Monte Carlo sampling in diffusive dynamical systems

DOI10.1063/1.5025627MaRDI QIDQ4575492zbMATH OpenOpenAlexWikidataFDO

Authors Diego Tapias, David P. Sanders, Eduardo G. Altmann

Publication date 13 July 2018

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.06698

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Simulation of dynamical systems (37M05) Approximation methods and numerical treatment of dynamical systems (37M99)

Abstract: 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 through numerical simulations in 1D (box-map) and 2D (Lorentz gas) systems.

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Cited in

(9)

• Importance sampling in rigid body diffusion Monte Carlo
• On the possibility of track length based Monte-Carlo algorithms for stationary drift-diffusion systems with sources and sinks
• Chaos and Monte Carlo approximations of the Flip-annihilation process
• scientific article; zbMATH DE number 2050851 (Why is no real title available?)
• Large deviations and importance sampling for systems of slow-fast motion
• Taming chaos to sample rare events: the effect of weak chaos
• Multicanonical sampling of rare trajectories in chaotic dynamical systems
• Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems
• Inverse relationship between diffusion coefficient and mass for a free particle system: approach by using maximum caliber principle and Monte Carlo simulations

Describes a project that uses

Uses Software

• Dynamicalbilliards.jl

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