Multicanonical sampling of rare events in random matrices

Nen Saito; Yukito Iba; Koji Hukushima

doi:10.1103/physreve.82.031142

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arXiv · 1002.4499

Multicanonical sampling of rare events in random matrices

Nen Saito·Yukito Iba·Koji Hukushima

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Abstract

A method based on multicanonical Monte Carlo is applied to the calculation of large deviations in the largest eigenvalue of random matrices. The method is successfully tested with the Gaussian orthogonal ensemble (GOE), sparse random matrices, and matrices whose components are subject to uniform density. Specifically, the probability that all eigenvalues of a matrix are negative is estimated in these cases down to the values of $\sim 10^{-200}$, a region where naive random sampling is ineffective. The method can be applied to any ensemble of matrices and used for sampling rare events characterized by any statistics.

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BibTeX RIS

Nen Saito, Yukito Iba, Koji Hukushima. 2010-02-24. Multicanonical sampling of rare events in random matrices. https://doi.org/10.1103/physreve.82.031142

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