Convergence of Adaptive Biasing Potential methods for diffusions
  We prove the consistency of an adaptive importance sampling strategy based on biasing the potential energy function $V$ of a diffusion process $dX_t^0=-\nabla V(X_t^0)dt+dW_t$; for the sake of simplicity, periodic boundary conditions are assumed, so that $X_t^0$ lives on the flat $d$-dimensional torus. The goal is to sample its invariant distribution $\mu=Z^{-1}\exp\bigl(-V(x)\bigr)\,dx$. The bias $V_t-V$, where $V_t$ is the new (random and time-dependent) potential function, acts only on some coordinates of the system, and is designed to flatten the corresponding empirical occupation measure of the diffusion $X$ in the large time regime.   The diffusion process writes $dX_t=-\nabla V_t(X_t)dt+dW_t$, where the bias $V_t-V$ is function of the key quantity $\overline{\mu}_t$: a probability occupation measure which depends on the past of the process, {\it i.e.} on $(X_s)_{s\in [0,t]}$. We are thus dealing with a self-interacting diffusion.   In this note, we prove that when $t$ goes to infinity, $\overline{\mu}_t$ almost surely converges to $\mu$. Moreover, the approach is justified by the convergence of the bias to a limit which has an intepretation in terms of a free energy.   The main argument is a change of variables, which formally validates the consistency of the approach. The convergence is then rigorously proven adapting the ODE method from stochastic approximation. 
Michel Bena\"im, Charles-Edouard Br\'ehier
math.PR stat.CO