A large deviation analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms
2017 (English)In: Applied mathematics and optimization, ISSN 0095-4616, E-ISSN 1432-0606Article in journal (Refereed) Accepted
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel simulations. From the perspective of large deviations it is optimal to let the swap rate tend to infinity and it is possible to construct a corresponding simulation scheme, known as infinite swapping. In this paper we propose a novel use of large deviations for empirical measures for a more detailed analysis of the infinite swapping limit in the setting of continuous time jump Markov processes. Using the large deviations rate function and associated stochastic control problems we consider a diagnostic based on temperature assignments, which can be easily computed during a simulation. We show that the convergence of this diagnostic to its a priori known limit is a necessary condition for the convergence of infinite swapping. The rate function is also used to investigate the impact of asymmetries in the underlying potential landscape, and where in the state space poor sampling is most likely to occur.
Place, publisher, year, edition, pages
Large deviatins, MCMC, parallel tempering, infinite swapping, ergodic control
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-198612OAI: oai:DiVA.org:kth-198612DiVA: diva2:1057603
QCR 201701112016-12-192016-12-192017-01-11Bibliographically approved