Efficiency of the Wang-Landau algorithm: a simple test case
Numerical Analysis
2014-02-11 v2
Abstract
We analyze the efficiency of the Wang-Landau algorithm to sample a multimodal distribution on a prototypical simple test case. We show that the exit time from a metastable state is much smaller for the Wang Landau dynamics than for the original standard Metropolis-Hastings algorithm, in some asymptotic regime. Our results are confirmed by numerical experiments on a more realistic test case.
Cite
@article{arxiv.1310.6550,
title = {Efficiency of the Wang-Landau algorithm: a simple test case},
author = {G. Fort and B. Jourdain and E. Kuhn and T Lelièvre and G. Stoltz},
journal= {arXiv preprint arXiv:1310.6550},
year = {2014}
}