Michel Kapfer Krauth 2013

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M. Michel, S. C. Kapfer, W. Krauth Generalized event-chain Monte Carlo: Constructing rejection-free global-balance algorithms from infinitesimal steps Journal of Chemical Physics 140 54116 (2014)


Abstract In this article, we introduce a factorized Metropolis filter and the concept of infinitesimal Monte Carlo moves to design a rejection-free Markov-chain Monte Carlo algorithm for interacting particle systems that breaks detailed balance yet satisfies global balance. This event-driven algorithm generalizes the recent hard-sphere event-chain Monte Carlo method without introducing any discretizations in time or in space. We demonstrate considerable speed-ups of this method with respect to the classic local Metropolis algorithm. The new algorithm generates a continuum of samples of the stationary probability density. This allows us to derive an exact formula for the pressure that is obtained as a byproduct of the simulation without any additional computations.

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