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Transition Matrix Monte Carlo

Author

Listed:
  • ROBERT H. SWENDSEN

    (Department of Physics, Carnegie Mellon University, Pittsburgh, PA 15213, USA)

  • BRIAN DIGGS

    (Department of Physics, Carnegie Mellon University, Pittsburgh, PA 15213, USA)

  • JIAN-SHENG WANG

    (Department of Computational Science, National University of Singapore, Singapore 119260, Republic of Singapore)

  • SHING-TE LI

    (IBM Corp., Bldg. 334, M/S 2A1, 1580 Route 52, Hopewell Junction, NY 12533, New York)

  • CHRISTOPHER GENOVESE

    (Department of Statistics, Carnegie Mellon University, Pittsburgh, PA 15213, USA)

  • JOSEPH B. KADANE

    (Department of Statistics, Carnegie Mellon University, Pittsburgh, PA 15213, USA)

Abstract

Although histogram methods have been extremely effective for analyzing data from Monte Carlo simulations, they do have certain limitations, including the range over which they are valid and the difficulties of combining data from independent simulations. In this paper, we describe a complementary approach to extracting information from Monte Carlo simulations that uses the matrix of transition probabilities. Combining the Transition Matrix with an N-fold way simulation technique produces an extremely flexible and efficient approach to rather general Monte Carlo simulations.

Suggested Citation

  • Robert H. Swendsen & Brian Diggs & Jian-Sheng Wang & Shing-Te Li & Christopher Genovese & Joseph B. Kadane, 1999. "Transition Matrix Monte Carlo," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1563-1569.
    • Handle: RePEc:wsi:ijmpcx:v:10:y:1999:i:08:n:s0129183199001340
    DOI: 10.1142/S0129183199001340
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