A general limitation on Monte Carlo algorithms of the Metropolis type

DOI10.1103/PHYSREVLETT.72.179MaRDI QIDQ4492260zbMATH OpenOpenAlexWikidataFDO

Authors Sergio Caracciolo, Andrea Pelissetto, Alan D. Sokal

Publication date 16 July 2000

Published in Physical Review Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/hep-lat/9307021

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: We prove that for any Monte Carlo algorithm of Metropolis type, the autocorrelation time of a suitable ``energy-like observable is bounded below by a multiple of the corresponding ``specific heat. This bound does not depend on whether the proposed moves are local or non-local; it depends only on the distance between the desired probability distribution $pi$ and the probability distribution $p{i}^{(0)}$ for which the proposal matrix satisfies detailed balance. We show, with several examples, that this result is particularly powerful when applied to non-local algorithms.

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Cites work

• Monte Carlo sampling methods using Markov chains and their applications
• Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.
• The pivot algorithm: a highly efficient Monte Carlo method for the self-avoiding walk.

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