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Efficiency of Monte Carlo Sampling in Chaotic Systems Jorge C. Leit˜ ao * and Eduardo G. Altmann Max Planck Institute for the Physics of Complex Systems, 01187 Dresden, Germany J. M. Viana Parente Lopes Department of Physics and Center of Physics, University of Minho, P-4710-057, Braga, Portugal and Physics Engineering Department, Engineering Faculty of the University of Porto, 4200-465 Porto, Portugal (Dated: November 18, 2018) In this paper we investigate how the complexity of chaotic phase spaces affect the efficiency of importance sampling Monte Carlo simulations. We focus on a flat-histogram simulation of the distribution of finite-time Lyapunov exponent in a simple chaotic system and obtain analytically that the computational effort of the simulation: (i) scales polynomially with the finite-time, a tremendous improvement over the exponential scaling obtained in usual uniform sampling simulations; and (ii) the polynomial scalling is sub-optimal, a phenomenon known as critical slowing down. We show that critical slowing down appears because of the limited possibilities to issue a local proposal on the Monte Carlo procedure in chaotic systems. These results remain valid in other methods and show how generic properties of chaotic systems limit the efficiency of Monte Carlo simulations. PACS numbers: 05.10.Ln, 05.45.Pq I. INTRODUCTION Caotic systems are characterized by quantities describ- ing (statistical) properties of ensemble of trajectories, e.g. the Lyapunov exponent λ [1] and the escape rate κ in open systems [2]. In any reasonably complicated sys- tem these quantities are estimated numerically from the integration of an ensemble of initial conditions x for a finite time N . Different x lead to different estimations, e.g., they have different finite-time Lyapunov exponents λ N (x). Indeed, the distribution of λ N (x) over randomly chosen initial conditions (or computed over the invariant measure of the system) is a characterization of the sys- tem and has been used to characterize dynamical trap- ping [3–7], to test hyperbolicity of the system [8], or to identify small KAM islands [9]. In all these applications, the difficulty is to reliably estimate the tails of the distri- bution, which typically decay exponentially with λ and N [10]. Rare trajectories play a similar role in all (dif- ficult) simulations of chaotic dynamical systems (e.g., in the characterization of open chaotic systems rare long- lived trajectories are essential to estimate κ and λ). Several methods have been proposed to find [14– 17] and sample[11, 17–19] rare trajectories in chaotic systems. In particular, Lyapunov Weighted Dynam- ics [16, 19] and Lyapunov weighted path sampling [18] use Monte Carlo importance sampling techniques to esti- mate the distribution of finite-time Lyapunov exponents. A crucial ingredient in all these methods, and in Monte Carlo methods more generally, is the locality in the pro- posal: once a rare trajectory is found, it is essential to be able to propose another similarly rare trajectory. Lo- cality allows for a step-wise approximation of extremely * Author to whom correspondence should be sent. E-mail address: [email protected] 2 4 8 16 32 64 128 256 finite time (N) 10 0 10 2 10 4 10 6 10 8 Computational effort τ Tent map Logistic map Standard map Coupled Henon (escape) N 2 N 3 e αN FIG. 1. Computational effort of importance sampling Monte Carlo methods in chaotic systems. Each curve represents the average round-trip time τ (a measure of the computa- tional effort, see Sec. II D) of a representative simulation (flat- histogram) on the distribution of the (largest) finite-time lya- punov exponent. While uniform sampling scales as exp(αN ), importance sampling scales as N γ with γ 2. Tent map: Eq. (16) with a = 3; Logistic map: xn+1 =4xn(1 - xn); Standard map [1]: K = 8 and we used λN (x0,v0) in Eq (1) where v0 was drawn isotropically on every proposal; Coupled Henon map: a 4 dimensional open system retrieved from Fig. 5 of Ref. [11], the simulation is on the escape time distri- bution. The Wang-Landau algorithm [12] was used to esti- mate the distribution prior to perform the flat-histogram and the distribution agrees with the analytical one when avail- able [10, 13]. rare trajectories. Differently from other Monte Carlo ap- plications in Physics, local proposals in the phase space of chaotic dynamical systems are not easy to obtain due to the exponential sensitivity of trajectories and fractal structures in the phase space [11]. While the success of the methods mentioned above indicates that it is possible arXiv:1407.5343v1 [nlin.CD] 20 Jul 2014

