Monte Carlo Methods

in Statistical Physics
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Monte Carlo Methods
in Statistical Physics
M. E. J. NEWMAN
Santa Fe Institute
and

G. T. BARKEMA
Institute for Theoretical Physics
Utrecht University

CLARENDON PRESS • OXFORD

OXFORD
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Published in the United States
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© M. E. J. Newman and G. T. Barkema, 1999
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Database right Oxford University Press (maker)
First published 1999
Reprinted (with corrections) 2001
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Printed in India by Thomson Press
Preface

This book is intended for those who are interested in the use of Monte Carlo
simulations in classical statistical mechanics. It would be suitable for use in
a course on simulation methods or on statistical physics. It would also be
a good choice for those who wish to teach themselves about Monte Carlo
methods, or for experienced researchers who want to learn more about some
of the sophisticated new simulation techniques which have appeared in the
last decade or so.
The primary goal of the book is to explain how to perform Monte Carlo
simulations efficiently. For many people, Monte Carlo simulation just means
applying the Metropolis algorithm to the problem in hand. Although this
famous algorithm is very easy to program, it is rarely the most efficient way
to perform a simulation. The Metropolis algorithm is certainly important
and we do discuss it in some detail (Chapter 3 is devoted to it), but we also
show that for most problems a little work with a pencil and paper can usu-
ally turn up a better algorithm, in some cases thousands or millions of times
faster. In recent years there has been quite a flurry of interesting new Monte
Carlo algorithms described in the literature, many of which are specifically
designed to accelerate the simulation of particular classes of problems in
statistical physics. Amongst others, we describe cluster algorithms, multi-
grid methods, non-local algorithms for conserved-order-parameter models,
entropic sampling, simulated tempering and continuous time Monte Carlo.
The book is divided into parts covering equilibrium and non-equilibrium
simulations, and throughout we give pointers to how the algorithms can be
most efficiently implemented. At the end of the book we include a number
of chapters on general implementation issues for Monte Carlo simulations.
We also cover data analysis methods in some detail, including generic meth-
ods for estimating observable quantities, equilibration and correlation times,
correlation functions, and standard errors, as well as a number of techniques
which are specific to Monte Carlo simulation, such as the single and multiple
histogram methods, finite-size scaling and the Monte Carlo renormalization
group.
The modus operandi of this book is teaching by example. We have tried
vi Preface

to include as many as possible of the important Monte Carlo algorithms in

use today, and each one we introduce in the context of a particular model
or models. For example, we illustrate the Metropolis algorithm by applying
it to the simulation of the Ising model. We have not assumed however that
the reader is familiar with the models studied, and give a brief outline of
the physics behind each one at the start of the corresponding chapter. All
we assume is that the reader has a working knowledge of basic statistical
mechanics and thermodynamics at the level typical of a student beginning
graduate study in physics. Reasonable fluency in a computer programming
language such as FORTRAN or C will certainly be necessary if you actually
want to write a Monte Carlo program yourself, but the book can be un-
derstood without it. We have avoided giving examples of actual computer
code in the body of the book. There are a couple of reasons for this. Doing
so would require the reader to know a particular language, or to learn that
language if he or she was not already familiar with it. Furthermore, we do
not believe that inclusion of the code helps much with the understanding
of an algorithm. It is better to get a clear idea of the principles behind an
algorithm by working through the physics and mathematics involved than to
try to learn by reading someone else's program. With a clear understanding
of the principles, you should be able to write your own program with little
difficulty. However, inspecting other people's programs can be useful in one
respect: it is a good way to learn programming tricks and techniques for
writing efficient code. For this reason we have included programs for some
of the more common Monte Carlo algorithms in an appendix at the end of
the book. The programs are written in C, which is fast replacing FORTRAN
as the most commonly used language for scientific programming.
We have also included a number of problems at the end of each chapter
for the reader to work through if he or she wishes. Some of these are purely
analytic and can be done on paper. Others ask the reader to write a short
computer program. Answers to the analytic problems are given at the end
of the book. The ones which require you to write a computer program have
many equally good solutions, so we have by and large resorted to giving
hints rather than answers for these problems.
There are many people and organizations who have assisted us in the
writing of this book. We would like to thank our editors Sonke Adlung,
Donald Degenhardt and Julia Tompson at Oxford University Press for their
help and patience. We are also grateful to a number of institutions who
have offered us hospitality during the four-year process of preparing the
manuscript, including Cornell University, Oxford University, the Institute
for Advanced Study in Princeton, Forschungszentrum Julich, the Santa Fe
Institute and Utrecht University. Finally, we would like to thank the many
colleagues and friends who have offered suggestions and encouragement,
including James Binney, Geoffrey Chester, Eytan Domany, Peter Grass-
Preface vii

berger, Harvey Gould, Daniel Kandel, Yongyut Laosiritaworn, Jim Louck,

Jon Machta, Nick Metropolis, Cris Moore, Richard Palmer, Gunter Schutz,
Jim Sethna, Kan Shen, Alan Sokal and Ben Widom. Responsibility for
any mistakes which may lurk in the text rests of course with the authors.
We would be very grateful to learn from our keen-eyed readers of any such
problems.

