An introduction to Monte Carlo methods¶
The corresponding notebooks are here: github repository and docker
Motivation¶
Physical systems are often described by a very large number of degrees of freedom.
Obtaining information, such as the partition function, in principle requires to compute a sum over all of them.
In most cases, this is very difficult! Example: Ising model with $N$ spins, the sum has $2^N$ terms.
Monte Carlo methods allow to circumvent this difficulty using a stochastic approach.
The birth of computational Monte Carlo¶
What are the chances to win a Solitaire game?
Rather than trying to solve the complex combinatorial problem, Ulam thought he could play 100 times and have an idea of the result from the statistics.
With the appearance of first computers this gave birth to the first Monte Carlo algorithms.
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Monte Carlo for integration¶
Underlying principle in Monte Carlo methods: In order to gain information about a system that depends on many degrees of freedom, it is enough to inspect a subset of cleverly chosen representatives.
These representatives are generated by a stochastic process.
Monte Carlo methods are now widely used in modern computational physics. They exist in many different flavours.
We will be interested in Monte Carlo integration
Example: Computing $\pi$ with pebbles¶
- How can we stochastically estimate $\pi$? We can obtain it from \begin{equation*} \pi = 4 \, \frac{A_\mathrm{circle}}{A_\mathrm{square}} \end{equation*}
Uniform sampling over the square¶
- Throw pebbles uniformly in $[-1,1]^2$. The ratio between pebbles inside the circle and the total number of pebbles is an estimate of $A_\mathrm{circle} / A_\mathrm{square}$. Then $\pi \simeq 4 N_\mathrm{inside} / N_\mathrm{total}$
n_pebbles = 2**12
pebbles = np.random.uniform(-1, 1, size=(2, n_pebbles))
n_inside = np.sum(np.linalg.norm(pebbles, axis=0) < 1)
print(f"inside: {n_inside}, total: {n_pebbles}, π ≃ {4*n_inside/n_pebbles}")
inside: 3187, total: 4096, π ≃ 3.1123046875
What have we done?¶
Throwing the $n^\mathrm{th}$ pebble is described by a random variable
\begin{equation*} x_n = \begin{cases} 4 \quad \text{with probability} \quad \pi/4 \\ 0 \quad \text{with probability} \quad (1-\pi/4) \end{cases} \end{equation*}
The average of $x_n$ is
\begin{equation*} \langle x_n \rangle = \frac{\pi}{4} \cdot 4 + \left(1-\frac{\pi}{4}\right) \cdot 0 = \pi \end{equation*}
We have traded an integration for the computation of an average value.
Integration of multivariable functions¶
Can a similar strategy be used to compute integrals of multivariable functions?
How does this approach compare to standard quadrature methods?
How should the stochastic sampling be done?