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  • Efficiency of Monte Carlo Sampling in Chaotic Systems

    Jorge C. Leitão∗ and Eduardo G. AltmannMax Planck Institute for the Physics of Complex Systems, 01187 Dresden, Germany

    J. M. Viana Parente LopesDepartment of Physics and Center of Physics, University of Minho, P-4710-057, Braga, Portugal and

    Physics Engineering Department, Engineering Faculty of the University of Porto, 4200-465 Porto, Portugal(Dated: November 18, 2018)

    In this paper we investigate how the complexity of chaotic phase spaces affect the efficiencyof importance sampling Monte Carlo simulations. We focus on a flat-histogram simulation of thedistribution of finite-time Lyapunov exponent in a simple chaotic system and obtain analytically thatthe computational effort of the simulation: (i) scales polynomially with the finite-time, a tremendousimprovement over the exponential scaling obtained in usual uniform sampling simulations; and (ii)the polynomial scalling is sub-optimal, a phenomenon known as critical slowing down. We showthat critical slowing down appears because of the limited possibilities to issue a local proposal onthe Monte Carlo procedure in chaotic systems. These results remain valid in other methods andshow how generic properties of chaotic systems limit the efficiency of Monte Carlo simulations.

    PACS numbers: 05.10.Ln, 05.45.Pq

    I. INTRODUCTION

    Caotic systems are characterized by quantities describ-ing (statistical) properties of ensemble of trajectories, e.g.the Lyapunov exponent λ [1] and the escape rate κ inopen systems [2]. In any reasonably complicated sys-tem these quantities are estimated numerically from theintegration of an ensemble of initial conditions x for afinite time N . Different x lead to different estimations,e.g., they have different finite-time Lyapunov exponentsλN (x). Indeed, the distribution of λN (x) over randomlychosen initial conditions (or computed over the invariantmeasure of the system) is a characterization of the sys-tem and has been used to characterize dynamical trap-ping [3–7], to test hyperbolicity of the system [8], or toidentify small KAM islands [9]. In all these applications,the difficulty is to reliably estimate the tails of the distri-bution, which typically decay exponentially with λ andN [10]. Rare trajectories play a similar role in all (dif-ficult) simulations of chaotic dynamical systems (e.g., inthe characterization of open chaotic systems rare long-lived trajectories are essential to estimate κ and λ).

    Several methods have been proposed to find [14–17] and sample[11, 17–19] rare trajectories in chaoticsystems. In particular, Lyapunov Weighted Dynam-ics [16, 19] and Lyapunov weighted path sampling [18]use Monte Carlo importance sampling techniques to esti-mate the distribution of finite-time Lyapunov exponents.A crucial ingredient in all these methods, and in MonteCarlo methods more generally, is the locality in the pro-posal: once a rare trajectory is found, it is essential tobe able to propose another similarly rare trajectory. Lo-cality allows for a step-wise approximation of extremely

    ∗ Author to whom correspondence should be sent. E-mail address:[email protected]

    2 4 8 16 32 64 128 256finite time (N)

    100

    102

    104

    106

    108

    Com

    puta

    tiona

    l eff

    ort τ

    Tent mapLogistic mapStandard mapCoupled Henon (escape)

    N2

    N3eαN

    FIG. 1. Computational effort of importance sampling MonteCarlo methods in chaotic systems. Each curve representsthe average round-trip time τ (a measure of the computa-tional effort, see Sec. II D) of a representative simulation (flat-histogram) on the distribution of the (largest) finite-time lya-punov exponent. While uniform sampling scales as exp(αN),importance sampling scales as Nγ with γ ≥ 2. Tent map:Eq. (16) with a = 3; Logistic map: xn+1 = 4xn(1 − xn);Standard map [1]: K = 8 and we used λN (x0, v0) in Eq (1)where v0 was drawn isotropically on every proposal; CoupledHenon map: a 4 dimensional open system retrieved from Fig.5 of Ref. [11], the simulation is on the escape time distri-bution. The Wang-Landau algorithm [12] was used to esti-mate the distribution prior to perform the flat-histogram andthe distribution agrees with the analytical one when avail-able [10, 13].

    rare trajectories. Differently from other Monte Carlo ap-plications in Physics, local proposals in the phase spaceof chaotic dynamical systems are not easy to obtain dueto the exponential sensitivity of trajectories and fractalstructures in the phase space [11]. While the success ofthe methods mentioned above indicates that it is possible

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    to achieve local proposals, the implications of the lim-ited locality to the computational efficiency of the MonteCarlo method has not been systematically explored yet.

