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A Guide to Monte Carlo Simulations in Statistical Physics

Dealing with all aspects of Monte Carlo simulation of complex physical systems
encountered in condensed-matter physics and statistical mechanics, this book
provides an introduction to computer simulations in physics.
This fourth edition contains extensive new material describing numerous
powerful algorithms not covered in previous editions, in some cases represent-
ing new developments that have only recently appeared. Older methodologies
whose impact was previously unclear or unappreciated are also introduced, in
addition to many small revisions that bring the text and cited literature up to
date. This edition also introduces the use of petascale computing facilities in
the Monte Carlo arena.
Throughout the book there are many applications, examples, recipes, case
studies, and exercises to help the reader understand the material. It is ideal
for graduate students and researchers, both in academia and industry, who
want to learn techniques that have become a third tool of physical science,
complementing experiment and analytical theory.

 .  is the Distinguished Research Professor of Physics and

founding Director of the Center for Simulational Physics at the University of
Georgia, USA.
  is Professor Emeritus of Theoretical Physics and Gutenberg
Fellow at the Institut für Physik, Johannes-Gutenberg-Universität, Mainz,
Germany.
A Guide to
Monte Carlo Simulations in
Statistical Physics
Fourth Edition
David P. Landau
Center for Simulational Physics, University of Georgia, USA

Kurt Binder
Institut für Physik, Johannes-Gutenberg-Universität, Germany
University Printing House, Cambridge CB2 8BS, United Kingdom

Cambridge University Press is part of the University of Cambridge.

It furthers the University’s mission by disseminating knowledge in the pursuit of
education, learning and research at the highest international levels of excellence.

www.cambridge.org
Information on this title: www.cambridge.org/9781107074026
© D. Landau and K. Binder 2015
This publication is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without the written
permission of Cambridge University Press.
First published 2000
Second edition published 2005
Third edition published 2009
Fourth edition published 2015
Printed in the United Kingdom by TJ International Ltd. Padstow Cornwall
A catalogue record for this publication is available from the British Library
ISBN 978-1-107-07402-6 Hardback
Cambridge University Press has no responsibility for the persistence or accuracy of
URLs for external or third-party internet websites referred to in this publication,
and does not guarantee that any content on such websites is, or will remain,
accurate or appropriate.
Contents

page
Preface xv

1 Introduction 1
1.1 What is a Monte Carlo simulation? 1
1.2 What problems can we solve with it? 2
1.3 What difficulties will we encounter? 3
1.3.1 Limited computer time and memory 3
1.3.2 Statistical and other errors 3
1.4 What strategy should we follow in approaching a problem? 4
1.5 How do simulations relate to theory and experiment? 4
1.6 Perspective 5
References 6
2 Some necessary background 7
2.1 Thermodynamics and statistical mechanics: a quick
reminder 7
2.1.1 Basic notions 7
2.1.2 Phase transitions 15
2.1.3 Ergodicity and broken symmetry 27
2.1.4 Fluctuations and the Ginzburg criterion 27
2.1.5 A standard exercise: the ferromagnetic Ising model 28
2.2 Probability theory 30
2.2.1 Basic notions 30
2.2.2 Special probability distributions and the central limit
theorem 31
2.2.3 Statistical errors 33
2.2.4 Markov chains and master equations 33
2.2.5 The ‘art’ of random number generation 35
2.3 Non-equilibrium and dynamics: some introductory
comments 41
2.3.1 Physical applications of master equations 41
2.3.2 Conservation laws and their consequences 43
2.3.3 Critical slowing down at phase transitions 46
2.3.4 Transport coefficients 48

