No Arabic abstract
Annealed importance sampling is a means to assign equilibrium weights to a nonequilibrium sample that was generated by a simulated annealing protocol. The weights may then be used to calculate equilibrium averages, and also serve as an ``adiabatic signature of the chosen cooling schedule. In this paper we demonstrate the method on the 50-atom dileucine peptide, showing that equilibrium distributions are attained for manageable cooling schedules. For this system, as naively implemented here, the method is modestly more efficient than constant temperature simulation. However, the method is worth considering whenever any simulated heating or cooling is performed (as is often done at the beginning of a simulation project, or during an NMR structure calculation), as it is simple to implement and requires minimal additional CPU expense. Furthermore, the naive implementation presented here can be improved.
Annealed importance sampling (AIS) and related algorithms are highly effective tools for marginal likelihood estimation, but are not fully differentiable due to the use of Metropolis-Hastings (MH) correction steps. Differentiability is a desirable property as it would admit the possibility of optimizing marginal likelihood as an objective using gradient-based methods. To this end, we propose a differentiable AIS algorithm by abandoning MH steps, which further unlocks mini-batch computation. We provide a detailed convergence analysis for Bayesian linear regression which goes beyond previous analyses by explicitly accounting for non-perfect transitions. Using this analysis, we prove that our algorithm is consistent in the full-batch setting and provide a sublinear convergence rate. However, we show that the algorithm is inconsistent when mini-batch gradients are used due to a fundamental incompatibility between the goals of last-iterate convergence to the posterior and elimination of the pathwise stochastic error. This result is in stark contrast to our experience with stochastic optimization and stochastic gradient Langevin dynamics, where the effects of gradient noise can be washed out by taking more steps of a smaller size. Our negative result relies crucially on our explicit consideration of convergence to the stationary distribution, and it helps explain the difficulty of developing practically effective AIS-like algorithms that exploit mini-batch gradients.
We present a generic path-dependent importance sampling algorithm where the Girsanov induced change of probability on the path space is represented by a sequence of neural networks taking the past of the trajectory as an input. At each learning step, the neural networks parameters are trained so as to reduce the variance of the Monte Carlo estimator induced by this change of measure. This allows for a generic path dependent change of measure which can be used to reduce the variance of any path-dependent financial payoff. We show in our numerical experiments that for payoffs consisting of either a call, an asymmetric combination of calls and puts, a symmetric combination of calls and puts, a multi coupon autocall or a single coupon autocall, we are able to reduce the variance of the Monte Carlo estimators by factors between 2 and 9. The numerical experiments also show that the method is very robust to changes in the parameter values, which means that in practice, the training can be done offline and only updated on a weekly basis.
We consider estimating the marginal likelihood in settings with independent and identically distributed (i.i.d.) data. We propose estimating the predictive distributions in a sequential factorization of the marginal likelihood in such settings by using stochastic gradient Markov Chain Monte Carlo techniques. This approach is far more efficient than traditional marginal likelihood estimation techniques such as nested sampling and annealed importance sampling due to its use of mini-batches to approximate the likelihood. Stability of the estimates is provided by an adaptive annealing schedule. The resulting stochastic gradient annealed importance sampling (SGAIS) technique, which is the key contribution of our paper, enables us to estimate the marginal likelihood of a number of models considerably faster than traditional approaches, with no noticeable loss of accuracy. An important benefit of our approach is that the marginal likelihood is calculated in an online fashion as data becomes available, allowing the estimates to be used for applications such as online weighted model combination.
We construct a one-bead-per-residue coarse-grained dynamical model to describe intrinsically disordered proteins at significantly longer timescales than in the all-atom models. In this model, inter-residue contacts form and disappear during the course of the time evolution. The contacts may arise between the sidechains, the backbones or the sidechains and backbones of the interacting residues. The model yields results that are consistent with many all-atom and experimental data on these systems. We demonstrate that the geometrical properties of various homopeptides differ substantially in this model. In particular, the average radius of gyration scales with the sequence length in a residue-dependent manner.
RNA/protein interactions play crucial roles in controlling gene expression. They are becoming important targets for pharmaceutical applications. Due to RNA flexibility and to the strength of electrostatic interactions, standard docking methods are insufficient. We here present a computational method which allows studying the binding of RNA molecules and charged peptides with atomistic, explicit-solvent molecular dynamics. In our method, a suitable estimate of the electrostatic interaction is used as an order parameter (collective variable) which is then accelerated using bi-directional pulling simulations. Since the electrostatic interaction is only used to enhance the sampling, the approximations used to compute it do not affect the final accuracy. The method is employed to characterize the binding of TAR RNA from HIV-1 and a small cyclic peptide. Our simulation protocol allows blindly predicting the binding pocket and pose as well as the binding affinity. The method is general and could be applied to study other electrostatics-driven binding events.