    In Fig. 1 we show how the computational effort ofa representative Monte Carlo method (a flat-histogramsimulation) scales with system size (e.g., in the computa-tion of the distribution of Lyapunov exponents λN (x) therole of system size is played by the finite-time N). Fordifferent chaotic systems and problems, we obtain a poly-nomial scaling ∼ Nγ . This is dramatically better thanthe exponential scaling ∼ eαN obtained using uniformsampling but is systematically worst than the theoreticaloptimal scaling ∼ N2 (a phenomenon known as criticalslowing down [20]).

    The goal of this paper is to investigate the efficiencyof importance sampling Monte Carlo methods and theorigin of critical slowing down in chaotic dynamical sys-tems. After a general introduction to notions of chaoticsystems and Monte Carlo methods (in Sec. II), we focus(in Sec. III) on a flat-histogram Monte Carlo simulationof the distribution of λN (x) in a simple dynamical sys-tem. We obtain analytical estimations of the efficiency ofthis simulation (in Sec. IV) which show that critical slow-ing down originates from the interplay between chaoticproperties and limitations imposed on the proposals. Wefinish (in Sec. V) with a discussion of the implications ofour results on Monte Carlo simulations in chaotic systemsmore generally.

    II. IMPORTANCE SAMPLING IN CHAOTICSYSTEMS

    A. Chaotic systems

    Let x be a state in the phase-space Ω of a discrete timechaotic dynamical system defined by xn+1 = F (xn). Thefinite-time Lyapunov exponent of a N -time trajectorystarting at x0 and for a unitary vector v0,

    λN (x0, v0) ≡1

    Nlog |DF t(x0) · v0| , (1)

    where DFN is the derivative of F composed N times.For 1 dimension, Eq. 1 can be simplified to

    λN (x0) ≡1

    N

    N∑n=1

    log |F ′(xn)| , (2)

    which measures the finite-time exponential divergence oftwo initial conditions starting close to x0. The distribu-tion of λN ,

    ρN (λ) ≡1

    V (Ω)

    ∫Ω

    δ(λ− λN (x))dx , (3)

    measures the relative number of trajectories with a λNbetween λ and λ + dλ, where V (Ω) is the volume of Ω.We are mainly interested to sample states with differentchaoticities to compute ρN (λ) for a finite but high N .

    B. Importance sampling

    To sample states with different chaoticities, one needsto sample λs from possible values in [λmin, λmax], whereλmin/λmax are either the extreme values of λ for a partic-ular system, or a pre-selected region of λs where we wantto focus on (e.g. strongly chaotic trajectories only). Thefraction of samples in a given bin bλ = [λ, λ + δλ] ⊂[λmin, λmax] is an estimate of ρN (λ ∈ bλ). The varianceσ2bλ of this estimate scales with the number of samplesMbλ on that bin [21] as:

    σ2b ∼1

    Mbλ. (4)

    A uniform sampling consists in generating an ensembleof independent and uniformly-distributed initial condi-tions xi, i = 1, ...,M in the phase-space. For each xi, wecompute λN (xi) from Eq. (2) and estimate ρN (λ ∈ bλ) =Mbλ/M . Because in a uniform sampling the probabilityto sample λ ∈ bλ is proportional to ρN (λ), on average

    Mbλ = ρ(λ)M (5)

    and Eq. (4) yields

    σ2bλ ∼1

    ρN (λ)M. (6)

    In fully chaotic systems, the tails of ρN (λ) typically de-crease exponentially as a function of λ and of N [10, 13]and therefore ρN (λ) has exponentially high variance. Tocompensate the high variance, a uniform sampling re-quires exponentially high number of samples M with in-creasing N and λ. I.e. for a fixed accuracy σ2bλ of ρN (λ),the computational effort of an uniform sampling increasesexponentially with N.

