Since its first description fifty years ago, the Metropolis Monte Carlo method has been used in a variety of different ways for the simulation of continuum quantum many-body systems. This paper will consider some of the generalizations of the Metropolis algorithm employed in quantum Monte Carlo: Variational Monte Carlo, dynamical methods for projector monte carlo ({\it i.e.} diffusion Monte Carlo with rejection), multilevel sampling in path integral Monte Carlo, the sampling of permutations, cluster methods for lattice models, the penalty method for coupled electron-ionic systems and the Bayesian analysis of imaginary time correlation functions.
The Metropolis Monte Carlo algorithm with the Finite Element method applied to compute electrostatic interaction energy between charge densities is described in this work. By using the Finite Element method to integrate numerically the Poisson's equation, it is shown that the computing time to obtain the acceptance probability of an elementary trial move does not, in principle, depend on the number of charged particles present in the system.
Single-particle imaging with X-ray free-electron lasers depends crucially on algorithms that merge large numbers of weak diffraction patterns despite missing measurements of parameters such as particle orientations. The Expand-Maximize-Compress (EMC) algorithm is highly effective at merging single-particle diffraction patterns with missing orientation values, but most implementations exhaustively sample the space of missing parameters and may become computationally prohibitive as the number of degrees of freedom extend beyond orientation angles. Here we describe how the EMC algorithm can be mo…
A permanent challenge in physics and other disciplines is to solve partial differential equations, thereby a beneficial investigation is to continue searching for new procedures to do it. In this Letter, a novel Monte-Carlo Metropolis framework is presented for solving the equations of motion in Lagrangian systems. The implementation lies in sampling the paths space with a probability functional obtained by using the maximum caliber principle. The methodology was applied to the free particle and the harmonic oscillator problems, where the numerically-averaged path obtained from the Monte-Carlo…
We propose a new algorithm based on the Metropolis sampling method to perform Monte Carlo integration for path integrals in the recently proposed formulation of quantum field theories on the Lefschetz thimble. The algorithm is based on a mapping between the curved manifold defined by the Lefschetz thimble of the full action and the flat manifold associated with the corresponding quadratic action. We discuss an explicit method to calculate the residual phase due to the curvature of the Lefschetz thimble. Finally, we apply this new algorithm to a simple one-plaquette model where our results are …
A cell lists method based on doubly linked lists and with complexity O(N) is developed for particle deletion and insertion in reaction ensemble Monte Carlo simulation. Because the random move in Metropolis algorithm can be reduced to particle deletion at old position and particle insertion at new position, so this method can be also used in Metropolis algorithm. In addition, nonlocal move, common in Monte Carlo simulation of polymers, such as kink-jump, pivot, reptation move and the retrace and regrow of chains in configurational biased Monte Carlo often cause the failure of Verlet lists metho…
In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to simulate larger systems. The longer-time algorithm focused on is the Monte Carlo with Absorbing Markov Chains (MCAMC) algorithm. It is applied to metastability of an Ising model on a small-world network. Simulations of larger systems often require the use of non-trivial parallelization. Non-trivial parallelization of dynamic Monte Carlo is shown to allow perf…
The Metropolis-Hastings (MH) algorithm is the prototype for a class of Markov chain Monte Carlo methods that propose transitions between states and then accept or reject the proposal. These methods generate a correlated sequence of random samples that convey information about the desired probability distribution. Deciding how this information gets recorded is an important step in the practical design of MH-class algorithm implementations. Many implementations discard most of this information in order to reduce demands on storage capacity and disk writing throughput. Here, we describe how recor…
We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements, where deviations from a diffusive process are most prominent. We search for initial conditions using a proposal that correlates states in the Markov chain constructed via a Metropolis-Hastings algorithm. We show that our method outperforms the direct sampling method and also Metropolis-Hastings methods with alternative proposals. We test our general method t…