v
vi Contents

2.3.5 Concluding comments: why bother about dynamics

when doing Monte Carlo for statics? 48
References 48
3 Simple sampling Monte Carlo methods 51
3.1 Introduction 51
3.2 Comparisons of methods for numerical integration of given
functions 51
3.2.1 Simple methods 51
3.2.2 Intelligent methods 53
3.3 Boundary value problems 54
3.4 Simulation of radioactive decay 56
3.5 Simulation of transport properties 57
3.5.1 Neutron transport 57
3.5.2 Fluid flow 58
3.6 The percolation problem 58
3.6.1 Site percolation 59
3.6.2 Cluster counting: the Hoshen–Kopelman algorithm 62
3.6.3 Other percolation models 63
3.7 Finding the groundstate of a Hamiltonian 63
3.8 Generation of ‘random’ walks 64
3.8.1 Introduction 64
3.8.2 Random walks 65
3.8.3 Self-avoiding walks 66
3.8.4 Growing walks and other models 68
3.9 Final remarks 69
References 69
4 Importance sampling Monte Carlo methods 71
4.1 Introduction 71
4.2 The simplest case: single spin-flip sampling for the simple
Ising model 72
4.2.1 Algorithm 73
4.2.2 Boundary conditions 76
4.2.3 Finite size effects 79
4.2.4 Finite sampling time effects 93
4.2.5 Critical relaxation 100
4.3 Other discrete variable models 108
4.3.1 Ising models with competing interactions 108
4.3.2 q-state Potts models 112
4.3.3 Baxter and Baxter–Wu models 113
4.3.4 Clock models 114
4.3.5 Ising spin glass models 115
4.3.6 Complex fluid models 116
4.4 Spin-exchange sampling 117
4.4.1 Constant magnetization simulations 117
4.4.2 Phase separation 118
 Contents vii

4.4.3 Diffusion 120

4.4.4 Hydrodynamic slowing down 122
4.5 Microcanonical methods 123
4.5.1 Demon algorithm 123
4.5.2 Dynamic ensemble 123
4.5.3 Q2R 124
4.6 General remarks, choice of ensemble 124
4.7 Statics and dynamics of polymer models on lattices 126
4.7.1 Background 126
4.7.2 Fixed bond length methods 126
4.7.3 Bond fluctuation method 128
4.7.4 Enhanced sampling using a fourth dimension 128
4.7.5 The ‘wormhole algorithm’ – another method to
equilibrate dense polymeric systems 130
4.7.6 Polymers in solutions of variable quality: θ-point,
collapse transition, unmixing 130
4.7.7 Equilibrium polymers: a case study 133
4.7.8 The pruned enriched Rosenbluth method (PERM): a
biased sampling approach to simulate very long
isolated chains 136
4.8 Some advice 139
References 140
5 More on importance sampling Monte Carlo methods for
lattice systems 144
5.1 Cluster flipping methods 144
5.1.1 Fortuin–Kasteleyn theorem 144
5.1.2 Swendsen–Wang method 145
5.1.3 Wolff method 148
5.1.4 ‘Improved estimators’ 149
5.1.5 Invaded cluster algorithm 149
5.1.6 Probability changing cluster algorithm 150
5.2 Specialized computational techniques 151
5.2.1 Expanded ensemble methods 151
5.2.2 Multispin coding 151
5.2.3 N-fold way and extensions 152
5.2.4 Hybrid algorithms 155
5.2.5 Multigrid algorithms 155
5.2.6 Monte Carlo on vector computers 155
5.2.7 Monte Carlo on parallel computers 156
5.3 Classical spin models 157
5.3.1 Introduction 157
5.3.2 Simple spin-flip method 158
5.3.3 Heatbath method 160
5.3.4 Low temperature techniques 161
5.3.5 Over-relaxation methods 161
viii Contents