    Importance sampling techniques aim to reduce σ2bλ bysampling from a non-uniform distribution P (x) such thatrare λs (in the tails of ρN (λ)) are more often sampled,i.e., they generate samples in such a way that Mbλ is nolonger given by Eq. (5). One example is the canonicensemble [22], proposed to sample chaotic systems inRefs. [16, 18],

    P (x) = Pβ(x) ≡1

    Zβe−βλN (x) , (7)

    where Zβ ≡∫

    Ωdxe−βλN (x) and β is chosen to increase

    Mbλ for specific λs. Specifically, we have that

    Mbλ = MPβ(λ)ρN (λ) ∼Me−βλ+SN (λ) (8)

    where SN (λ) ≡ log(ρN (λ)). By choosing specific valuesof β, more importance is given to specific λs centeredin the maximum of Mbλ in Eq. (8), obtained implicitlyfrom the solution of dSN (λ)/dλ = β. A re-weightingtechnique [23] can be used to compute ρN (t) from canonicensemble simulations with different βs.

  • 3

    Here we focus on the flat-histogram ensemble [24], thathas been used in chaotic systems in Refs. [11, 17],

    P (x) = Pf (x) ≡Z

    ρN (λ(x)), (9)

    where Z is a normalization constant (if ρN (t) is unknown,the Wang-Landau algorithm was used [12]). This choiceensures Mbλ is independent of λ, i.e.

    Mbλ = M/#bins (10)

    and thus σ2bλ in Eq. (4) is independent of ρN (λ).

    C. Markov Chain

    To draw initial conditions xi from the distributionP (x), a Metropolis-Hastings algorithm is used. It is aMarkov chain with a transition probability from a state xto a state x′ given by P (x→ x′) = g(x→ x′)A(x→ x′),where g(x→ x′) is the conditional probability to proposex′ given x, and A(x → x′) is the conditional probabilityto accept x′ given x [22]. Any initial distribution asymp-totically converges to P (x) if the chain is ergodic andsatisfies detailed balance

    P (x→ x′)P (x) = P (x′ → x)P (x′) , (11)

    which is fulfilled using the Metropolis choice [22]:

    A(x→ x′) = min{

    1,P (x′)

    P (x)

    g(x′ → x)g(x→ x′)

    }. (12)

    The proposal distribution g(x→ x′) is a free parame-ter of any Metropolis-Hastings algorithm and has to beadjusted according to the problem. Ideally, the proposalshould be chosen to maximize the mobility of the simula-tion on the phase-space. On one hand, it has to be ableto propose x′ such that λN (x

    ′) is far enough from λN (x)that the simulation visits all λ ∈ [λmin, λmax]. On theother hand, λN (x

    ′) must be close enough from λN (x) forthe ratio P (x′)/P (x) = P (λN (x

    ′))/P (λN (x)) in Eq. (12)be high enough that x′ is accepted and the simulation isable to move. These conditions are satisfied issuing localproposals [11, 24], i.e. proposals that change λ only by asmall amount:

    Nδλ ≡ N |λN (x)− λN (x′)| ≈ 1 . (13)

    In the literature two options have been suggested to ob-tain local steps in simulations of chaotic systems:

    • shift [25] proposes a state x′ by a forward or back-ward iteration of x (i.e. x′ = F (x) or x′ = F−1(x))

    • precision shooting [26] proposes x′ in a neighbor-hood δ(x) of x (x′ = x+ δ(x)). The critical step isthat δ(x) has to decay exponentially as [11, 26]

    δ(x) = δ0e−λN (x)N . (14)

    The shift fulfills Eq. (13) because it only changes one termon the sum of Eq. (2) and thus |λN (x)− λN (x′)| ≈ 1/N .The precision shooting fulfills Eq. (13) because after Nmap iterations the exponential sensitivity of initial con-ditions leads to |F t(x)− F t(x′)| be roughly δ0 and thus,by choosing δ0 in Eq. 14, we can make the trajectories tobe as close as we want and thus make N |λN (x)−λN (x′)|to be as close as we want from 1.

