Markov chain Monte Carlo algorithms are invaluable tools for exploring stationary properties of physical systems, especially in situations where direct sampling is unfeasible. Common implementations of Monte Carlo algorithms employ reversible Markov chains. Reversible chains obey detailed balance and thus ensure that the system will eventually relax to equilibrium, though detailed balance is not necessary for convergence to equilibrium. We review nonreversible Markov chains, which violate detailed balance and yet still relax to a given target stationary distribution. In particular cases, nonreversible Markov chains are substantially better at sampling than the conventional reversible Markov chains with up to a square root improvement in the convergence time to the steady state. One kind of nonreversible Markov chain is constructed from the reversible ones by enlarging the state space and by modifying and adding extra transition rates to create non-reversible moves. Because of the augmentation of the state space, such chains are often referred to as lifted Markov Chains. We illustrate the use of lifted Markov chains for efficient sampling on several examples. The examples include sampling on a ring, sampling on a torus, the Ising model on a complete graph, and the one-dimensional Ising model. We also provide a pseudocode implementation, review related work, and discuss the applicability of such methods.
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December 2016
COMPUTATIONAL PHYSICS|
December 01 2016
Lifting—A nonreversible Markov chain Monte Carlo algorithm Available to Purchase
Marija Vucelja
Marija Vucelja
a)
Center for Studies in Physics and Biology,
The Rockefeller University
, 1230 York Avenue, New York
, New York 10065 and Department of Physics, University of Virginia
, Charlottesville, Virginia 22904
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Marija Vucelja
a)
Center for Studies in Physics and Biology,
The Rockefeller University
, 1230 York Avenue, New York
, New York 10065 and Department of Physics, University of Virginia
, Charlottesville, Virginia 22904a)
Electronic mail: [email protected]
Am. J. Phys. 84, 958–968 (2016)
Article history
Received:
February 02 2015
Accepted:
August 11 2016
Citation
Marija Vucelja; Lifting—A nonreversible Markov chain Monte Carlo algorithm. Am. J. Phys. 1 December 2016; 84 (12): 958–968. https://doi.org/10.1119/1.4961596
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