5.3.6 Wolff embedding trick and cluster flipping 162

5.3.7 Hybrid methods 163
5.3.8 Monte Carlo dynamics vs. equation of motion
dynamics 163
5.3.9 Topological excitations and solitons 164
5.4 Systems with quenched randomness 166
5.4.1 General comments: averaging in random systems 166
5.4.2 Parallel tempering: a general method to better
equilibrate systems with complex energy landscapes 171
5.4.3 Random fields and random bonds 172
5.4.4 Spin glasses and optimization by simulated
annealing 173
5.4.5 Ageing in spin glasses and related systems 178
5.4.6 Vector spin glasses: developments and surprises 178
5.5 Models with mixed degrees of freedom: Si/Ge alloys,
a case study 179
5.6 Methods for systems with long range interactions 181
5.7 Parallel tempering, simulated tempering, and related
methods: accuracy considerations 183
5.8 Sampling the free energy and entropy 186
5.8.1 Thermodynamic integration 186
5.8.2 Groundstate free energy determination 187
5.8.3 Estimation of intensive variables: the chemical
potential 188
5.8.4 Lee–Kosterlitz method 189
5.8.5 Free energy from finite size dependence at Tc 189
5.9 Miscellaneous topics 190
5.9.1 Inhomogeneous systems: surfaces, interfaces, etc. 190
5.9.2 Anisotropic critical phenomena: simulation boxes
with arbitrary aspect ratio 196
5.9.3 Other Monte Carlo schemes 198
5.9.4 Inverse and reverse Monte Carlo methods 200
5.9.5 Finite size effects: review and summary 202
5.9.6 More about error estimation 202
5.9.7 Random number generators revisited 204
5.10 Summary and perspective 207
References 208
6 Off-lattice models 212
6.1 Fluids 212
6.1.1 NVT ensemble and the virial theorem 212
6.1.2 NpT ensemble 216
6.1.3 Grand canonical ensemble 220
6.1.4 Near critical coexistence: a case study 224
6.1.5 Subsystems: a case study 226
6.1.6 Gibbs ensemble 231
 Contents ix

6.1.7 Widom particle insertion method and variants 234

6.1.8 Monte Carlo phase switch 236
6.1.9 Cluster algorithm for fluids 239
6.1.10 Event chain algorithms 241
6.2 ‘Short range’ interactions 242
6.2.1 Cutoffs 242
6.2.2 Verlet tables and cell structure 242
6.2.3 Minimum image convention 243
6.2.4 Mixed degrees of freedom reconsidered 243
6.3 Treatment of long range forces 243
6.3.1 Reaction field method 243
6.3.2 Ewald method 244
6.3.3 Fast multipole method 245
6.4 Adsorbed monolayers 246
6.4.1 Smooth substrates 246
6.4.2 Periodic substrate potentials 246
6.5 Complex fluids 247
6.5.1 Application of the Liu–Luijten algorithm to
a binary fluid mixture 250
6.6 Polymers: an introduction 251
6.6.1 Length scales and models 251
6.6.2 Asymmetric polymer mixtures: a case study 257
6.6.3 Applications: dynamics of polymer melts; thin
adsorbed polymeric films 261
6.6.4 Polymer melts: speeding up bond fluctuation
model simulations 265
6.7 Configurational bias and ‘smart Monte Carlo’ 267
6.8 Estimation of excess free energies due to walls for fluids
and solids 270
6.9 A symmetric, Lennard–Jones mixture: a case study 272
6.10 Finite size effects on interfacial properties: a case study 275
6.11 Outlook 277
References 278
7 Reweighting methods 282
7.1 Background 282
7.1.1 Distribution functions 282
7.1.2 Umbrella sampling 282
7.2 Single histogram method 285
7.2.1 The Ising model as a case study 286
7.2.2 The surface-bulk multicritical point: another case
study 292
7.3 Multihistogram method 295
7.4 Broad histogram method 296
7.5 Transition matrix Monte Carlo 296
7.6 Multicanonical sampling 297
x Contents

