Optimally Adjusted Mixture Sampling and Locally Weighted Histogram Analysis
提出一种自调整混合抽样方法，结合自适应串行回火和广义Wang-Landau算法，通过随机逼近在线调整自由能估计，并开发局部加权直方图分析离线方法，用于多分布下的自由能和期望估计，在大量分布时比全局方法更快且统计效率损失小。
Consider the two problems of simulating observations and estimating expectations and normalizing constants for multiple distributions. First, we present a self-adjusted mixture sampling method, which accommodates both adaptive serial tempering and a generalized Wang–Landau algorithm. The set of distributions are combined into a labeled mixture, with the mixture weights depending on the initial estimates of log normalizing constants (or free energies). Then, observations are generated by Markov transitions, and free energy estimates are adjusted online by stochastic approximation. We propose two stochastic approximation schemes by Rao–Blackwellization of the scheme commonly used, and derive the optimal choice of a gain matrix, resulting in the minimum asymptotic variance for free energy estimation, in a simple and feasible form. Second, we develop an offline method, locally weighted histogram analysis, for estimating free energies and expectations, using all the simulated data from multiple distributions by either self-adjusted mixture sampling or other sampling algorithms. This method can be computationally much faster, with little sacrifice of statistical efficiency, than a global method currently used, especially when a large number of distributions are involved. We provide both theoretical results and numerical studies to demonstrate the advantages of the proposed methods.