Simulating Coulomb gases and log-gases with hybrid Monte Carlo algorithms - Archive ouverte HAL
Article Dans Une Revue Journal of Statistical Physics Année : 2019

Simulating Coulomb gases and log-gases with hybrid Monte Carlo algorithms

Résumé

Coulomb and log-gases are exchangeable singular Boltzmann-Gibbs measures appearing in mathematical physics at many places, in particular in random matrix theory. We explore experimentally an efficient numerical method for simulating such gases. It is an instance of the Hybrid or Hamiltonian Monte Carlo algorithm, in other words a Metropolis-Hastings algorithm with proposals produced by a kinetic or underdamped Langevin dynamics. This algorithm has excellent numerical behavior despite the singular interaction, in particular when the number of particles gets large. It is more efficient than the well known overdamped version previously used for such problems.

Dates et versions

hal-01818268 , version 1 (18-06-2018)

Identifiants

Citer

Djalil Chafaï, Grégoire Ferré. Simulating Coulomb gases and log-gases with hybrid Monte Carlo algorithms. Journal of Statistical Physics, 2019, 174 (3), pp.692-714. ⟨10.1007/s10955-018-2195-6⟩. ⟨hal-01818268⟩
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