7.6.1 The multicanonical approach and its relationship

to canonical sampling 297
7.6.2 Near first order transitions 299
7.6.3 Groundstates in complicated energy landscapes 300
7.6.4 Interface free energy estimation 301
7.7 A case study: the Casimir effect in critical systems 302
7.8 Wang–Landau sampling 303
7.8.1 Basic algorithm 303
7.8.2 Applications to models with continuous variables 307
7.8.3 A simple example of two-dimensional
Wang–Landau sampling 307
7.8.4 Microcanonical entropy inflection points 308
7.8.5 Back to numerical integration 309
7.8.6 Replica exchange Wang–Landau sampling 310
7.9 A case study: evaporation/condensation transition
of droplets 314
References 316
8 Quantum Monte Carlo methods 319
8.1 Introduction 319
8.2 Feynman path integral formulation 320
8.2.1 Off-lattice problems: low temperature properties
of crystals 320
8.2.2 Bose statistics and superfluidity 327
8.2.3 Path integral formulation for rotational degrees
of freedom 328
8.3 Lattice problems 331
8.3.1 The Ising model in a transverse field 331
8.3.2 Anisotropic Heisenberg chain 332
8.3.3 Fermions on a lattice 336
8.3.4 An intermezzo: the minus sign problem 338
8.3.5 Spinless fermions revisited 340
8.3.6 Cluster methods for quantum lattice models 342
8.3.7 Continuous time simulations 344
8.3.8 Decoupled cell method 345
8.3.9 Handscomb’s method and the stochastic series
expansion (SSE) approach 346
8.3.10 Wang–Landau sampling for quantum models 347
8.3.11 Fermion determinants 349
8.4 Monte Carlo methods for the study of groundstate
properties 350
8.4.1 Variational Monte Carlo (VMC) 351
8.4.2 Green’s function Monte Carlo methods (GFMC) 353
8.5 Towards constructing the nodal surface of off-lattice,
many-Fermion systems: the ‘survival of the fittest’
algorithm 355
 Contents xi

8.6 Concluding remarks 359

References 360
9 Monte Carlo renormalization group methods 364
9.1 Introduction to renormalization group theory 364
9.2 Real space renormalization group 368
9.3 Monte Carlo renormalization group 369
9.3.1 Large cell renormalization 369
9.3.2 Ma’s method: finding critical exponents and
the fixed point Hamiltonian 371
9.3.3 Swendsen’s method 372
9.3.4 Location of phase boundaries 374
9.3.5 Dynamic problems: matching time-dependent
correlation functions 375
9.3.6 Inverse Monte Carlo renormalization group
transformations 376
References 376
10 Non-equilibrium and irreversible processes 378
10.1 Introduction and perspective 378
10.2 Driven diffusive systems (driven lattice gases) 378
10.3 Crystal growth 381
10.4 Domain growth 384
10.5 Polymer growth 387
10.5.1 Linear polymers 387
10.5.2 Gelation 387
10.6 Growth of structures and patterns 389
10.6.1 Eden model of cluster growth 389
10.6.2 Diffusion limited aggregation 389
10.6.3 Cluster–cluster aggregation 392
10.6.4 Cellular automata 392
10.7 Models for film growth 393
10.7.1 Background 393
10.7.2 Ballistic deposition 394
10.7.3 Sedimentation 395
10.7.4 Kinetic Monte Carlo and MBE growth 396
10.8 Transition path sampling 398
10.9 Forced polymer pore translocation: a case study 399
10.10 The Jarzynski non-equilibrium work theorem and its
application to obtain free energy differences from
trajectories 402
10.11 Outlook: variations on a theme 404
References 404
11 Lattice gauge models: a brief introduction 408
11.1 Introduction: gauge invariance and lattice gauge theory 408
11.2 Some technical matters 410
xii Contents