    As in Ref. [26], we consider here a mixed of the twoproposals. If we were to use just precision shooting, thestep-size in the phase-space would be exponentially smallas N → ∞ and the simulation would be stuck in λ. Onthe other hand, if we were to use just the shift, we wouldbe moving forward and backward along a particular tra-jectory; while it would be a valid proposal, it would neverbe better than just iterating the trajectory forward (andperforming a time-average of it). In other words, the shiftmoves to different regions of the phase-space and the pre-cision shooting randomizes the trajectory and both arerequired for an efficient simulation.

    In summary, the algorithm consists in starting a ran-dom initial condition x and:

    1. Iterate x for N times and compute λ using Eq. (1);

    2. Propose a state x′ using precision shooting with1/2 probability, 1/4 using forward shift, and 1/4using backward shift: g(x→ x′) = 12δ(x) exp(−|x−x′|/δ(x)) +1/4δ(x − F (x)) +1/(4I)

    ∑Ii δ(x −

    F−1i (x)) where the sum is over all pre-images I (im-portant when the map is not invertible);

    3. Accept or reject x′ according to the probabilityA(x → x′), Eq. (12), where g(x → x′) is the pro-posal made on the previous step and P (x) = Pf (x)of Eq. (9).

    4. go to 2.

    D. Efficiency

    To compare the efficiency of different methods fairly,we need to take into account that samples obtained fromMarkov chains are typically correlated. Thus, we mea-sure how the number of chain iterations required to ob-tain an independent sample on any bin τs scales with N .In simulations with local proposals, such as ours or sin-gle spin simulations in lattices, τs is difficult to estimateand typically the round-trip time τ is used as a proxy ofτs to measure the computational effort [11, 27, 28]. Theround-trip time is defined as average number of chain it-erations required to bring any state x with λN (x) = λmaxto any state x with λN (x) = λmin and return back (i.e.the path λmax → λmin → λmax).

    In uniform sampling, the round-trip time can be esti-mated by the number of samples M required to obtain

  • 4

    one state x with λN (x) = λmin. This is proportionalto ρN (λmin) and we thus recover the same scalling aswe have obtained using Eq. (6). To understand how theround-trip time scales in a flat-histogram simulation, itis constructive to look at the Markov chain projected onλ as a random walk on the real line [λmin, λmax]. A sim-ulation starting in x slowly walks in λ (by transiting tox with other λs) because the step-size fulfills Eq. (13).In the best case, the average displacement in Nλ after titerations is σλ =

    √t. In this case, to displace the full

    interval N(λmax − λmin) ∼ N [29], we require a numberof steps τ such that σλ(τ) ∼ N , or

    τ ∼ N2 . (15)

    In Fig. 1 we plot different numerically computedround-trip time τ as a function of the finite-time N fordifferent systems and see that the scalling of Eq. (15) isnot observed in all cases. This phenomena is known inthe literature of Monte Carlo in spin systems as criticalslowing down [20]. It occurs even in simple spin systemssuch as the 2D Ising model and attempts have been madeto explain it [27, 28]. In order to understand the originsof critical slowing down in chaotic systems, we use a sim-ple system where analytical calculations of τs and τ canbe performed.

    III. SIMULATIONS ON THE TENT MAP

    A. Tent map

    1

    00 1

    0 111 1000 01

    000

    001

    123N

    011 010 110 111 101 100

    FIG. 2. The two-scale tent map, Eq. (16), and its finite-timeN symbolic sequences s = [s1, ..., sN ].

    We consider the paradigmatic one dimensional two-scale tent map, defined in the interval [0, 1] for a ≥ 2 bythe equation xn+1 = F (xn) with

    F (x) =

    {ax if 0 ≤ x ≤ 1aaa−1 (1− x) if

    1a < x ≤ 1

    (16)

    as shown in Fig. 2. We can construct a symbolic repre-sentation of the system by considering its natural Markovpartition in two intervals I0 ≡ [0, 1/a] and I1 ≡ [1/a, 1].Any trajectory starting at x0 can be represented by asymbolic sequence s(x0) = [s1s2s3...sN ], where si =0 if xi ∈ I0 and si = 1 if xi ∈ I1. There are 2N differentsymbolic sequences and N +1 different possible values ofthe finite-time Lyapunov exponent (Eq. 2), which in thiscase depends only on the number k of 0’s in the sequences,

    λN,k =1

    N

    (k log a+ (N − k) log a

    a− 1

    )k = 0, ..., N .

