3,991 research outputs found

    Fast randomized iteration: diffusion Monte Carlo through the lens of numerical linear algebra

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    We review the basic outline of the highly successful diffusion Monte Carlo technique commonly used in contexts ranging from electronic structure calculations to rare event simulation and data assimilation, and propose a new class of randomized iterative algorithms based on similar principles to address a variety of common tasks in numerical linear algebra. From the point of view of numerical linear algebra, the main novelty of the Fast Randomized Iteration schemes described in this article is that they work in either linear or constant cost per iteration (and in total, under appropriate conditions) and are rather versatile: we will show how they apply to solution of linear systems, eigenvalue problems, and matrix exponentiation, in dimensions far beyond the present limits of numerical linear algebra. While traditional iterative methods in numerical linear algebra were created in part to deal with instances where a matrix (of size O(n2)\mathcal{O}(n^2)) is too big to store, the algorithms that we propose are effective even in instances where the solution vector itself (of size O(n)\mathcal{O}(n)) may be too big to store or manipulate. In fact, our work is motivated by recent DMC based quantum Monte Carlo schemes that have been applied to matrices as large as 10108Ă—1010810^{108} \times 10^{108}. We provide basic convergence results, discuss the dependence of these results on the dimension of the system, and demonstrate dramatic cost savings on a range of test problems.Comment: 44 pages, 7 figure

    French Roadmap for complex Systems 2008-2009

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    This second issue of the French Complex Systems Roadmap is the outcome of the Entretiens de Cargese 2008, an interdisciplinary brainstorming session organized over one week in 2008, jointly by RNSC, ISC-PIF and IXXI. It capitalizes on the first roadmap and gathers contributions of more than 70 scientists from major French institutions. The aim of this roadmap is to foster the coordination of the complex systems community on focused topics and questions, as well as to present contributions and challenges in the complex systems sciences and complexity science to the public, political and industrial spheres
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