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Improved Diffusion Monte Carlo

delete2014-06-09
delete15
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M
Martin Hairer *
J
Jonathan Weare
DOI:10.1002/cpa.21526delete
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Abstract

Abstract

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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 naive generalization 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. (c) 2014 Wiley Periodicals, Inc.
Keywords:
DATA ASSIMILATION
GROUND-STATE
SIMULATION
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Communications on Pure and Applied Mathematics cover
Communications on Pure and Applied Mathematics
IF:
2.7
Papers:
1.5K
Citations:
1.1W

Organization

U
university of chicago
Scholars:
4.5W
Papers: 3.7W
Citations: 80
U
University of Warwick
Scholars:
2.2W
Papers: 2.2W
Citations: 85
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