    (17)The relative number of sequences with a given number kof 0’s is

    ρs (λN,k) =1

    2N

    (N

    k

    ), (18)

    where(Nk

    )≡ N !/((N − k)!k!). The number of (phase-

    space) states with the same symbolic sequence s is givenby the measure µN,k of the phase-space interval of s.In this system, the measure is uniform and thereforeµN,k equals the length of each interval, which is givenby (1/a)k((a − 1)/a)N−k. Thus, the number of stateswith a given λN,k is

    ρ (λN,k) = ρs (λN,k)µN,k =1

    2N

    (N

    k

    )1

    aka− 1a

    N−k.

    (19)

    B. Monte Carlo on the symbolic sequences

    Analytical calculations of how the computational effortof a Monte Carlo simulation scales with the system sizeare typically impossible because of the complexity of theunderlying Markov chain [30]. In applications to dynam-ical systems, this problem is even more difficult becausethe Markov chain is defined on a continuous phase-space.The advantage of the tent map is that we can map theMonte Carlo simulation in its phase-space to a MonteCarlo simulation in the (discrete) space of symbolic se-quences and analytically treat this simpler simulation.Specifically, we introduce a new Monte Carlo process de-fined on the set of all possible symbolic sequences of thetent map (2N ) that moves through a standard discrete-space Metropolis-Hastings process: from s we propose asequence s′ with a given proposal distribution and we ac-cept or reject it according to an acceptance distribution.We thus have two distinct simulations:

    1. on the phase-space, using x ∈ Ω = [0, 1] with theprocedure outlined in the previous section;

    2. on the symbolic sequences, with Ω the set of allbinary sequences.

  • 5

    The crucial step is to construct the simulation 2. in sucha way that it is equivalent to simulation 1.

    We first map the proposals in simulation 1. to propos-als in simulation 2.:

    • the shift corresponds to have the whole sequences(x) shifted by one symbol, where the last symbolis dropped and a new symbol s is added in thebeginning (or the opposite to the backward shift),see Fig. 3(a). The new symbol si (0 or 1) appearswith probability µsi to correspond to the respectivemeasure of the phase-space [31].

    • precision shooting corresponds to propose either tothe same symbolic sequence s or a neighbor se-quence on the phase-space. E.g. from s = [011]in Fig. 2, it proposes s′ = [011], s′ = [001], ors′ = [010]. For the tent map, this can be writtenas a simple rule, see Fig. 3(b).

    (a) Shift:

    1 10 0 0s1 s2 s3 s4 s5

    1 10 0 0 1 10 0 0

    Proposed:

    Initial:

    or

    10

    ?

    10

    ?

    (b) Precision shooting:

    1 10 0 0s1 s2 s3 s4 s5

    1 10 01 1 00

    Proposed:

    Initial:

    or

    10

    ?

    10

    ?

    FIG. 3. Local proposals in the symbolic sequences of thetent map. (a) The shift proposes to shift the sequence, wherethe last (first) symbol is dropped and a new symbol is addedin the beginning (end). (b) The precision shooting proposes achange in the symbol after the first ”1” when counting fromthe right (left panel), or in the last symbol (right panel).

    The acceptance (Eq. (12) with x replaced by s) ismapped by taking into account that the proposal is sym-metric (i.e. g(s → s′) = g(s′ → s)) and that λ of s iscomputed using Eq. (17) by counting the number of 0’sin s.

    1 4 16 64 256Finite time (N)

    100

    102

    104

    106

    108

    Com

    puta

    tiona

    l eff

    ort τ

    Tent mapSymbolic sequencesSym. sequences, shift only

    N3

    FIG. 4. Equivalence between a Monte Carlo on the tentmap and on its symbolic sequences. Scaling of the averageround-trip as function of the finite-time N of a flat-histogramsimulation on the tent map (black circles) and on its symbolicsequences (red rectangles). In blue diamonds is the same flat-histogram simulation in symbolic sequences, but only usingshift proposals. Dashed line represent the scaling N3. Wehave used a = 3 in Eq. (16) and, for the simulation on thephase-space, we have used the procedure outlined in the pre-vious section with the exact distribution Eq. (19) in Eq. (9),δ0 = 0.1 in Eq. (14), and the average round-trip was com-puted over 100 round-trips. In simulations on the symbolicsequences, we have used 50% probability for the same se-quence, and 25% for each neighbor interval on the precisionshooting, but we observe no qualitative difference with othervalues.