June 1998 Mark Newman

Santa Fe, New Mexico, USA
Gerard Barkema
Utrecht, The Netherlands
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Contents

I Equilibrium Monte Carlo simulations

1 Introduction 3
1.1 Statistical mechanics 3
1.2 Equilibrium 7
1.2.1 Fluctuations, correlations and responses 10
1.2.2 An example: the Ising model 15
1.3 Numerical methods 18
1.3.1 Monte Carlo simulation 21
1.4 A brief history of the Monte Carlo method 22
Problems 29

2 The principles of equilibrium thermal Monte Carlo

simulation 31
2.1 The estimator 31
2.2 Importance sampling 33
2.2.1 Markov processes 34
2.2.2 Ergodicity 35
2.2.3 Detailed balance 36
2.3 Acceptance ratios 40
2.4 Continuous time Monte Carlo 42
Problems 44

3 The Ising model and the Metropolis algorithm 45

3.1 The Metropolis algorithm 46
3.1.1 Implementing the Metropolis algorithm 49
3.2 Equilibration 53
3.3 Measurement 57
3.3.1 Autocorrelation functions 59
3.3.2 Correlation times and Markov matrices 65
3.4 Calculation of errors 68
3.4.1 Estimation of statistical errors 68
3.4.2 The blocking method 69
x Contents

3.4.3 The bootstrap method 71

3.4.4 The jackknife method 72
3.4.5 Systematic errors 73
3.5 Measuring the entropy 73
3.6 Measuring correlation functions 74
3.7 An actual calculation 76
3.7.1 The phase transition 82
3.7.2 Critical fluctuations and critical slowing down 84
Problems 85

4 Other algorithms for the Ising model 87

4.1 Critical exponents and their measurement 87
4.2 The Wolff algorithm 91
4.2.1 Acceptance ratio for a cluster algorithm 93
4.3 Properties of the Wolff algorithm 96
4.3.1 The correlation time and the dynamic exponent . . . 100
4.3.2 The dynamic exponent and the susceptibility 102
4.4 Further algorithms for the Ising model 106
4.4.1 The Swendsen-Wang algorithm 106
4.4.2 Niedermayer's algorithm 109
4.4.3 Multigrid methods 112
4.4.4 The invaded cluster algorithm 114
4.5 Other spin models 119
4.5.1 Potts models 120
4.5.2 Cluster algorithms for Potts models 125
4.5.3 Continuous spin models 127
Problems 132

5 The conserved-order-parameter Ising model 133

5.1 The Kawasaki algorithm 138
5.1.1 Simulation of interfaces 140
5.2 More efficient algorithms 141
5.2.1 A continuous time algorithm 143
5.3 Equilibrium crystal shapes 145
Problems 150

6 Disordered spin models 151

6.1 Glassy systems 153
6.1.1 The random-field Ising model 154
6.1.2 Spin glasses 157
6.2 Simulation of glassy systems 159
6.3 The entropic sampling method 161
6.3.1 Making measurements 162
6.3.2 Internal energy and specific heat 163
Contents xi

6.3.3 Implementing the entropic sampling method 164

6.3.4 An example: the random-field Ising model 166
6.4 Simulated tempering 169
6.4.1 The method 169
6.4.2 Variations 174
Problems 177

7 Ice models 179

7.1 Real ice and ice models 179
7.1.1 Arrangement of the protons 182
7.1.2 Residual entropy of ice 183
7.1.3 Three-colour models 186
7.2 Monte Carlo algorithms for square ice 187
7.2.1 The standard ice model algorithm 188
7.2.2 Ergodicity 189
7.2.3 Detailed balance 191
7.3 An alternative algorithm 191
7.4 Algorithms for the three-colour model 193
7.5 Comparison of algorithms for square ice 196
7.6 Energetic ice models 201
7.6.1 Loop algorithms for energetic ice models 202
7.6.2 Cluster algorithms for energetic ice models 205
Problems 209

8 Analysing Monte Carlo data 210

8.1 The single histogram method 211
8.1.1 Implementation 217
8.1.2 Extrapolating in other variables 218
8.2 The multiple histogram method 219
8.2.1 Implementation 226
8.2.2 Interpolating other variables 228
8.3 Finite size scaling 229
8.3.1 Direct measurement of critical exponents 230
8.3.2 The finite size scaling method 232
8.3.3 Difficulties with the finite size scaling method 236
8.4 Monte Carlo renormalization group 240
8.4.1 Real-space renormalization 240
8.4.2 Calculating critical exponents: the exponent v . . . . 246
8.4.3 Calculating other exponents 250
8.4.4 The exponents 8 and 0 251
8.4.5 More accurate transformations 252
8.4.6 Measuring the exponents 256
Problems 258
xii Contents

II Out-of-equilibrium simulations
9 Out-of-equilibrium Monte Carlo simulations 263
9.1 Dynamics . 264
9.1.1 Choosing the dynamics 266

10 Non-equilibrium simulations of the Ising model 268

10.1 Phase separation and the Ising model 268
10.1.1 Phase separation in the ordinary Ising model 271
10.1.2 Phase separation in the COP Ising model 271
10.2 Measuring domain size 274
10.2.1 Correlation functions 274
10.2.2 Structure factors 277
10.3 Phase separation in the 3D Ising model 278
10.3.1 A more efficient algorithm , 279
10.3.2 A continuous time algorithm 280
10.4 An alternative dynamics 282
10.4.1 Bulk diffusion and surface diffusion 283
10.4.2 A bulk diffusion algorithm 284
Problems 288

11 Monte Carlo simulations in surface science 289

11.1 Dynamics, algorithms and energy barriers 292
11.1.1 Dynamics of a single adatom 293
11.1.2 Dynamics of many adatoms 296
11.2 Implementation 301
11.2.1 Kawasaki and bond-counting algorithms 301
11.2.2 Lookup table algorithms 302
11.3 An example: molecular beam epitaxy 304
Problems 306

12 The repton model 307

12.1 Electrophoresis 307
12.2 The repton model 309
12.2.1 The projected repton model 313
12.2.2 Values of the parameters in the model 314
12.3 Monte Carlo simulation of the repton model 315
12.3.1 Improving the algorithm 316
12.3.2 Further improvements 318
12.3.3 Representing configurations of the repton model . . . 320
12.4 Results of Monte Carlo simulations 322
12.4.1 Simulations in zero electric field 323
12.4.2 Simulations in non-zero electric field 323
Problems 327
Contents xiii

