Concepts in Monte Carlo sampling

Abstract

We discuss modern ideas in Monte Carlo algorithms in the simplified setting of the one-dimensional anharmonic oscillator. After reviewing the connection between molecular dynamics and Monte Carlo, we introduce to the Metropolis and the factorized Metropolis algorithms and to lifted non-reversible Markov chains. We furthermore illustrate the concept of thinning, where moves are accepted by simple bounding potentials rather than, in our case, the harmonic and quartic constituents of the anharmonic oscillator. We point out the multiple connections of our example algorithms with real-world sampling problems. The paper is fully self-contained and Python implementations are provided.