ANALYSIS AND OPTIMIZATION OF WEIGHTED ENSEMBLE SAMPLING

David Aristoff
Colorado State University

We give a mathematical framework for weighted ensemble (WE) sampling, a binning and resampling technique for Markov chains, based on martingale theory. We discuss some applications in molecular dynamics. We prove that WE sampling is unbiased in a very general setting that includes adaptive binning. Using a coarse model to guide the allocation of replicas in the bins, we show how to minimize variance of fixed time and long time or stationary computations.

Presentation (PDF File)

Back to Workshop II: Stochastic Sampling and Accelerated Time Dynamics on Multidimensional Surfaces