11.3 Results for Z(N) lattice gauge models 410

11.4 Compact U(1) gauge theory 411
11.5 SU(2) lattice gauge theory 412
11.6 Introduction: quantum chromodynamics (QCD) and
phase transitions of nuclear matter 413
11.7 The deconfinement transition of QCD 415
11.8 Towards quantitative predictions 418
11.9 Density of states in gauge theories 420
11.10 Perspective 421
References 421
12 A brief review of other methods of computer simulation 423
12.1 Introduction 423
12.2 Molecular dynamics 423
12.2.1 Integration methods (microcanonical ensemble) 423
12.2.2 Other ensembles (constant temperature, constant
pressure, etc.) 427
12.2.3 Non-equilibrium molecular dynamics 430
12.2.4 Hybrid methods (MD + MC) 430
12.2.5 Ab initio molecular dynamics 431
12.2.6 Hyperdynamics and metadynamics 432
12.3 Quasi-classical spin dynamics 432
12.4 Langevin equations and variations (cell dynamics) 436
12.5 Micromagnetics 437
12.6 Dissipative particle dynamics (DPD) 438
12.7 Lattice gas cellular automata 439
12.8 Lattice Boltzmann equation 440
12.9 Multiscale simulation 440
12.10 Multiparticle collision dynamics 442
References 444
13 Monte Carlo simulations at the periphery of physics
and beyond 447
13.1 Commentary 447
13.2 Astrophysics 447
13.3 Materials science 448
13.4 Chemistry 449
13.5 ‘Biologically inspired’ physics 451
13.5.1 Commentary and perspective 451
13.5.2 Lattice proteins 451
13.5.3 Cell sorting 453
13.6 Biology 454
13.7 Mathematics/statistics 455
13.8 Sociophysics 456
13.9 Econophysics 456
13.10 ‘Traffic’ simulations 457
13.11 Medicine 459
 Contents xiii

13.12 Networks: what connections really matter? 460

13.13 Finance 461
References 462
14 Monte Carlo studies of biological molecules 465
14.1 Introduction 465
14.2 Protein folding 466
14.2.1 Introduction 466
14.2.2 How to best simulate proteins: Monte Carlo or
molecular dynamics? 467
14.2.3 Generalized ensemble methods 467
14.2.4 Globular proteins: a case study 469
14.2.5 Simulations of membrane proteins 470
14.3 Monte Carlo simulations of RNA structures 472
14.4 Monte Carlo simulations of carbohydrates 472
14.5 Determining macromolecular structures 474
14.6 Outlook 475
References 475
15 Outlook 477

Appendix: Listing of programs mentioned in the text 479

Index 511
Preface

Historically physics was first known as ‘natural philosophy’ and research was
carried out by purely theoretical (or philosophical) investigation. True progress
was obviously limited by the lack of real knowledge of whether or not a given
theory really applied to nature. Eventually experimental investigation became
an accepted form of research although it was always limited by the physicist’s
ability to prepare a sample for study or to devise techniques to probe for the
desired properties. With the advent of computers it became possible to carry
out simulations of models which were intractable using ‘classical’ theoreti-
cal techniques. In many cases computers have, for the first time in history,
enabled physicists not only to invent new models for various aspects of nature
but also to solve those same models without substantial simplification. In recent
years computer power has increased quite dramatically, with access to com-
puters becoming both easier and more common (e.g. with personal computers
and workstations), and computer simulation methods have also been steadily
refined. As a result computer simulations have become another way of doing
physics research. They provide another perspective; in some cases simulations
provide a theoretical basis for understanding experimental results, and in other
instances simulations provide ‘experimental’ data with which theory may be
compared. There are numerous situations in which direct comparison between
analytical theory and experiment is inconclusive. For example, the theory of
phase transitions in condensed matter must begin with the choice of a Hamilto-
nian, and it is seldom clear to what extent a particular model actually represents
real material on which experiments are done. Since analytical treatments also
usually require mathematical approximations whose accuracy is difficult to
assess or control, one does not know whether discrepancies between theory
and experiment should be attributed to shortcomings of the model, the approx-
imations, or both. The goal of this text is to provide a basic understanding of
the methods and philosophy of computer simulations research with an empha-
sis on problems in statistical thermodynamics as applied to condensed matter
physics or materials science. There exist many other simulational problems in
physics (e.g. simulating the spectral intensity reaching a detector in a scattering
experiment) which are more straightforward and which will only occasionally
be mentioned. We shall use many specific examples and, in some cases, give

