SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Convergence of the Wang-Landau algorithm

G. Fort, B. Jourdain, E. Kuhn, T. Lelièvre and G. Stoltz

We analyse the convergence properties of the Wang-Landau algorithm. This sampling method belongs to the general class of adaptive importance sampling strategies which use the free energy along a chosen reaction coordinate as a bias. Such algorithms are very helpful to enhance the sampling properties of Markov Chain Monte Carlo algorithms, when the dynamic is metastable. The convergence of Wang-Landau is established as well as a Central Limit Theorem.

Organized by         Universidad de Valladolid     IMUVA