III Implementation
13 Lattices and data structures 331
13.1 Representing lattices on a computer 332
13.1.1 Square and cubic lattices 332
13.1.2 Triangular, honeycomb and Kagome lattices 335
13.1.3 Fcc, bcc and diamond lattices 340
13.1.4 General lattices 342
13.2 Data structures 343
13.2.1 Variables 343
13.2.2 Arrays 345
13.2.3 Linked lists 345
13.2.4 Trees 348
13.2.5 Buffers 352
Problems 355

14 Monte Carlo simulations on parallel computers 356

14.1 Trivially parallel algorithms 358
14.2 More sophisticated parallel algorithms 359
14.2.1 The Ising model with the Metropolis algorithm . . . . 359
14.2.2 The Ising model with a cluster algorithm 361
Problems 362

15 Multispin coding 364

15.1 The Ising model 365
15.1.1 The one-dimensional Ising model 365
15.1.2 The two-dimensional Ising model 367
15.2 Implementing multispin-coded algorithms 369
15.3 Truth tables and Karnaugh maps 369
15.4 A multispin-coded algorithm for the repton model 373
15.5 Synchronous update algorithms 379
Problems 380

16 Random numbers 382

16.1 Generating uniformly distributed random numbers 382
16.1.1 True random numbers 384
16.1.2 Pseudo-random numbers 385
16.1.3 Linear congruential generators 386
16.1.4 Improving the linear congruential generator 390
16.1.5 Shift register generators 392
16.1.6 Lagged Fibonacci generators 393
16.2 Generating non-uniform random numbers 396
16.2.1 The transformation method 396
16.2.2 Generating Gaussian random numbers 399
xiv Contents

16.2.3 The rejection method 401

16.2.4 The hybrid method 404
16.3 Generating random bits 406
Problems 409

References 410

Appendices
A Answers to problems 417
B Sample programs 433
B.1 Algorithms for the Ising model 433
B.1.1 Metropolis algorithm 433
B.1.2 Multispin-coded Metropolis algorithm 435
B.1.3 Wolff algorithm 437
B.2 Algorithms for the COP Ising model 438
B.2.1 Non-local algorithm 438
B.2.2 Continuous time algorithm 441
B.3 Algorithms for Potts models 445
B.4 Algorithms for ice models 448
B.5 Random number generators 451
B.5.1 Linear congruential generator 451
B.5.2 Shuffled linear congruential generator 452
B.5.3 Lagged Fibonacci generator 452

Index 455
Part I

Equilibrium Monte Carlo

simulations
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1
Introduction

This book is about the use of computers to solve problems in statistical

physics. In particular, it is about Monte Carlo methods, which form
the largest and most important class of numerical methods used for solving
statistical physics problems. In this opening chapter of the book we look
first at what we mean by statistical physics, giving a brief overview of the
discipline we call statistical mechanics. Whole books have been written
on statistical mechanics, and our synopsis takes only a few pages, so we must
necessarily deal only with the very basics of the subject. We are assuming
that these basics are actually already familiar to you, but writing them down
here will give us a chance to bring back to mind some of the ideas that are
most relevant to the study of Monte Carlo methods. In this chapter we also
look at some of the difficulties associated with solving problems in statistical
physics using a computer, and outline what Monte Carlo techniques are, and
why they are useful. In the last section of the chapter, purely for fun, we
give a brief synopsis of the history of computational physics and Monte Carlo
methods.

1.1 Statistical mechanics

Statistical mechanics is primarily concerned with the calculation of prop-
erties of condensed matter systems. The crucial difficulty associated with
these systems is that they are composed of very many parts, typically atoms
or molecules. These parts are usually all the same or of a small number
of different types and they often obey quite simple equations of motion so
that the behaviour of the entire system can be expressed mathematically
in a straightforward manner. But the sheer number of equations—just the
magnitude of the problem—makes it impossible to solve the mathematics
exactly. A standard example is that of a volume of gas in a container. One
4 Chapter 1: Introduction

litre of, say, oxygen at standard temperature and pressure consists of about
3 x 1022 oxygen molecules, all moving around and colliding with one another
and the walls of the container. One litre of air under the same conditions
contains the same number of molecules, but they are now a mixture of oxy-
gen, nitrogen, carbon dioxide and a few other things. The atmosphere of the
Earth contains 4 x 1021 litres of air, or about 1 x 1044 molecules, all moving
around and colliding with each other and the ground and trees and houses
and people. These are large systems. It is not feasible to solve Hamilton's
equations for these systems because there are simply too many equations,
and yet when we look at the macroscopic properties of the gas, they are very
well-behaved and predictable. Clearly, there is something special about the
behaviour of the solutions of these many equations that "averages out" to
give us a predictable behaviour for the entire system. For example, the pres-
sure and temperature of the gas obey quite simple laws although both are
measures of rather gross average properties of the gas. Statistical mechanics
attempts to side-step the problem of solving the equations of motion and cut
straight to the business of calculating these gross properties of large systems
by treating them in a probabilistic fashion. Instead of looking for exact so-
lutions, we deal with the probabilities of the system being in one state or
another, having this value of the pressure or that—hence the name statisti-
cal mechanics. Such probabilistic statements turn out to be extremely useful,
because we usually find that for large systems the range of behaviours of the
system that are anything more than phenomenally unlikely is very small;
all the reasonably probable behaviours fall into a narrow range, allowing us
to state with extremely high confidence that the real system will display
behaviour within that range. Let us look at how statistical mechanics treats
these systems and demonstrates these conclusions.
The typical paradigm for the systems we will be studying in this book is
one of a system governed by a Hamiltonian function H which gives us the
total energy of the system in any particular state. Most of the examples
we will be looking at have discrete sets of states each with its own energy,
ranging from the lowest, or ground state energy E0 upwards, E1, E2, E3 ...,
possibly without limit. Statistical mechanics, and the Monte Carlo methods
we will be introducing, are also applicable to systems with continuous energy
spectra, and we will be giving some examples of such applications.
If our Hamiltonian system were all we had, life would be dull. Being
a Hamiltonian system, energy would be conserved, which means that the
system would stay in the same energy state all the time (or if there were
a number of degenerate states with the same energy, maybe it would make
transitions between those, but that's as far as it would get).1 However,
1
For a classical system which has a continuum of energy states there can be a continuous
set of degenerate states through which the system passes, and an average over those states
can sometimes give a good answer for certain properties of the system. Such sets of
1.1 Statistical mechanics 5

