Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics

DOI10.1088/1751-8121/ACD829MaRDI QIDQ6162532zbMATH OpenOpenAlexFDO

Authors Alexei D. Chepelianskii, Satya N. Majumdar, Hendrik Schawe, Emmanuel Trizac

Publication date 15 June 2023

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

Full work available at URL https://arxiv.org/abs/2303.08535

zbMATH Keywords

Metropolis algorithmMonte Carlorelaxation of Markov chains

Mathematics Subject Classification ID

Quantum theory (81-XX) Statistical mechanics, structure of matter (82-XX)

Abstract: We study analytically the relaxation eigenmodes of a simple Monte Carlo algorithm, corresponding to a particle in a box which moves by uniform random jumps. Moves outside of the box are rejected. At long times, the system approaches the equilibrium probability density, which is uniform inside the box. We show that the relaxation towards this equilibrium is unusual: for a jump length comparable to the size of the box, the number of relaxation eigenmodes can be surprisingly small, one or two. We provide a complete analytic description of the transition between these two regimes. When only a single relaxation eigenmode is present, a suitable choice of the symmetry of the initial conditions gives a localizing decay to equilibrium. In this case, the deviation from equilibrium concentrates at the edges of the box where the rejection probability is maximal. Finally, in addition to the relaxation analysis of the master equation, we also describe the full eigen-spectrum of the master equation including its sub-leading eigen-modes.

Recommendations

• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• About relaxation time of finite generalized Metropolis algorithms
• Monte Carlo algorithms based on the number of potential moves
• Relaxation dynamics in small clusters: A modified Monte Carlo approach
• Note on Monte Carlo methods without necessary detailed balance.

Cites work

• A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases
• A guide to Monte Carlo simulations in statistical physics
• Escape of a uniform random walk from an interval
• General state space Markov chains and MCMC algorithms
• Geometric analysis for the Metropolis algorithm on Lipschitz domains
• Gibbs/Metropolis algorithms on a convex polytope
• scientific article; zbMATH DE number 1818854 (Why is no real title available?)
• scientific article; zbMATH DE number 2038320 (Why is no real title available?)
• scientific article; zbMATH DE number 1782878 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• scientific article; zbMATH DE number 6789886 (Why is no real title available?)
• Markov chains and mixing times. With a chapter on ``Coupling from the past by James G. Propp and David B. Wilson.
• Micro-local analysis for the Metropolis algorithm
• Numerical Results for the Metropolis Algorithm
• One-dimensional Monte Carlo dynamics at zero temperature
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Optimum Monte Carlo simulations: some exact results
• Optimum Monte-Carlo sampling using Markov chains
• Pattern recognition and machine learning.
• Quantum Monte Carlo approaches for correlated systems
• Statistical mechanics: Algorithms and computations. With CD-ROM.
• The Markov chain Monte Carlo revolution
• The Monte Carlo Method
• Weak convergence and optimal scaling of random walk Metropolis algorithms

This page was built for publication: Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6162532)