  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.