there's another component to our paradigm, and that is the thermal reser-
voir. This is an external system which acts as a source and sink of heat,
constantly exchanging energy with our Hamiltonian system in such a way
as always to push the temperature of the system—defined as in classical
thermodynamics—towards the temperature of the reservoir. In effect the
reservoir is a weak perturbation on the Hamiltonian, which we ignore in our
calculation of the energy levels of our system, but which pushes the system
frequently from one energy level to another. We can incorporate the effects
of the reservoir in our calculations by giving the system a dynamics, a rule
whereby the system changes periodically from one state to another. The ex-
act nature of the dynamics is dictated by the form of the perturbation that
the reservoir produces in the Hamiltonian. We will discuss many different
possible types of dynamics in the later chapters of this book. However, there
are a number of general conclusions that we can reach without specifying
the exact form of the dynamics, and we will examine these first.
Suppose our system is in a state u. Let us define R(u —» v) dt to be the
probability that it is in state v a time dt later. R(u — v) is the transi-
tion rate for the transition from u to v. The transition rate is normally
assumed to be time-independent and we will make that assumption here.
We can define a transition rate like this for every possible state v that the
system can reach. These transition rates are usually all we know about the
dynamics, which means that even if we know the state u that the system
starts off in, we need only wait a short interval of time and it could be in
any one of a very large number of other possible states. This is where our
probabilistic treatment of the problem comes in. We define a set of weights
wu(t) which represent the probability that the system will be in state u at
time t. Statistical mechanics deals with these weights, and they represent
our entire knowledge about the state of the system. We can write a master
equation for the evolution of wu(t) in terms of the rates R(u —> v) thus:2

The first term on the right-hand side of this equation represents the rate at
which the system is undergoing transitions into state u; the second term is
the rate at which it is undergoing transitions out of u into other states. The
probabilities wu(t) must also obey the sum rule

degenerate states are said to form a microcanonical ensemble. The more general case
we consider here, in which there is a thermal reservoir causing the energy of the system
to fluctuate, is known as a canonical ensemble.
2
The master equation is really a set of equations, one for each state u, although people
always call it the master equation, as if there were only one equation here.
6 Chapter 1: Introduction

for all t, since the system must always be in some state. The solution of
Equation (1.1), subject to the constraint (1.2), tells us how the weights wu
vary over time.
And how are the weights wu related to the macroscopic properties of the
system which we want to know about? Well, if we are interested in some
quantity Q, which takes the value Qu in state u, then we can define the
expectation of Q at time t for our system as

Clearly this quantity contains important information about the real value of
Q that we might expect to measure in an experiment. For example, if our
system is definitely in one state T then (Q) will take the corresponding value
QT. And if the system is equally likely to be in any of perhaps three states,
and has zero probability of being in any other state, then (Q) is equal to the
mean of the values of Q in those three states, and so forth. However, the
precise relation of (Q) to the observed value of Q is perhaps not very clear.
There are really two ways to look at it. The first, and more rigorous, is to
imagine having a large number of copies of our system all interacting with
their own thermal reservoirs and whizzing between one state and another
all the time. (Q) is then a good estimate of the number we would get if
we were to measure the instantaneous value of the quantity Q in each of
these systems and then take the mean of all of them. People who worry
about the conceptual foundations of statistical mechanics like to take this
"many systems" approach to defining the expectation of a quantity.3 The
trouble with it however is that it's not very much like what happens in a
real experiment. In a real experiment we normally only have one system and
we make all our measurements of Q on that system, though we probably
don't just make a single instantaneous measurement, but rather integrate
our results over some period of time. There is another way of looking at
the expectation value which is similar to this experimental picture, though
it is less rigorous than the many systems approach. This is to envisage the
expectation as a time average of the quantity Q. Imagine recording the value
of Q every second for a thousand seconds and taking the average of those one
thousand values. This will correspond roughly to the quantity calculated in
Equation (1.3) as long as the system passes through a representative selection
of the states in the probability distribution wu in those thousand seconds.
And if we make ten thousand measurements of Q instead of one thousand,
3
In fact the word ensemble, as in the "canonical ensemble" which was mentioned in a
previous footnote, was originally introduced by Gibbs to describe an ensemble of systems
like this, and not an ensemble of, say, molecules, or any other kind of ensemble. These
days however, use of this word no longer implies that the writer is necessarily thinking of
a many systems formulation of statistical mechanics.
1.2 Equilibrium 7

