Efficient Sampling of the Stationary Distribution of Metastable Dynamical Systems
Please always quote using this URN:urn:nbn:de:0296-matheon-6119
- This article deals with an efficient sampling of the stationary distribution of dynamical systems in the presence of metastabilities. For such systems, standard sampling schemes suffer from trapping problems and critical slowing down. Starting multiple trajectories in different regions of the sampling space is a promising way out. The different samplings represent the stationary distribution locally very well, but are still far away from ergodicity or from the global stationary distribution. We will show how these samplings can be joined together in order to get one global sampling of the stationary distribution.
Author: | Marcus Weber, Susanna Kube, Alexander Riemer, Alexander Bujotzek |
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URN: | urn:nbn:de:0296-matheon-6119 |
Referee: | Peter Deuflhard |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2009/07/21 |
Release Date: | 2009/07/21 |
Tag: | |
Institute: | Freie Universität Berlin |
Zuse Institute Berlin (ZIB) | |
MSC-Classification: | 62-XX STATISTICS / 62Hxx Multivariate analysis [See also 60Exx] / 62H30 Classification and discrimination; cluster analysis [See also 68T10] |
65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C40 Computational Markov chains | |
82-XX STATISTICAL MECHANICS, STRUCTURE OF MATTER / 82Bxx Equilibrium statistical mechanics / 82B80 Numerical methods (Monte Carlo, series resummation, etc.) [See also 65-XX, 81T80] | |
Preprint Number: | 609 |