Analysis ofExchange Ratio forExchange MonteCarloMethod
Kenji Nagata · 2007
Theexchange MonteCarlomethodwasproposed asan improved algorithm ofMarkovChainMonteCarlo methodanditseffectiveness hasbeenshowninmanyfields. In theexchange MonteCarlomethod, thesetting oftemperatures isimportant tomakethealgorithm efficient because this setting controls theexchange ratio, withwhichtheposition exchange between twosequences isaccepted. However, themathematical foundation ofexchange MC methodhasnotyetbeenestab- lished. Inthispaper, we rigorously provethemathematical relation between thesymmetrized Kullback divergence andthe exchange ratio, bywhichtheoptimal setting oftemperatures isdevised.