or a million or more, we will get an increasingly accurate fit between our

experimental average and the expectation (Q).
Why is this a less rigorous approach? The main problem is the question
of what we mean by a "representative selection of the states". There is no
guarantee that the system will pass through anything like a representative
sample of the states of the system in our one thousand seconds. It could
easily be that the system only hops from one state to another every ten
thousand seconds, and so turns out to be in the same state for all of our
one thousand measurements. Or maybe it changes state very rapidly, but
because of the nature of the dynamics spends long periods of time in small
portions of the state space. This can happen for example if the transition
rates R(u —> v) are only large for states of the system that differ in very
small ways, so that the only way to make a large change in the state of
the system is to go through very many small steps. This is a very common
problem in a lot of the systems we will be looking at in this book. Another
potential problem with the time average interpretation of (1.3) is that the
weights Wu(t), which are functions of time, may change considerably over
the course of our measurements, making the expression invalid. This can be
a genuine problem in both experiments and simulations of non-equilibrium
systems, which are the topic of the second part of this book. For equilibrium
systems, as discussed below, the weights are by definition not time-varying,
so this problem does not arise.
Despite these problems however, this time-average interpretation of the
expectation value of a quantity is the most widely used and most experi-
mentally relevant interpretation, and it is the one that we will adopt in this
book. The calculation of expectation values is one of the fundamental goals
of statistical mechanics, and of Monte Carlo simulation in statistical physics,
and much of our time will be concerned with it.

1.2 Equilibrium
Consider the master equation (1.1) again. If our system ever reaches a state
in which the two terms on the right-hand side exactly cancel one another for
all u, then the rates of change dwu/dt will all vanish and the weights will
all take constant values for the rest of time. This is an equilibrium state.
Since the master equation is first order with real parameters, and since the
variables wu. are constrained to lie between zero and one (which effectively
prohibits exponentially growing solutions to the equations) we can see that
all systems governed by these equations must come to equilibrium in the end.
A large part of this book will be concerned with Monte Carlo techniques for
simulating equilibrium systems and in this section we develop some of the
important statistical mechanical concepts that apply to these systems.
The transition rates R(u —» v) appearing in the master equation (1.1)
8 Chapter 1: Introduction

do not just take any values. They take particular values which arise out of
the thermal nature of the interaction between the system and the thermal
reservoir. In the later chapters of this book we will have to choose val-
ues for these rates when we simulate thermal systems in our Monte Carlo
calculations, and it is crucial that we choose them so that they mimic the
interactions with the thermal reservoir correctly. The important point is
that we know a priori what the equilibrium values of the weights wu are for
our system. We call these equilibrium values the equilibrium occupation
probabilities and denote them by

It was Gibbs (1902) who showed that for a system in thermal equilibrium
with a reservoir at temperature T, the equilibrium occupation probabilities
are

Here Eu is the energy of state u and k is Boltzmann's constant, whose value

is 1.38 x 10-23 J K - 1 . It is conventional to denote the quantity (kT)-1
by the symbol B, and we will follow that convention in this book. Z is a
normalizing constant, whose value is given by

Z is also known as the partition function, and it figures a lot more heavily
in the mathematical development of statistical mechanics than a mere nor-
malizing constant might be expected to. It turns out in fact that a knowledge
of the variation of Z with temperature and any other parameters affecting
the system (like the volume of the box enclosing a sample of gas, or the mag-
netic field applied to a magnet) can tell us virtually everything we might want
to know about the macroscopic behaviour of the system. The probability
distribution (1.5) is known as the Boltzmann distribution, after Ludwig
Boltzmann, one of the pioneers of statistical mechanics. For a discussion of
the origins of the Boltzmann distribution and the arguments that lead to it,
the reader is referred to the exposition by Walter Grandy in his excellent
book Foundations of Statistical Mechanics (1987). In our treatment we will
take Equation (1.5) as our starting point for further developments.
From Equations (1.3), (1.4) and (1.5) the expectation of a quantity Q for
a system in equilibrium is
1.2 Equilibrium 9

For example, the expectation value of the energy (E), which is also the
quantity we know from thermodynamics as the internal energy U, is given
by

From Equation (1.6) we can see that this can also be written in terms of a
derivative of the partition function:

The specific heat is given by the derivative of the internal energy:

However, from thermodynamics we know that the specific heat is also related
to the entropy:

and, equating these two expressions for C and integrating with respect to B,
we find the following expression for the entropy:

(There is in theory an integration constant in this equation, but it is set to

zero under the convention known as the third law of thermodynamics, which
fixes the arbitrary origin of entropy by saying that the entropy of a system
should tend to zero as the temperature does.) We can also write an expres-
sion for the (Helmholtz) free energy F of the system, using Equations (1.9)
and (1.12):

We have thus shown how U, F, C and S can all be calculated directly

from the partition function Z. The last equation also tells us how we can
deal with other parameters affecting the system. In classical thermodynam-
ics, parameters and constraints and fields interacting with the system each
have conjugate variables which represent the response of the system to the
perturbation of the corresponding parameter. For example, the response of
a gas system in a box to a change in the confining volume is a change in the
pressure of the gas. The pressure p is the conjugate variable to the para-
meter V. Similarly, the magnetization M of a magnet changes in response
10 Chapter 1: Introduction

to the applied magnetic field B; M and B are conjugate variables. Ther-

modynamics tells us that we can calculate the values of conjugate variables
from derivatives of the free energy:

Thus, if we can calculate the free energy using Equation (1.13), then we can
calculate the effects of parameter variations too.
In performing Monte Carlo calculations of the properties of equilibrium
systems, it is sometimes appropriate to calculate the partition function and
then evaluate other quantities from it. More often it is better to calculate
the quantities of interest directly, but many times in considering the theory
behind our simulations we will return to the idea of the partition function,
because in principle the entire range of thermodynamic properties of a system
can be deduced from this function, and any numerical method that can make
a good estimate of the partition function is at heart a sound method.