    In Fig. 4 we compare simulations 1. and 2. and observeno quantitative difference in the scalling of the round-trip time of both simulations, indicating that they areindeed equivalent. We observe a critical slowing downwith scalling τ ∼ N3 over more than two decades, whichwe aim to explain in the next section. Furthermore, bycomparing the simulation 2. with and without precisionshooting, we see that the effect of precision shooting is tomove τ vertically (making simulations less efficient) andseems to have no effect on the scaling; we thus neglect iton the next section. In simulation 1., precision shootingis essential and we can neglect in simulation 2. becausewe have used it in simulation 1. [31].

    IV. EXPLANATION OF SUB-OPTIMALSCALING

    To explain sub-optimal scalling, we need to consider anensemble of independent simulations and compute howthe average round-trip time τ scales with increasing N .In Sec. II we presented an expression for the round-trip time (Eq. (15)) based on the assumption that theensemble diffuses in λ ∈ [λmin, λmax] with a varianceσλ ∼

    √t. Critical slowing down shown in Fig. 4 shows

    that this assumption is wrong for this case. Here dropthis assumption and compute explicitly how σλ evolveswith t. A simulation on the symbolic sequences with

  • 6

    only shifts is equivalent to a window of size N movingon a tape of 0’s and 1’s that, at each step, moves tothe left or to the right and randomizes the symbol thatenters the window (see Fig. 3a, where the boundariesof the window are the right brackets in bold) [32]. λis proportional to the sum of 1’s in the window (fromEq. (17)) and, in particular, λmin occurs in the sequence[00...0] and λmax in the sequence [11...1]. Our problem isto compute how the round-trip time τ — the number ofwindow moves required to complete the path [00...0] →[11...1]→ [00...0] — scales with N .

    We first note that the window performs a simple ran-dom walk and thus the number of symbols ∆(t) thatchanged after t Monte Carlo steps scale as

    ∆(t) ∼√t . (20)

    Since, on average, at time t only ∆(t) of the N symbolschanged, the variance σ2λ(t) can only depend on the sym-bols that changed. Since λ is proportional to the sum ofsymbols by Eq. (17), its variance is proportional to thenumber of symbols that changed ∆(t), and we obtain:

    σ2λ(t) ∼ ∆(t) ∼√t , (21)

    that confirms the existence of a subdiffusion in λ. Theaverage time to obtain an independent sequence s is thetime τs such that all symbols have changed, or ∆(τs) ≈N . From Eq. (21) we obtain

    τs ∼ N2 . (22)

    To appreciate the relevance of this result we have tocompare it to how would τs scale if we were able to ran-domly change any symbol of the symbolic sequence sat each time. Because s has N symbols, we would re-quire t = N steps and thus τs ∼ N , which would nothave any critical slowing down. Eq. (22) thus indicatesthat the proposal derived to correspond to the proposalsin phase-space dramatically limit our allowed moves andchanges the scaling of τs. We can summarize the aboveresults in the following picture: on a time-scale up to τsgiven by Eq. (22), the random walk in λ subdiffuses ac-cording to Eq. (21); on a larger time-scale, the randomwalk diffuses normally as it draws independent sequences.Results shown in Fig. (5) confirm this picture as we ob-

    serve: a) a transition from σ2λ ∼ t12 to σ2λ ∼ t; b) the

    transition occurs at a transition time independent of Nwhen time is rescaled by 1/N2, as predicted by Eq. (22).