xv
xvi Preface

explicit computer programs, but we wish to emphasize that these methods are
applicable to a wide variety of systems including those which are not treated
here at all. As computer architecture changes, the methods presented here will
in some cases require relatively minor reprogramming and in other instances
will require new algorithm development in order to be truly efficient. We
hope that this material will prepare the reader for studying new and different
problems using both existing as well as new computers.
At this juncture we wish to emphasize that it is important that the simulation
algorithm and conditions be chosen with the physics problem at hand in
mind. The interpretation of the resultant output is critical to the success of
any simulational project, and we thus include substantial information about
various aspects of thermodynamics and statistical physics to help strengthen
this connection. We also wish to draw the reader’s attention to the rapid
development of scientific visualization and the important role that it can play
in producing understanding of the results of some simulations.
This book is intended to serve as an introduction to Monte Carlo methods
for graduate students, and advanced undergraduates, as well as more senior
researchers who are not yet experienced in computer simulations. The book is
divided up in such a way that it will be useful for courses which only wish to
deal with a restricted number of topics. Some of the later chapters may simply
be skipped without affecting the understanding of the chapters which follow.
Because of the immensity of the subject, as well as the existence of a number
of very good monographs and articles on advanced topics which have become
quite technical, we will limit our discussion in certain areas, e.g. polymers, to
an introductory level. The examples which are given are in FORTRAN, not
because it is necessarily the best scientific computer language, but because for
many decades of Monte Carlo simulations it was the most widespread. Many
existing Monte Carlo programs and related subprograms are in FORTRAN
and will be available to the student from libraries, journals, etc. (FORTRAN
has also evolved dramatically over its more than 50 years of existence, and the
newest versions are efficient and well suited for operations involving arrays and
for parallel algorithms. Object oriented languages, like C++, while useful for
writing complex programs, can be far more difficult to learn. Programs written
in popular, non-compiler languages, like Java or MATLAB, can be more
difficult to debug and run relatively slowly. Nevertheless, all the methods
described in this book can be implemented using the reader’s ‘language of
choice’.) A number of sample problems are suggested in the various chapters;
these may be assigned by course instructors or worked out by students on
their own. Our experience in assigning problems to students taking a graduate
course in simulations at the University of Georgia over a more than 30-year
period suggests that for maximum pedagogical benefit, students should be
required to prepare cogent reports after completing each assigned simulational
problem. Students were required to complete seven ‘projects’ in the course of
the semester for which they needed to write and debug programs, take and
analyze data, and prepare a report. Each report should briefly describe the
algorithm used, provide sample data and data analysis, draw conclusions, and
 Preface xvii

add comments. (A sample program/output should be included.) In this way,

the students obtain practice in the summary and presentation of simulational
results, a skill which will prove to be valuable later in their careers. For
convenience, most of the case studies that are described have been simply
taken from the research of the authors of this book – the reader should be
aware that this is by no means meant as a negative statement on the quality
of the research of numerous other groups in the field. Similarly, selected
references are given to aid the reader in finding more detailed information, but
because of length restrictions it is simply not possible to provide a complete
list of relevant literature. Many coworkers have been involved in the work
which is mentioned here, and it is a pleasure to thank them for their fruitful
collaboration. We have also benefited from the stimulating comments of many
of our colleagues and we wish to express our thanks to them as well.
The pace of developments in computer simulations continues at breakneck
speed. This fourth edition of our ‘guide’ to Monte Carlo simulations updates
some of the references and included numerous additions reflecting new algo-
rithms that have appeared since work on the third edition was completed.
The emphasis on the use of Monte Carlo simulations in biologically related
problems in the third edition proved to foretell the future, as the use of Monte
Carlo methods for the study of biological molecules has continued to expand.
Similarly, the use of Monte Carlo methods in ‘non-traditional’ areas of research
has continued to grow. There have been exciting new developments in com-
puter hardware; in particular, the use of GPUs in scientific computing has
dramatically altered the price/performance ratio for many algorithmic imple-
mentations. Because of advances in computer technology and algorithms, new
results often have much higher statistical precision than some of the older
examples in the text. Nonetheless, the older work often provides valuable ped-
agogical information for the student and may also be more readable than more
recent, and more compact, papers. An additional advantage is that the reader
can easily reproduce some of the older results with only a modest investment
of modern computer resources. Of course, newer, higher resolution studies
that are cited often permit yet additional information to be extracted from
simulational data, so striving for higher precision should not be viewed as
‘busy work’. We hope that this guide will help impart to the reader not only
an understanding of the methodology of Monte Carlo simulations but also an
appreciation for the new science that can be uncovered with the Monte Carlo
method.
1 Introduction

