Convergence of the Wang-Landau algorithm
Fort, Gersende · Jourdain, Benjamin · Kuhn, Estelle · Lelièvre, Tony · Stoltz, Gabriel
Original · EN
We analyze 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 dynamics is metastable. We prove the convergence of the Wang-Landau algorithm and an associated central limit theorem.
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