Go with the winners: a general Monte Carlo strategy

DOI10.1016/S0010-4655(02)00205-9zbMATH Open1002.65004arXivcond-mat/0201313MaRDI QIDQ696401FDOQ696401

P. Grassberger

Publication date: 12 September 2002

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

Abstract: We describe a general strategy for sampling configurations from a given distribution, NOT based on the standard Metropolis (Markov chain) strategy. It uses the fact that nontrivial problems in statistical physics are high dimensional and often close to Markovian. Therefore, configurations are built up in many, usually biased, steps. Due to the bias, each configuration carries its weight which changes at every step. If the bias is close to optimal, all weights are similar and importance sampling is perfect. If not, ``population control" is applied by cloning/killing partial configurations with too high/low weight. This is done such that the final (weighted) distribution is unbiased. We apply this method (which is also closely related to diffusion type quantum Monte Carlo) to several problems of polymer statistics, reaction-diffusion models, sequence alignment, and percolation.

Full work available at URL: https://arxiv.org/abs/cond-mat/0201313

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zbMATH Keywords

Markov chainquantum Monte Carlopercolationreaction-diffusion systemspolymersstatistical physicssequence alignmentlattice animalspruned-enriched Rosenbluth methodsequential Monte Carlo simulations with resampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Statistical mechanics of polymers (82D60)

Cites Work

• Monte Carlo strategies in scientific computing
• Depth-First Search and Linear Graph Algorithms
• On the number of incipient spanning clusters
• Phase transitions of single semistiff polymer chains
• Two-dimensional oriented self-avoiding walks with parallel contacts

Cited In (18)

• Fast Approximation of the $p$-Radius, Matrix Pressure, or Generalized Lyapunov Exponent for Positive and Dominated Matrices
• Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
• Adaptive sampling of large deviations
• Breakdown of the finite-time and -population scalings of the large deviation function in the large-size limit of a contact process
• Limit theorems for cloning algorithms
• On the stability of positive semigroups
• Efficient large deviation estimation based on importance sampling
• Rare event simulation for stochastic dynamics in continuous time
• A review of Monte Carlo simulations of polymers with PERM
• Computing return times or return periods with rare event algorithms
• Rare-event simulation for neural network and random forest predictors
• Effective driven dynamics for one-dimensional conditioned Langevin processes in the weak-noise limit
• Monte Carlo methods for rough free energy landscapes: population annealing and parallel tempering
• Simulating rare events in dynamical processes
• GPU accelerated population annealing algorithm
• Instanton based importance sampling for rare events in stochastic PDEs
• Efficient characterisation of large deviations using population dynamics
• Numerical study of extreme mechanical force exerted by a turbulent flow on a bluff body by direct and rare-event sampling techniques

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