1.2.1 Fluctuations, correlations and responses

Statistical mechanics can tell us about other properties of a system apart
from the macroscopic ones that classical equilibrium thermodynamics deals
with such as entropy and pressure. One of the most physically interesting
classes of properties is fluctuations in observable quantities. We described
in the first part of Section 1.1 how the calculation of an expectation could be
regarded as a time average over many measurements of the same property
of a single system. In addition to calculating the mean value of these many
measurements, it is often useful also to calculate their standard deviation,
which gives us a measure of the variation over time of the quantity we are
looking at, and so tells us quantitatively how much of an approximation
we are making by giving just the one mean value for the expectation. To
take an example, let us consider the internal energy again. The mean square
deviation of individual, instantaneous measurements of the energy away from
the mean value U — (E) is

We can calculate (E2) from derivatives of the partition function in a way

similar to our calculation of (E):
1.2 Equilibrium 11

So

Using Equation (1.10) to eliminate the second derivative, we can also write
this as

And the standard deviation of E, the RMS fluctuation in the internal energy,
is just the square root of this expression.
This result is interesting for a number of reasons. First, it gives us the
magnitude of the fluctuations in terms of the specific heat C or alternatively
in terms of log Z = -BF. In other words we can calculate the fluctuations
entirely from quantities that are available within classical thermodynamics.
However, this result could never have been derived within the framework
of thermodynamics, since it depends on microscopic details that thermody-
namics has no access to. Second, let us look at what sort of numbers we
get out for the size of the energy fluctuations of a typical system. Let us go
back to our litre of gas in a box. A typical specific heat for such a system is
1 JK-1 at room temperature and atmospheric pressure, giving RMS energy
fluctuations of about 10-18 J. The internal energy itself on the other hand
will be around 102 J, so the fluctuations are only about one part in 1020.
This lends some credence to our earlier contention that statistical treatments
can often give a very accurate estimate of the expected behaviour of a sys-
tem. We see that in the case of the internal energy at least, the variation of
the actual value of U around the expectation value (E) is tiny by compari-
son with the kind of energies we are considering for the whole system, and
probably not within the resolution of our measuring equipment. So quoting
the expectation value gives a very good guide to what we should expect to
see in an experiment. Furthermore, note that, since the specific heat C is
an extensive quantity, the RMS energy fluctuations, which are the square
root of Equation (1.19), scale like /V with the volume V of the system. The
internal energy itself on the other hand scales like V, so that the relative size
of the fluctuations compared to the internal energy decreases as 1\V as the
system becomes large. In the limit of a very large system, therefore, we can
ignore the fluctuations altogether. For this reason, the limit of a large system
is called the thermodynamic limit. Most of the questions we would like
to answer about condensed matter systems are questions about behaviour
in the thermodynamic limit. Unfortunately, in Monte Carlo simulations it
is often not feasible to simulate a system large enough that its behaviour
is a good approximation to a large system. Much of the effort we put into
designing algorithms will be aimed at making them efficient enough that we
can simulate the largest systems possible in the available computer time, in
12 Chapter 1: Introduction

the hope of getting results which are at least a reasonable approximation to

the thermodynamic limit.
What about fluctuations in other thermodynamic variables? As we dis-
cussed in Section 1.2, each parameter of the system that we fix, such as a
volume or an external field, has a conjugate variable, such as a pressure or a
magnetization, which is given as a derivative of the free energy by an equa-
tion such as (1.14) or (1.15). Derivatives of this general form are produced
by terms in the Hamiltonian of the form — XY, where Y is a "field" whose
value we fix, and X is the conjugate variable to which it couples. For ex-
ample, the effect of a magnetic field on a magnet can be accounted for by a
magnetic energy term in the Hamiltonian of the form —MB, where M is the
magnetization of the system, and B is the applied magnetic field. We can
write the expectation value of X in the form of Equations (1.14) and (1.15)
thus:

since Eu now contains the term — XuY which the derivative acts on. Here
Xu, is the value of the quantity X in the state u. We can then write this in
terms of the free energy thus:

This is a useful technique for calculating the thermal average of a quan-

tity, even if no appropriate field coupling to that quantity appears in the
Hamiltonian. We can simply make up a fictitious field which couples to our
quantity in the appropriate way—just add a term to the Hamiltonian any-
way to allow us to calculate the expectation of the quantity we are interested
in—and then set the field to zero after performing the derivative, making the
fictitious term vanish from the Hamiltonian again. This is a very common
trick in statistical mechanics.
Another derivative of log Z with respect to Y produces another factor of
Xu in the sum over states, and we find

which we recognize as the mean square fluctuation in the variable X. Thus

we can find the fluctuations in all sorts of quantities from second derivatives
of the free energy with respect to the appropriate fields, just as we can find
the energy fluctuations from the second derivative with respect to B. The
derivative d(X)/dY, which measures the strength of the response of X to
changes in Y is called the susceptibility of X to Y, and is usually denoted
by x:
1.2 Equilibrium 13

Thus the fluctuations in a variable are proportional to the susceptibility of

that variable to its conjugate field. This fact is known as the linear re-
sponse theorem and it gives us a way to calculate susceptibilities within
Monte Carlo calculations by measuring the size of the fluctuations of a vari-
able.
Extending the idea of the susceptibility, and at the same time moving a
step further from the realm of classical thermodynamics, we can also con-
sider what happens when we change the value of a parameter or field at one
particular position in our system and ask what effect that has on the con-
jugate variable at other positions. To study this question we will consider
for the moment a system on a lattice. Similar developments are possible for
continuous systems like gases, but most of the examples considered in this
book are systems which fall on lattices, so it will be of more use to us to go
through this for a lattice system here. The interested reader might like to
develop the corresponding theory for a continuous system as an exercise.
Let us then suppose that we now have a field which is spatially varying
and takes the value Yi on the iih site of the lattice. The conjugate variables
to this field4 are denoted Xi, and the two are linked via a term in the Hamil-
tonian — EixiYi. Clearly if we set Yi = Y and xi = X/N for all sites i,
where N is the total number of sites on the lattice, then this becomes equal
once more to the homogeneous situation we considered above. Now in a
direct parallel with Equation (1.20) we can write the average value of Xi as

where xu is the value of Xi in state u. Then we can define a generalized

susceptibility Xij which is a measure of the response of (xj) to a variation of
the field Yj at a different lattice site:

Again the susceptibility is a second derivative of the free energy. If we make

the substitution Z = X)u e -BEu again (Equation (1.6)), we see that this is
also equal to

4
We use lower-case xi to denote an intensive variable. X by contrast was extensive,
i.e., its value scales with the size of the system. We will use this convention to distinguish
intensive and extensive variables throughout much of this book.
14 Chapter 1: Introduction

(2)
The quantity G(2) (i,j) is called the two-point connected correlation
function of x between sites i and j, or just the connected correlation, for
short. The superscript (2) is to distinguish this function from higher order
correlation functions, which are discussed below. As its name suggests, this
function is a measure of the correlation between the values of the variable x
on the two sites; it takes a positive value if the values of x on those two sites
fluctuate in the same direction together, and a negative one if they fluctuate
in opposite directions. If their fluctuations are completely unrelated, then its
value will be zero. To see why it behaves this way consider first the simpler
disconnected correlation function G(2)(i,j) which is defined to be

If the variables Xj and Xj are fluctuating roughly together, around zero, both
becoming positive at once and then both becoming negative, at least most of
the time, then all or most of the values of the product XiXj that we average
will be positive, and this function will take a positive value. Conversely, if
they fluctuate in opposite directions, then it will take a negative value. If
they sometimes fluctuate in the same direction as one another and sometimes
in the opposite direction, then the values of XiXj will take a mixture of
positive and negative values, and the correlation function will average out
close to zero. This function therefore has pretty much the properties we
desire of a correlation function, and it can tell us a lot of useful things about
the behaviour of our system. However, it is not perfect, because we must
also consider what happens if we apply our field Y to the system. This
can have the effect that the mean value of x at a site (xi) can be non-
zero. The same thing can happen even in the absence of an external field if
our system undergoes a phase transition to a spontaneously symmetry
broken state where a variable such as x spontaneously develops a non-zero
expectation value. (The Ising model of Section 1.2.2, for instance, does this.)
In cases like these, the disconnected correlation function above can have a
large positive value simply because the values of the variables Xi and Xj are
always either both positive or both negative, even though this has nothing to
do with them being correlated to one another. The fluctuations of Xi and Xj
can be completely unrelated and still the disconnected correlation function
takes a non-zero value. To obviate this problem we define the connected
correlation function as above:

When the expectations (xi) and (xj) are zero and Xi and Xj are just fluctuat-
ing around zero, this function is exactly equal to the disconnected correlation
function. But when the expectations are non-zero, the connected correlation
1.2 Equilibrium 15

function correctly averages only the fluctuations about those expectations—

the term we subtract exactly takes care of any trivial contribution arising
because of external fields or spontaneous symmetry breaking. If such trivial
contributions are the only reason why G(2) is non-zero then G(2) will be
zero, which is what we would like. If it is not zero, then we have a genuine
correlation between the fluctuations of Xi and Xj.
Although they are not often used in the sorts of systems we will be
studying in this book and we will not have call to calculate their values
in any of the calculations we will describe here, it is worth mentioning, in
case you ever need to use them, that there are also higher-order connected
correlation functions, defined by generalizing Equation (1.25) like this:

and so on. These are measures of the correlation between simultaneous

fluctuations on three and four sites respectively. For a more detailed discus-
sion of these correlation functions and other related ones, see for example
Binney et al. (1992).

1.2.2 An example: the Ising model

To try to make all of this a bit more concrete, we now introduce a particular
model which we can try these concepts out on. That model is the Ising
model, which is certainly the most thoroughly researched model in the whole
of statistical physics. Without doubt more person-hours have been spent
investigating the properties of this model than any other, and although an
exact solution of its properties in three dimensions still eludes us, despite
many valiant and increasingly sophisticated attempts, a great deal about it is
known from computer simulations, and also from approximate methods such
as series expansions and e-expansions. We will spend three whole chapters
of this book (Chapters 3, 4 and 10) discussing Monte Carlo techniques for
studying the model's equilibrium and non-equilibrium properties. Here we
will just introduce it briefly and avoid getting too deeply into the discussion
of its properties.
The Ising model is a model of a magnet. The essential premise behind it,
and behind many magnetic models, is that the magnetism of a bulk material
is made up of the combined magnetic dipole moments of many atomic spins
within the material. The model postulates a lattice (which can be of any
geometry we choose—the simple cubic lattice in three dimensions is a com-
mon choice) with a magnetic dipole or spin on each site. In the Ising model
16 Chapter 1: Introduction

these spins assume the simplest form possible, which is not particularly re-
alistic, of scalar variables Si which can take only two values ±1, representing
up-pointing or down-pointing dipoles of unit magnitude. In a real, magnetic
material the spins interact, for example through exchange interactions or
RKKY interactions (see, for instance, Ashcroft and Mermin 1976), and the
Ising model mimics this by including terms in the Hamiltonian proportional
to products SiSj of the spins. In the simplest case, the interactions are all of
the same strength, denoted by J which has the dimensions of an energy, and
are only between spins on sites which are nearest neighbours on the lattice.
We can also introduce an external magnetic field B coupling to the spins.
The Hamiltonian then takes the form

where the notation (ij) indicates that the sites i and j appearing in the sum
are nearest neighbours.5 The minus signs here are conventional. They merely
dictate the choice of sign for the interaction parameter J and the external
field B. With the signs as they are here, a positive value of J makes the
spins want to line up with one another—a ferromagnetic model as opposed
to an anti-ferromagnetic one which is what we get if J is negative—and the
spins also want to line up in the same direction as the external field—they
want to be positive if B > 0 and negative if B < 0.
The states of the Ising system are the different sets of values that the
spins can take. Since each spin can take two values, there are a total of 2N
states for a lattice with N spins on it. The partition function of the model
is the sum

