I wanted to expand on Anthony's explanation of weights because this topic is confusing.
To get the big picture, first forget about weights. Imagine you have infinite computing power: you can start a large number of trajectories from any distribution of initial points (or all from the same point) and you can check on them at any later time
(see Fig. 1 from our Annual Reviews article). At any given time, some regions of configuration have more trajectories and some have fewer - there is a distribution that results from diffusion-like behavior in the systems energy landscape.
Weighted ensemble mimics this trajectory spreading without bias, but because it only uses a finite number of trajectories, it uses weights to indicate the relative importance of any given region at any time. (The total probability of a finite region would
be the sum of weights in that region, analogous to the fraction of unweighted trajectories in the infinite computing example.)
So in the most basic sense, the weights at any point in time give you information about the configurational distribution at that time.
But WE also tells you about the trajectory ensemble, again in an unbiased way. If you take the set of weighted trajectories at any time (using the weights at this time exclusively), you can trace them backwards in time to some earlier time point, and
that will be a true representative ensemble of trajectories connecting that earlier distribution (of configurations/phase-space points) to the later distribution. Note that this procedure likely will not include all WE trajectories because some will have been
pruned/or merged at an intermediate time point. Nevertheless, the back-tracing procedure yields an unbiased ensemble of trajectories consistent with the weights at the final time point. Hence, in this *trajectory* ensemble, the weight of every trajectory
stays constant in time - same at the beginning as at the end (regardless of what weights might have been attached to those segments earlier in the WE run). Note that the back-tracing procedure may include 'splitting' events but the two daughter trajectories
each get traced back separately and count as separate trajectories, each with its own weight from the final time. (Such partially duplicated trajectories - i.e., same until 'split' - do not create statistical bias, bu they do reflect correlations in the ensemble
... which can lead to variance ... which is a separate subject.)
Sorry I don't have a handy figure for this latter discussion. Try making your own. It will be a good exercise.
Hope that is helpful. --Dan