Equi-energy Sampler: From Statistical Inference to Statistical Mechanics

Abstract

We introduce a new sampling algorithm, the equi-energy sampler, for efficient statistical sampling and estimation. Complementary to the widely used temperature-domain methods, the equi-energy sampler, utilizing the temperature- energy duality, targets the energy directly. The focus on the energy function not only facilitates efficient sampling, but also provides a powerful means for statistical estimation, for example, the calculation of the density of states and microcanonical averages in statistical mechanics. The equi-energy sampler is applied to a variety of problems, including exponential regression in statistics, motif sampling in computational biology, and protein folding in biophysics. This work is joint with Qing Zhou and Wing Wong.