    We now compute the round-trip time τ . Consider theMarkov process obtained as τs iterations of the originalprocess. The original time t relates to the new time t′

    by t′ = t/τs. The new process generates independentsymbolic sequences and makes steps in λ of size σλ(τs) ∼√N . This implies that the process now diffuses normally

    in λ with a variance σ2τs(t′) given by

    σ2τs(t′) = 2Dt′ ∼ σ2λ(τs)t′ ∼ t/N (23)

    10-6 10-3 100 103

    t/N210-6

    10-4

    10-2

    100

    σ λ2 /

    S

    N = 32N = 128N = 512N = 2048

    t

    t1/2

    FIG. 5. Critical slowing down in Monte Carlo simula-tions on the symbolic sequences of the tent map. The vari-ance σ2λ(t) was estimated as 1/M

    ∑Mi=1(λi(t) − λ(t))

    2 where

    λ(t) =∑Mi=1 λi(t) and M is number of independent simula-

    tions. We divided it by the asymptotic variance for a flat-histogram divided by N , S = [(N + 1)/12]/N ; the x-axisrepresents the number of Monte Carlo steps divided by N2.Different curves represent averages over M = 1000 indepen-dent flat-histogram simulations starting from states s with afixed λ0 == λN,N/2 (see Eq. (17)) for different finite-times

    from N = 32 up to N = 2048. Two scalings,√t and t are

    shown in dashed. Changing λ0 does not change the shape,only shifts all curves.

    where we used t′ = t/τs, Eqs. (21)-(22), and that thediffusion coefficient of a random walk with step-size nor-mally distributed is proportional to σ2λ(τs). As arguedbefore, performing a round-trip corresponds to στs(τ) ≈N . Using Eq. (23), can obtain

    τ ∼ N3 , (24)

    in agreement with the scaling observed in Fig. 4.

    V. CONCLUSIONS

    In this paper we described how importance samplingMonte Carlo methods can improve simulations in chaoticsystems, in particular to the problem of the computationof the distribution of finite-time Lyapunov exponent. Wenumerically computed the efficiency of a flat-histogramsimulation in different systems and verified that it out-performs uniform sampling: the scalling changes fromexponential to polynomial. However, the exponent ofthe polynom is not 2 as we would expect from a simplerandom walk on a real line, a phenomena known in theliterature of spin systems as critical slowing down. Usinga simple system that presents critical slowing down, weanalytically showed that in this system the Markov pro-cess decorrelates with τs ∼ N2 due to a subdifussion onthe finite-time Lyapunov exponent. This allowed us toderive the scalling of the round-trip time as τ ∼ N3, inexcellent agreement with the simulations. To our knowl-edge, this is the first time the scaling of round-trip time

  • 7

    of a Monte Carlo simulation was analyticaly computedin a non-trivial system.

    The importance of our results is not limited to flat-histogram simulations. The sub-optimal sampling weobserve is a direct consequence of the limited optionsof local proposals that can be generated in chaotic sys-tems and therefore should affect all importance samplingMonte Carlo simulations using these proposals. For in-stance, canonic simulations using these proposals– whichhave been used before for estimating the distribution offinite-time Lyapunov exponents [18, 19] – in the tent mapshould follow the scaling τs ∼ N2 derived in Eq. (22).While extending the validity of the scalings derived inthis paper to other methods is not straightforward, ourresults show the need of a more careful investigation ofthe efficiency of modern computational methods applied

    to dynamical systems.The efficiency of the simulations is not only a property

    of the specific Monte Carlo method, it is a result of aninterplay between the method (e.g., the proposals) andthe phase space structures of the chaotic system (e.g.,fractals). Indeed, we had already observed sub-optimalscaling of the efficiency in our previous work on openchaotic systems [11]. The importance of this paper is toshow one mechanism for such sub-optimal scaling. Evenif different scalings should be expected for different prob-lems and systems (see Fig. 1), the mechanisms reportedhere is expected to affect also more general classes of dy-namical systems.

    J.C.L. acknowledges funding from Fundaçãopara a Ciência e Tecnologia (Portugal), grantSFRH/BD/90050/2012.

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    Efficiency of Monte Carlo Sampling in Chaotic SystemsAbstractI IntroductionII Importance Sampling in Chaotic systems A Chaotic systemsB Importance samplingC Markov ChainD Efficiency

    III Simulations on the Tent mapA Tent mapB Monte Carlo on the symbolic sequences

    IV Explanation of sub-optimal scalingV Conclusions References