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arXiv · 1804.06698

Monte Carlo sampling in diffusive dynamical systems

Diego Tapias·David P. Sanders·Eduardo G. Altmann
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Abstract

We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements, where deviations from a diffusive process are most prominent. We search for initial conditions using a proposal that correlates states in the Markov chain constructed via a Metropolis-Hastings algorithm. We show that our method outperforms the direct sampling method and also Metropolis-Hastings methods with alternative proposals. We test our general method through numerical simulations in 1D (box-map) and 2D (Lorentz gas) systems.

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Diego Tapias, David P. Sanders, Eduardo G. Altmann. 2018-04-04. Monte Carlo sampling in diffusive dynamical systems. https://doi.org/10.1063/1.5025627

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