We design and implement HPMC, a scalable hard particle Monte Carlo simulation toolkit, and release it open source as part of HOOMD-blue. HPMC runs in parallel on many CPUs and many GPUs using domain decomposition. We employ BVH trees instead of cell lists on the CPU for fast performance, especially with large particle size disparity, and optimize inner loops with SIMD vector intrinsics on the CPU. Our GPU kernel proposes many trial moves in parallel on a checkerboard and uses a block-level queue to redistribute work among threads and avoid divergence. HPMC supports a wide variety of shape clas…
We propose a modified power method for computing the subdominant eigenvalue $λ_2$ of a matrix or continuous operator. Here we focus on defining simple Monte Carlo methods for its application. The methods presented use random walkers of mixed signs to represent the subdominant eigenfuction. Accordingly, the methods must cancel these signs properly in order to sample this eigenfunction faithfully. We present a simple procedure to solve this sign problem and then test our Monte Carlo methods by computing the $λ_2$ of various Markov chain transition matrices. We first computed ${λ_2}$ for several …
Hybrid Monte Carlo (HMC) generates samples from a prescribed probability distribution in a configuration space by simulating Hamiltonian dynamics, followed by the Metropolis (-Hastings) acceptance/rejection step. Compressible HMC (CHMC) generalizes HMC to a situation in which the dynamics is reversible but not necessarily Hamiltonian. This article presents a framework to further extend the algorithm. Within the existing framework, each trajectory of the dynamics must be integrated for the same amount of (random) time to generate a valid Metropolis proposal. Our generalized acceptance/rejection…
There has been considerable interest in designing Markov chain Monte Carlo algorithms by exploiting numerical methods for Langevin dynamics, which includes Hamiltonian dynamics as a deterministic case. A prominent approach is Hamiltonian Monte Carlo (HMC), where a leapfrog discretization of Hamiltonian dynamics is employed. We investigate a recently proposed class of irreversible sampling algorithms, called Hamiltonian assisted Metropolis sampling (HAMS), which uses an augmented target density similarly as in HMC, but involves a flexible proposal scheme and a carefully formulated acceptance-re…
To minimise systematic errors in Monte Carlo simulations of charged particles, long range electrostatic interactions have to be calculated accurately and efficiently. Standard approaches, such as Ewald summation or the naive application of the classical Fast Multipole Method, result in a cost per Metropolis-Hastings step which grows in proportion to some positive power of the number of particles $N$ in the system. This prohibitively large cost prevents accurate simulations of systems with a sizeable number of particles. Currently, large systems are often simulated by truncating the Coulomb pot…
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility variables of the SV model. First we compute parameters of the SV model by using the artificial financial data and compare the results from the HMC algorithm with those from the Metropolis algorithm. We find that the HMC algorithm decorrelates the volatility variables faster than the Metropolis algorithm. Second we make an empirical study for the time series of the Nikkei 225 stock index by the HMC a…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov chain, Metropolis algorithm, continuous phase transition, statistical errors from correlated and uncorrelated data, finite size scaling, n-fold way, critical slowing down, blocking technique,percolation, cluster algorithms, cluster counting, histogram techniques, entropic/multicanonical Monte Carlo, Wang-Landau algorith and Jarzynski's identity.
We introduce a multiscale Monte Carlo algorithm to simulate dense simple fluids. The probability of an update follows a power law distribution in its length scale. The collective motion of clusters of particles requires generalization of the Metropolis update rule to impose detailed balance. We apply the method to the simulation of a Lennard-Jones fluid and show improvements in efficiency over conventional Monte Carlo and molecular dynamics, eliminating hydrodynamic slowing down.
This paper is a tutorial and literature review on sampling algorithms. We have two main types of sampling in statistics. The first type is survey sampling which draws samples from a set or population. The second type is sampling from probability distribution where we have a probability density or mass function. In this paper, we cover both types of sampling. First, we review some required background on mean squared error, variance, bias, maximum likelihood estimation, Bernoulli, Binomial, and Hypergeometric distributions, the Horvitz-Thompson estimator, and the Markov property. Then, we explai…
