Guaranteeing total balance in Metropolis algorithm Monte Carlo simulations

Christopher C.J. Potter and Robert H. Swendsen

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 24, 6288-6299

Abstract: The condition of detailed balance has long been used as a proxy for the more difficult-to-prove condition of total balance, which along with ergodicity is required to guarantee convergence of a Markov Chain Monte Carlo (MCMC) simulation to the correct probability distribution. However, some simple-to-program update schemes such as the sequential and checkerboard Metropolis algorithms are known not to satisfy detailed balance for such common systems as the Ising model.

Keywords: Monte Carlo; Metropolis algorithm; Total balance (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:24:p:6288-6299

DOI: 10.1016/j.physa.2013.08.059

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