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Quadratic Monte Carlo

Authors: Burkhard Militzer;

Quadratic Monte Carlo

Abstract

General-purpose Monte Carlo sampler. We introduce a novel Quadratic Monte Carlo (QMC) technique that is more efficient in confining fitness landscapes than affine invariant method that relies on linear stretch moves. We compare how long it takes the ensembles of walkers in both methods to travel to the most relevant parameter region. Once there, we compare the autocorrelation time and error bars of the two methods. For a ring potential and the 2d Rosenbrock function, we find that our quadratic Monte Carlo technique is significantly more efficient. Furthermore we modified the walk moves by adding a scaling factor. Here we provide the C++ source code and examples so that this method can be applied elsewhere.

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Keywords

MCMC, Monte Carlo

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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