A new method of calculating absolute free energies is presented. It was developed as an extension to the expanded ensemble molecular dynamics scheme and uses probability density estimation to continuously optimize the expanded ensemble parameters. The new method is much faster as it removes the time-consuming and expertise-requiring step of determining balancing factors. Its efficiency and accuracy are demonstrated for the dissolution of three qualitatively very different chemical species in water: methane, ionic salts, and benzylamine. A recently suggested optimization scheme by Wang and Landau [Phys. Rev. Lett. 86, 2050 (2001)] was also implemented and found to be computationally less efficient than the proposed adaptive expanded ensemble method. (C) 2004 American Institute of Physics.