II
• A mathematical formalization of the parallel replica dynamics
• The parallel replica method for simulating long trajectories of Markov chains

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