Orthogonal parallel MCMC methods for sampling and optimization

Monte Carlo (MC) methods are widely used for Bayesian inference and optimization in statistics, signal processing and machine learning. A well-known class of MC methods are Markov Chain Monte Carlo (MCMC) algorithms. In order to foster better exploration of the state space, specially in high-dimensional applications, several schemes employing multiple parallel MCMC chains have been recently introduced. In this work, we describe a novel parallel interacting MCMC scheme, called {\it orthogonal MCMC} (O-MCMC), where a set of "vertical" parallel MCMC chains share information using some "horizontal" MCMC techniques working on the entire population of current states. More specifically, the vertical chains are led by random-walk proposals, whereas the horizontal MCMC techniques employ independent proposals, thus allowing an efficient combination of global exploration and local approximation. The interaction is contained in these horizontal iterations. Within the analysis of different implementations of O-MCMC, novel schemes in order to reduce the overall computational cost of parallel multiple try Metropolis (MTM) chains are also presented. Furthermore, a modified version of O-MCMC for optimization is provided by considering parallel simulated annealing (SA) algorithms. Numerical results show the advantages of the proposed sampling scheme in terms of efficiency in the estimation, as well as robustness in terms of independence with respect to initial values and the choice of the parameters

Parallel Deterministic and Stochastic Global Minimization of Functions with Very Many Minima

The optimization of three problems with high dimensionality and many local minima are investigated under five different optimization algorithms: DIRECT, simulated annealing, Spall’s SPSA algorithm, the KNITRO package, and QNSTOP, a new algorithm developed at Indiana University

Population annealing: Theory and application in spin glasses

Population annealing is an efficient sequential Monte Carlo algorithm for simulating equilibrium states of systems with rough free energy landscapes. The theory of population annealing is presented, and systematic and statistical errors are discussed. The behavior of the algorithm is studied in the context of large-scale simulations of the three-dimensional Ising spin glass and the performance of the algorithm is compared to parallel tempering. It is found that the two algorithms are similar in efficiency though with different strengths and weaknesses.Comment: 16 pages, 10 figures, 4 table

Equilibrium Sampling From Nonequilibrium Dynamics

We present some applications of an Interacting Particle System (IPS) methodology to the field of Molecular Dynamics. This IPS method allows several simulations of a switched random process to keep closer to equilibrium at each time, thanks to a selection mechanism based on the relative virtual work induced on the system. It is therefore an efficient improvement of usual non-equilibrium simulations, which can be used to compute canonical averages, free energy differences, and typical transitions paths