Direction-sweep Markov chains

DOI10.1088/1751-8121/AC508AMaRDI QIDQ5049692zbMATH OpenOpenAlexFDO

Authors Liang Qin, Philipp Höllmer, Werner Krauth

Publication date 11 November 2022

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.15615

zbMATH Keywords

stochastic processesMonte Carlo methodsLangevin equationnon-reversible Markov chains

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods applied to problems in statistical mechanics (82M31)

Abstract: We discuss a non-reversible, lifted Markov-chain Monte Carlo (MCMC) algorithm for particle systems in which the direction of proposed displacements is changed deterministically. This algorithm sweeps through directions analogously to the popular MCMC sweep methods for particle or spin indices. Direction-sweep MCMC can be applied to a wide range of original reversible or non-reversible Markov chains, such as the Metropolis algorithm or the event-chain Monte Carlo algorithm. For a single two-dimensional dipole, we consider direction-sweep MCMC in the limit where restricted equilibrium is reached among the accessible configurations before changing the direction. We show rigorously that direction-sweep MCMC leaves the stationary probability distribution unchanged, and that it profoundly modifies the Markov-chain trajectory. Long excursions, with persistent rotation in one direction, alternate with long sequences of rapid zigzags resulting in persistent rotation in the opposite direction in the limit of small direction increments. The mapping to a Langevin equation then yields the exact scaling of excursions while the zigzags are described through a non-linear differential equation that is solved exactly. We show that the direction-sweep algorithm can have shorter mixing times than the algorithms with random updates of directions. We point out possible applications of direction-sweep MCMC in polymer physics and in molecular simulation.

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Cited in

(1)

• PDMP characterisation of event-chain Monte Carlo algorithms for particle systems

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