1 . 1 W H AT I S A M O N T E C A R L O S I M U L AT I O N ?

In a Monte Carlo simulation we attempt to follow the ‘time dependence’

of a model for which change, or growth, does not proceed in some rigorously
predefined fashion (e.g. according to Newton’s equations of motion) but rather
in a stochastic manner which depends on a sequence of random numbers
which is generated during the simulation. With a second, different sequence
of random numbers the simulation will not give identical results but will
yield values which agree with those obtained from the first sequence to within
some ‘statistical error’. A very large number of different problems fall into
this category: in percolation an empty lattice is gradually filled with particles
by placing a particle on the lattice randomly with each ‘tick of the clock’.
Lots of questions may then be asked about the resulting ‘clusters’ which are
formed of neighboring occupied sites. Particular attention has been paid to
the determination of the ‘percolation threshold’, i.e. the critical concentration
of occupied sites for which an ‘infinite percolating cluster’ first appears. A
percolating cluster is one which reaches from one boundary of a (macroscopic)
system to the opposite one. The properties of such objects are of interest in the
context of diverse physical problems such as conductivity of random mixtures,
flow through porous rocks, behavior of dilute magnets, etc. Another example is
diffusion limited aggregation (DLA) where a particle executes a random walk
in space, taking one step at each time interval, until it encounters a ‘seed’ mass
and sticks to it. The growth of this mass may then be studied as many random
walkers are turned loose. The ‘fractal’ properties of the resulting object are of
real interest, and while there is no accepted analytical theory of DLA to date,
computer simulation is the method of choice. In fact, the phenomenon of DLA
was first discovered by Monte Carlo simulation.
Considering problems of statistical mechanics, we may be attempting to
sample a region of phase space in order to estimate certain properties of the
model, although we may not be moving in phase space along the same path
which an exact solution to the time dependence of the model would yield.
Remember that the task of equilibrium statistical mechanics is to calculate
thermal averages of (interacting) many-particle systems: Monte Carlo simu-
lations can do that, taking proper account of statistical fluctuations and their
effects in such systems. Many of these models will be discussed in more detail

1
2 Introduction

in later chapters so we shall not provide further details here. Since the accu-
racy of a Monte Carlo estimate depends upon the thoroughness with which
phase space is probed, improvement may be obtained by simply running the
calculation a little longer to increase the number of samples. Unlike in the
application of many analytic techniques (e.g. perturbation theory for which
the extension to higher order may be prohibitively difficult), the improvement
of the accuracy of Monte Carlo results is possible not just in principle but also
in practice.

1 . 2 W H AT P R O B L E M S C A N W E S O LV E
WITH IT?

