Reducing rejection exponentially improves Markov chain Monte Carlo sampling

DOI10.1016/J.PHYSA.2023.129368arXiv2208.03935OpenAlexW4388672943MaRDI QIDQ6140171FDOQ6140171

Authors: Hidemaro Suwa 

Publication date: 19 January 2024

Published in: Physica A (Search for Journal in Brave)

Abstract: The choice of the transition kernel essentially determines the performance of the Markov chain Monte Carlo method. Despite the importance of kernel choice, guiding principles for optimal kernels have not been established. We here propose a rejection-controlling one-parameter transition kernel that can be applied to various Monte Carlo samplings and demonstrate that the rejection process plays a major role in determining the sampling efficiency. Varying the rejection probability, we study the autocorrelation time of the order parameter in the two- and three-dimensional ferromagnetic Potts models at the transition temperature. As the rejection rate is reduced, the autocorrelation time decreases exponentially in the sequential spin update and algebraically in the random spin update. The autocorrelation times of conventional algorithms almost fall on a single curve as a function of the rejection rate. The present transition kernel with an optimal parameter provides one of the most efficient samplers for general cases of discrete variables.

Full work available at URL: https://arxiv.org/abs/2208.03935

zbMATH Keywords

Monte Carlo methodPotts modelrejectioncritical phenomenaprobability optimization

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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