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arXiv · 1407.5343

Efficiency of Monte Carlo Sampling in Chaotic Systems

Jorge C. Leitão·Eduardo G. Altmann·J. M. Viana Parente Lopes
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Abstract

In this paper we investigate how the complexity of chaotic phase spaces affect the efficiency of importance sampling Monte Carlo simulations. We focus on a flat-histogram simulation of the distribution of finite-time Lyapunov exponent in a simple chaotic system and obtain analytically that the computational effort of the simulation: (i) scales polynomially with the finite-time, a tremendous improvement over the exponential scaling obtained in usual uniform sampling simulations; and (ii) the polynomial scaling is sub-optimal, a phenomenon known as critical slowing down. We show that critical slowing down appears because of the limited possibilities to issue a local proposal on the Monte Carlo procedure in chaotic systems. These results remain valid in other methods and show how generic properties of chaotic systems limit the efficiency of Monte Carlo simulations.

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Jorge C. Leitão, Eduardo G. Altmann, J. M. Viana Parente Lopes. 2014-07-20. Efficiency of Monte Carlo Sampling in Chaotic Systems. https://doi.org/10.1103/physreve.90.052916

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