The range of different physical phenomena which can be explored using Monte
Carlo methods is exceedingly broad. Models which either naturally or through
approximation can be discretized can be considered. The motion of individual
atoms may be examined directly; e.g. in a binary (AB) metallic alloy where
one is interested in interdiffusion or unmixing kinetics (if the alloy was pre-
pared in a thermodynamically unstable state) the random hopping of atoms
to neighboring sites can be modeled directly. This problem is complicated
because the jump rates of the different atoms depend on the locally differing
environment. Of course, in this description the quantum mechanics of atoms
with potential barriers in the eV range is not explicitly considered, and the
sole effect of phonons (lattice vibrations) is to provide a ‘heat bath’ which
provides the excitation energy for the jump events. Because of a separation
of time scales (the characteristic times between jumps are orders of magni-
tude larger than atomic vibration periods) this approach provides very good
approximation. The same kind of arguments hold true for growth phenomena
involving macroscopic objects, such as DLA growth of colloidal particles; since
their masses are orders of magnitude larger than atomic masses, the motion
of colloidal particles in fluids is well described by classical, random Brownian
motion. These systems are hence well suited to study by Monte Carlo sim-
ulations which use random numbers to realize random walks. The thermal
properties of a fluid may be studied by considering ‘blocks’ of fluid as individ-
ual particles, but these blocks will be far larger than individual molecules. As an
example, we consider ‘micelle formation’ in lattice models of microemulsions
(water–oil–surfactant fluid mixtures) in which each surfactant molecule may
be modeled by two ‘dimers’ on the lattice (two occupied nearest neighbor sites
on the lattice). Different effective interactions allow one dimer to mimic the
hydrophilic group and the other dimer the hydrophobic group of the surfac-
tant molecule. This model then allows the study of the size and shape of the
aggregates of surfactant molecules (the micelles) as well as the kinetic aspects
of their formation. In reality, this process is quite slow so that a deterministic
molecular dynamics simulation (i.e. numerical integration of Newton’s second
law) is not feasible. This example shows that part of the ‘art’ of simulation is the
appropriate choice (or invention) of a suitable (coarse-grained) model. Large
 1.3 What difficulties will we encounter? 3

collections of interacting classical particles are directly amenable to Monte

Carlo simulation, and the behavior of interacting quantized particles is being
studied either by transforming the system into a pseudo-classical model or
by considering permutation properties directly. These considerations will be
discussed in more detail in later chapters. Equilibrium properties of systems of
interacting atoms have been extensively studied as have a wide range of models
for simple and complex fluids, magnetic materials, metallic alloys, adsorbed
surface layers, etc. More recently polymer models have been studied with
increasing frequency; note that the simplest model of a flexible polymer is a
random walk, an object which is well suited for Monte Carlo simulation. Fur-
thermore, some of the most significant advances in understanding the theory of
elementary particles have been made using Monte Carlo simulations of lattice
gauge models. A topic which finds increasing applications is the solution of the
Schrödinger equation for many interacting quantum particles by Monte Carlo
methods.

1 . 3 W H AT D I F F I C U LT I E S W I L L W E
ENCOUNTER?

1.3.1 Limited computer time and memory

Because of limits on computer speed there are some problems which are
inherently not suited to computer simulation at this time. A simulation which
requires years of CPU time on whatever machine is available is simply imprac-
tical. Similarly a calculation which requires memory which far exceeds that
which is available can be carried out only by using very sophisticated program-
ming techniques which slow down running speeds and greatly increase the
probability of errors. It is therefore important that the user first consider the
requirements of both memory and CPU time before embarking on a project
to ascertain whether or not there is a realistic possibility of obtaining the
resources to simulate a problem properly. Of course, with the rapid advances
being made by the computer industry, it may be necessary to wait only a
few years for computer facilities to catch up to your needs. Sometimes the
tractability of a problem may require the invention of a new, more efficient
simulation algorithm. Of course, developing new strategies to overcome such
difficulties constitutes an exciting field of research by itself.

1.3.2 Statistical and other errors

Assuming that the project can be done, there are still potential sources of
error which must be considered. These difficulties will arise in many different
situations with different algorithms so we wish to mention them briefly at
this time without reference to any specific simulation approach. All computers
operate with limited word length and hence limited precision for numerical
values of any variable. Truncation and round-off errors may in some cases
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