Automatic differentiation for error analysis of Monte Carlo data

DOI10.1016/J.CPC.2018.12.020MaRDI QIDQ6042317zbMATH OpenWikidataFDO

Authors

Publication date 10 May 2023

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.01289

zbMATH Keywords

error analysislattice QCDMonte Carlo

Mathematics Subject Classification ID

Numerical analysis (65-XX) Mechanics of deformable solids (74-XX)

Abstract: Automatic Differentiation (AD) allows to determine exactly the Taylor series of any function truncated at any order. Here we propose to use AD techniques for Monte Carlo data analysis. We discuss how to estimate errors of a general function of measured observables in different Monte Carlo simulations. Our proposal combines the $Gamma$-method with Automatic differentiation, allowing exact error propagation in arbitrary observables, even those defined via iterative algorithms. The case of special interest where we estimate the error in fit parameters is discussed in detail. We also present a freely available fortran reference implementation of the ideas discussed in this work.

Cites work

• Critical slowing down and error analysis in lattice QCD simulations
• Evaluating Derivatives
• Mixed-language automatic differentiation
• Taylor expansion of the accumulated rounding error
• The pivot algorithm: a highly efficient Monte Carlo method for the self-avoiding walk.

Cited in

(5)

• Nuclear matrix elements from lattice QCD for electroweak and beyond-standard-model processes
• Lattice determinations of the strong coupling
• Sampling the lattice Nambu-Goto string using Continuous Normalizing Flows
• Non-perturbative renormalisation and improvement of non-singlet tensor currents in \(N_{\mathrm{f}} = 3\) QCD
• Stochastic automatic differentiation for Monte Carlo processes

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