The parallel replica method for simulating long trajectories of Markov chains

DOI10.1093/AMRX/ABU005MaRDI QIDQ2927899zbMATH OpenOpenAlexFDO

Authors David Aristoff, Tony Lelièvre, Gideon Simpson

Publication date 5 November 2014

Published in AMRX. Applied Mathematics Research eXpress (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.4500

zbMATH Keywords

algorithmnumerical examplemetastable statesparallel replica dynamicsalgorithm simulating Markov chainsdecorrelation stepdephasing stepparallel step

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: The parallel replica dynamics, originally developed by A.F. Voter, efficiently simulates very long trajectories of metastable Langevin dynamics. We present an analogous algorithm for discrete time Markov processes. Such Markov processes naturally arise, for example, from the time discretization of a continuous time stochastic dynamics. Appealing to properties of quasistationary distributions, we show that our algorithm reproduces exactly (in some limiting regime) the law of the original trajectory, coarsened over the metastable states.

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(9)

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• A generalized parallel replica dynamics
• The parallel replica method for computing equilibrium averages of Markov chains
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