# Questions tagged [monte-carlo]

Questions on Monte Carlo methods, methods that require the repeated generation of (pseudo-, quasi-)random numbers for computing their results.

31 questions with no upvoted or accepted answers
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139 views

### Choosing how many iterations to use in VEGAS

I'm using VEGAS integration, specifically the GSL implementation, for some QCD calculations, and I've been investigating the behavior of the algorithm for various numbers of iterations in an attempt ...
• 3,383
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### What is the best method to do a MC Integration of a multidimensional integral where the integration limits depend upon other variables?

What is the best method to do a Monte Carlo Integration of a multidimensional integral where the integration limits depend upon other variables? I am interested in getting a numerical value of a 5 ...
• 91
117 views

### Probability approximation: monte carlo VS sde

I have a probability measure $\mu$ (say, in $\mathbb{R}^{d}$, with density) and I want to approximate it numerically. Today I noticed that my measure is ergotic for a certain Stochastic Differential ...
• 121
281 views

### Convergence rate of Monte-Carlo variance estimate

What is the convergence rate for Monte-Carlo variance estimate for a random variable $X \in {L^q}(\Omega ,R),2 < q < 4$?
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### Sample Average Approximation vs. Numerical Integration

To calculate the expected value of objective functions, we have two choices: Sample Average Approximation (SAA): $$\frac{1}{N}\sum_{i=1}^N f(x,\xi^i).$$ Numerical Integration (e.g., Monte Carlo ...
• 41
136 views

### How to stochastically estimate the trace of a matrix?

Specifically, the diagonal elements (can possibly both positive and negative) of the matrix can be computed efficiently but the total number is large ($\mathcal O(10^{18})$). My first thought about ...
77 views

### Hit-n-Run Monte Carlo on convex polytope

So, I'm currently trying to implement a MCMC to uniformly sampling hyper-points from the polytope defined as $\mathbb{K}=\{x\in\mathbb{R}^{n}\;\;\text{s.t.}\;\; A\,x=b \}$ in the specific case where, ...
90 views

### Stochastic Collocation for time evolving ODE

For an Stochastic Differential Equation, e.g., $$\frac{du}{dt} = \alpha*\sin(u*t)$$ where $\alpha$ is normally distributed with nonzero mean, I am trying to use a stochastic collocation approach ...
• 31
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### How to implement a generic monte carlo algorithm for n-dimensional integration?

A very visual picture for Monte Carlo integration is the approximation of $\pi$, by sampling in a square which contains a quarter of the unit circle. We can extend this picture to 3 dimensions, by ...
• 123
116 views

### Random Orthogonal Matrix Generation

This post is inspired by N. Higham post "What is Random Orthogonal matrix?". In this post, N. Higham links to the two papers: G. W. Stewart, The efficient generation of random orthogonal matrices ...
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### Monte Carlo domain not-so-dense

I already posted it on Physics SE, but maybe this is a better place: I have a 5D integral being calculated with a Monte Carlo uniform random sampling. The issue is that the region of integration is ...
814 views

### Using C/C++ for Markov chain Monte Carlo (MCMC) methods

I'm working on optimizing the parameters of a mathematical model to fit experimental data, using an existing formula for the likelihood of observing the data given a set of parameter values. At the ...
94 views

### Tracking the speed of 2D oscillations on a lattice

I wrote a Monte Carlo simulation of the 2D Lotka-Volterra model on a discrete lattice (with periodic boundary conditions). A video that I produced (which images the system after some number of monte ...
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1 vote
81 views

### Regarding the difference between Metropolis-Hastings and Wolff algorithm (synchronous vs asynchronous) applied to Ising Model?

I am trying to self-learn concepts at the intersection of physics and programming. When reading up on the Ising Model, I find that the typical programming tutorial (such as this one) covers the ...
1 vote
46 views

### Monte Carlo simulation of classical Heisenberg model doesn't represent Curie curve

I've created a JavaScript file to execute and log average energy and magnetization values of 2D lattice classical Heisenberg model. I run the simulation with parameters, ...
1 vote
244 views

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1 vote
200 views

### Maxwellian distribution of velocities with Shake algorithm present

I am writing a code to perform hybrid monte carlo molecular dynamics. To do this, I need to have a code to initialize the velocities of all particles according to a maxwell distribution. The code is ...
• 291
1 vote
196 views

### Variational Monte Carlo to calculate local energy of hydrogen like ions in python

I'm writing up a code to calculate the local energy for electrons in hydrogen like ions for a given wavefunction. My code is giving me weird results, which leads me to believe something is wrong. ...
1 vote
101 views

### Monte Carlo sampling of particle system for velocity dependent potential

When sampling configurations of point particles in statistical mechanics by means of (Markov chain) Monte Carlo, we may work with a potential that only depends on the positions of the particles, and ...
• 593
23 views

### Monte-Carlo metropolis algorithm for Ising model

I am using the Monte-Carlo metropolis algorithm to simulate the Ising model. Since the convergence is slow near $T_c$, I am looking for a method to speed up the problem. What I did was instead of ...
• 61
72 views

### How can I compute the longest relaxation time?

Cross-posted on Stats.SE and on MMSE. In the case of Monte Carlo simulations: Autocorrelation Time ($\tau_{\text{int}}$): A measure of how many steps are needed for the correlations in the chain to ...
127 views

### what is the proper way to update the XY model for a Metropolis MC simulation

I am trying to do a 2D simulation of the classical XY model in order to observe vortexes in the system. I am not really interested at the moment in calculating variables such as Magnetization because ...
61 views

### Absence of discontinuity in Specific Heat in liquid-gas transition (Based on the Ising Model)

I'm trying to do a model for the transition liquid-gas based on the Ising model and the metropolis algorithm, instead of using values of spins, I'm saying that a cell is occupied by a particle or not. ...
159 views

### Numerical integration library interfacing with eigen

I am looking for a numerical integration library like this one. The examples look very appealing but I see that all test functions use very barebones C arrays. Do you have any recommendations of ...
79 views

### How to perform a monte carlo simulation on a honeycomb lattice with first, second and third nearest neighbor interactions?

I want to perform monte carlo simulation on a honeycomb lattice. Can someone please help me on how to define a matrix for these interactions and how many terms there will be while sampling the ...
67 views

### Comparison of computational complexities of MD versus MC simulations

In my humble understanding MD simulations of systems with short-range(like LJ interactions) and long-range(electrostatic) has a computational complexity $O(N . log(N))$. What will be the computational ...