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arXiv · 1401.4500

The parallel replica method for simulating long trajectories of Markov chains

David Aristoff·Tony Lelièvre·Gideon Simpson
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Abstract

The parallel replica dynamics, originally developed by A.F. Voter, efficiently simulates very long trajectories of metastable Langevin dynamics. We present an analogous algorithm for discrete time Markov processes. Such Markov processes naturally arise, for example, from the time discretization of a continuous time stochastic dynamics. Appealing to properties of quasistationary distributions, we show that our algorithm reproduces exactly (in some limiting regime) the law of the original trajectory, coarsened over the metastable states.

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David Aristoff, Tony Lelièvre, Gideon Simpson. 2014-01-18. The parallel replica method for simulating long trajectories of Markov chains. https://doi.org/10.1093/amrx/abu005

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