Abstract
We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighbouring replicas. The use of collective dynamics eliminates multiplicative noise and stabilizes the dynamics, thus providing a practical approach to difficult anisotropic sampling problems in high dimensions. Numerical experiments with model problems demonstrate that dramatic potential speedups, compared to various alternative schemes, are attainable. © 2017, The Author(s).