Irreversible Monte Carlo algorithms for efficient sampling

DOI10.1016/J.PHYSD.2010.10.003zbMATH Open1216.82022arXiv0809.0916OpenAlexW1810379097MaRDI QIDQ629029FDOQ629029

Authors: Konstantin S. Turitsyn, Michael Chertkov, Marija Vucelja 

Publication date: 8 March 2011

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

Abstract: Equilibrium systems evolve according to Detailed Balance (DB). This principe guided development of the Monte-Carlo sampling techniques, of which Metropolis-Hastings (MH) algorithm is the famous representative. It is also known that DB is sufficient but not necessary. We construct irreversible deformation of a given reversible algorithm capable of dramatic improvement of sampling from known distribution. Our transformation modifies transition rates keeping the structure of transitions intact. To illustrate the general scheme we design an Irreversible version of Metropolis-Hastings (IMH) and test it on example of a spin cluster. Standard MH for the model suffers from the critical slowdown, while IMH is free from critical slowdown.

Full work available at URL: https://arxiv.org/abs/0809.0916

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zbMATH Keywords

mixingMonte Carlo methodsMarkov Chain Monte Carlo algorithm

Mathematics Subject Classification ID

Phase transitions (general) in equilibrium statistical mechanics (82B26) Statistical mechanics of magnetic materials (82D40)

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Cited In (34)

• Speed up Zig-Zag
• Reducing rejection exponentially improves Markov chain Monte Carlo sampling
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• Geometric allocation approach for the transition kernel of a Markov chain
• Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains
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• Non-reversible Metropolis-Hastings
• Non-reversible Monte Carlo simulations of spin models
• Characterizing limits and opportunities in speeding up Markov chain mixing
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• Geometric ergodicity of the bouncy particle sampler
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• On Irreversible Metropolis Sampling Related to Langevin Dynamics
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Direction-sweep Markov chains
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• A note on the polynomial ergodicity of the one-dimensional Zig-Zag process
• Kinetic walks for sampling
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• Numerical studies for an ab initio investigation into the Boltzmann prescription in statistical mechanics of large systems
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