The parallel replica method for computing equilibrium averages of Markov chains

DOI10.1515/MCMA-2015-0110MaRDI QIDQ898648zbMATH OpenOpenAlexFDO

Authors David Aristoff

Publication date 18 December 2015

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

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

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)

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.

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(10)

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