Improved diffusion Monte Carlo

Martin Hairer; Jonathan Weare

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arXiv · 1207.2866

Improved diffusion Monte Carlo

Martin Hairer·Jonathan Weare

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Abstract

We propose a modification, based on the RESTART (repetitive simulation trials after reaching thresholds) and DPR (dynamics probability redistribution) rare event simulation algorithms, of the standard diffusion Monte Carlo (DMC) algorithm. The new algorithm has a lower variance per workload, regardless of the regime considered. In particular, it makes it feasible to use DMC in situations where the "na\"ive" generalisation of the standard algorithm would be impractical, due to an exponential explosion of its variance. We numerically demonstrate the effectiveness of the new algorithm on a standard rare event simulation problem (probability of an unlikely transition in a Lennard-Jones cluster), as well as a high-frequency data assimilation problem.

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BibTeX RIS

Martin Hairer, Jonathan Weare. 2012-07-12. Improved diffusion Monte Carlo. https://arxiv.org/abs/1207.2866

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