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arXiv · 1410.2810

Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics

Mirco Zerbetto·Diego Frezzato
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Abstract

We present a computational strategy for the evaluation of multidimensional integrals on hyper-rectangles based on Markovian stochastic exploration of the integration domain while the integrand is being morphed by starting from an initial appropriate profile. Thanks to an abstract reformulation of Jarzynski's equality applied in stochastic thermodynamics to evaluate the free-energy profiles along selected reaction coordinates via non-equilibrium transformations, it is possible to cast the original integral into the exponential average of the distribution of the pseudo-work (that we may term "computational work") involved in doing the function morphing, which is straightforwardly solved. Several tests illustrate the basic implementation of the idea, and show its performance in terms of computational time, accuracy and precision. The formulation for integrand functions with zeros and possible sign changes is also presented. It will be stressed that our usage of Jarzynski's equality shares similarities with a practice already known in statistics as Annealed Importance Sampling (AIS), when applied to computation of the normalizing constants of distributions. In a sense, here we dress the AIS with its "physical" counterpart borrowed from statistical mechanics.

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Mirco Zerbetto, Diego Frezzato. 2014-10-10. Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics. https://doi.org/10.1016/j.cpc.2015.04.010

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