A dynamic programming approach to efficient sampling from Boltzmann distributions

A dynamic programming approach to efficient sampling from Boltzmann distributions

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Article ID: iaor20102909
Volume: 36
Issue: 6
Start Page Number: 665
End Page Number: 668
Publication Date: Nov 2008
Journal: Operations Research Letters
Authors: ,
Keywords: programming: dynamic
Abstract:

Markov chain methods for Boltzmann sampling work in phases with decreasing temperatures. The number of transitions in each phase crucially affects terminal state distribution. We employ dynamic programming to allocate iterations to phases to improve guarantees on sample quality. Numerical experiments on the Ising model are presented.

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