Simple Monte Carlo and the Metropolis Algorithm

We study the integration of functions with respect to an unknown density. We compare the simple Monte Carlo method (which is almost optimal for a certain large class of inputs) and compare it with the Metropolis algorithm (based on a suitable ball walk). Using MCMC we prove (for certain classes of inputs) that adaptive methods are much better than nonadaptive ones. Actually, the curse of dimension (for nonadaptive methods) can be broken by adaption.Comment: Journal of Complexity, to appea

Simple Monte Carlo and the metropolis algorithm

We study the integration of functions with respect to an unknown density. Information is available as oracle calls to the integrand and to the non-normalized density function. We are interested in analyzing the integration error of optimal algorithms (or the complexity of the problem) with emphasis on the variability of the weight function. For a corresponding large class of problem instances we show that the complexity grows linearly in the variability, and the simple Monte Carlo method provides an almost optimal algorithm. Under additional geometric restrictions (mainly log-concavity) for the density functions, we establish that a suitable adaptive local Metropolis algorithm is almost optimal and outperforms any non-adaptive algorithm

Universality of the Ising and the S=1 model on Archimedean lattices: A Monte Carlo determination

The Ising model S=1/2 and the S=1 model are studied by efficient Monte Carlo schemes on the (3,4,6,4) and the (3,3,3,3,6) Archimedean lattices. The algorithms used, a hybrid Metropolis-Wolff algorithm and a parallel tempering protocol, are briefly described and compared with the simple Metropolis algorithm. Accurate Monte Carlo data are produced at the exact critical temperatures of the Ising model for these lattices. Their finite-size analysis provide, with high accuracy, all critical exponents which, as expected, are the same with the well known 2d Ising model exact values. A detailed finite-size scaling analysis of our Monte Carlo data for the S=1 model on the same lattices provides very clear evidence that this model obeys, also very well, the 2d Ising model critical exponents. As a result, we find that recent Monte Carlo simulations and attempts to define effective dimensionality for the S=1 model on these lattices are misleading. Accurate estimates are obtained for the critical amplitudes of the logarithmic expansions of the specific heat for both models on the two Archimedean lattices.Comment: 9 pages, 11 figure

Comparative Monte Carlo Efficiency by Monte Carlo Analysis

We propose a modified power method for computing the subdominant eigenvalue $\lambda_2$ of a matrix or continuous operator. Here we focus on defining simple Monte Carlo methods for its application. The methods presented use random walkers of mixed signs to represent the subdominant eigenfuction. Accordingly, the methods must cancel these signs properly in order to sample this eigenfunction faithfully. We present a simple procedure to solve this sign problem and then test our Monte Carlo methods by computing the $\lambda_2$ of various Markov chain transition matrices. We first computed ${\lambda_2}$ for several one and two dimensional Ising models, which have a discrete phase space, and compared the relative efficiencies of the Metropolis and heat-bath algorithms as a function of temperature and applied magnetic field. Next, we computed $\lambda_2$ for a model of an interacting gas trapped by a harmonic potential, which has a mutidimensional continuous phase space, and studied the efficiency of the Metropolis algorithm as a function of temperature and the maximum allowable step size $\Delta$. Based on the $\lambda_2$ criterion, we found for the Ising models that small lattices appear to give an adequate picture of comparative efficiency and that the heat-bath algorithm is more efficient than the Metropolis algorithm only at low temperatures where both algorithms are inefficient. For the harmonic trap problem, we found that the traditional rule-of-thumb of adjusting $\Delta$ so the Metropolis acceptance rate is around 50% range is often sub-optimal. In general, as a function of temperature or $\Delta$, $\lambda_2$ for this model displayed trends defining optimal efficiency that the acceptance ratio does not. The cases studied also suggested that Monte Carlo simulations for a continuum model are likely more efficient than those for a discretized version of the model.Comment: 23 pages, 8 figure

Theoretical Analysis of Acceptance Rates in Multigrid Monte Carlo

We analyze the kinematics of multigrid Monte Carlo algorithms by investigating acceptance rates for nonlocal Metropolis updates. With the help of a simple criterion we can decide whether or not a multigrid algorithm will have a chance to overcome critial slowing down for a given model. Our method is introduced in the context of spin models. A multigrid Monte Carlo procedure for nonabelian lattice gauge theory is described, and its kinematics is analyzed in detail.Comment: 7 pages, no figures, (talk at LATTICE 92 in Amsterdam

Grapham: Graphical Models with Adaptive Random Walk Metropolis Algorithms

Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on graphical models for directed acyclic graphs. The implemented algorithms include the seminal Adaptive Metropolis algorithm adjusting the proposal covariance according to the history of the chain and a Metropolis algorithm adjusting the proposal scale based on the observed acceptance probability. Different variants of the algorithms allow one, for example, to use these two algorithms together, employ delayed rejection and adjust several parameters of the algorithms. The implemented Metropolis-within-Gibbs update allows arbitrary sampling blocks. The software is written in C and uses a simple extension language Lua in configuration.Comment: 9 pages, 3 figures; added references, revised language, other minor change