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Author  |
Catumba, G.; Ramos, A.; Zaldivar, B. |
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Title |
Stochastic automatic differentiation for Monte Carlo processes |
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Journal Article |
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Year |
2025 |
Publication |
Computer Physics Communications |
Abbreviated Journal |
Comput. Phys. Commun. |
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Volume |
307 |
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Pages |
109396 - 13pp |
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Keywords |
Automatic differentiation; Monte Carlo; Lattice field theory; Optimization; Bayesian inference |
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Abstract |
Monte Carlo methods represent a cornerstone of computer science. They allow sampling high dimensional distribution functions in an efficient way. In this paper we consider the extension of Automatic Differentiation (AD) techniques to Monte Carlo processes, addressing the problem of obtaining derivatives (and in general, the Taylor series) of expectation values. Borrowing ideas from the lattice field theory community, we examine two approaches. One is based on reweighting while the other represents an extension of the Hamiltonian approach typically used by the Hybrid Monte Carlo (HMC) and similar algorithms. We show that the Hamiltonian approach can be understood as a change of variables of the reweighting approach, resulting in much reduced variances of the coefficients of the Taylor series. This work opens the door to finding other variance reduction techniques for derivatives of expectation values. |
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Address |
[Catumba, Guilherme; Ramos, Alberto; Zaldivar, Bryan] UVEG, CSIC, IFIC, Edificio Inst Invest,Apt 22085, E-46071 Valencia, Spain, Email: gtelo@ific.uv.es |
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Publisher |
Elsevier |
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Language |
English |
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Original Title |
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Series Volume |
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ISSN |
0010-4655 |
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Notes |
WOS:001337289000001 |
Approved |
no |
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Is ISI |
yes |
International Collaboration |
no |
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Call Number |
IFIC @ pastor @ |
Serial |
6297 |
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