To save the eyes, we'll write this in the shorter notation

If we can perform this sum, either analytically or using a computer, then

we can apply all the results of the previous sections to find the internal
energy, the entropy, the free energy, the specific heat, and so forth. We can
also calculate the mean magnetization (M) of the model from the partition
5
This notation is confusingly similar to the notation for a thermal average, but un-
fortunately both are sufficiently standard that we feel compelled to use them here. In
context it is almost always possible to tell them apart because one involves site labels and
the other involves physical variables appearing in the model.
1.2 Equilibrium 17

function using Equation (1.15), although as we will see it is usually simpler

to evaluate (M) directly from an average over states:

Often, in fact, we are more interested in the mean magnetization per spin (m),
which is just

(In the later chapters of this book, we frequently use the letter m alone
to denote the average magnetization per spin, and omit the brackets (...)
around it indicating the average. This is also the common practice of many
other authors. In almost all cases it is clear from the context when an average
over states is to be understood.)
We can calculate fluctuations in the magnetization or the internal energy
by calculating derivatives of the partition function. Or, as we mentioned in
Section 1.2.1, if we have some way of calculating the size of the fluctuations
in the magnetization, we can use those to evaluate the magnetic suscep-
tibility

(See Equation (1.22).) Again, it is actually more common to calculate the

magnetic susceptibility per spin:

(Note the leading factor of N here, which is easily overlooked when calculat-
ing x from Monte Carlo data.) Similarly we can calculate the specific heat
per spin c from the energy fluctuations thus:

(See Equation (1.19).)

We can also introduce a spatially varying magnetic field into the Hamil-
tonian thus:

This gives us a different mean magnetization on each site:

18 Chapter 1: Introduction

and allows us to calculate the connected correlation function

When we look at the equilibrium simulation of the Ising model in Chap-

ters 3 and 4, all of these will be quantities of interest, and relations like
these between them give us useful ways of extracting good results from our
numerical data.

1.3 Numerical methods

While the formal developments of statistical mechanics are in many ways
very elegant, the actual process of calculating the properties of a particular
model is almost always messy and taxing. If we consider calculating the
partition function Z, from which, as we have shown, a large number of
interesting properties of a system can be deduced, we see that we are going
to have to perform a sum over a potentially very large number of states.
Indeed, if we are interested in the thermodynamic limit, the sum is over an
infinite number of states, and performing such sums is a notoriously difficult
exercise. It has been accomplished exactly for a number of simple models
with discrete energy states, most famously the Ising model in two dimensions
(Onsager 1944). This and other exact solutions are discussed at some length
by Baxter (1982). However, for the majority of models of interest today,
it has not yet proved possible to find an exact analytic expression for the
partition function, or for any other equivalent thermodynamic quantity. In
the absence of such exact solutions a number of approximate techniques
have been developed including series expansions, field theoretical methods
and computational methods. The focus of this book is on the last of these,
the computational methods.
The most straightforward computational method for solving problems in
statistical physics is to take the model we are interested in and put it on
a lattice of finite size, so that the partition function becomes a sum with
a finite number of terms. (Or in the case of a model with a continuous
energy spectrum it becomes an integral of finite dimension.) Then we can
employ our computer to evaluate that sum (or integral) numerically, by
simply evaluating each term in turn and adding them up. Let's see what
happens when we apply this technique to the Ising model of Section 1.2.2.
If we were really interested in tackling an unsolved problem, we might
look at the Ising model in three dimensions, whose exact properties have not
yet been found by any method. However, rather than jump in at the deep
end, let's first look at the two-dimensional case. For a system of a given
linear dimension, this model will have fewer energy states than the three-
dimensional one, making the sum over states simpler and quicker to perform,
1.3 Numerical methods 19

and the model has the added pedagogical advantage that its behaviour has
been solved exactly, so we can compare our numerical calculations with the
exact solution. Let's take a smallish system to start with, of 25 spins on
a square lattice in a 5 x 5 arrangement. By convention we apply periodic
boundary conditions, so that there are interactions between spins on the
border of the array and the opposing spins on the other side. We will also
set the external magnetic field B to zero, to make things simpler still.
With each spin taking two possible states, represented by ±1, our 25 spin
system has a total of 225 = 33 554 432 possible states. However, we can save
ourselves from summing over half of these, because the system has up/down
symmetry, which means that for every state there is another one in which
every spin is simply flipped upside down, which has exactly the same energy
in zero magnetic field. So we can simplify the calculation of the partition
function by just taking one out of every pair of such states, for a total of
16 777 216 states, and summing up the corresponding terms in the partition
function, Equation (1.6), and then doubling the sum.6
In Figure 1.1 we show the mean magnetization per spin and the spe-
cific heat per spin for this 5 x 5 system, calculated from Equations (1.10)
and (1.34). On the same axes we show the exact solutions for these quanti-
ties on an infinite lattice, as calculated by Onsager. The differences between
the two are clear, and this is precisely the difference between our small
finite-sized system and the infinite thermodynamic-limit system which we
discussed in Section 1.2.1. Notice in particular that the exact solution has
a non-analytic point at about kT = 2.3J which is not reproduced even
moderately accurately by our small numerical calculation. This point is the
so-called "critical temperature" at which the length-scale £ of the fluctu-
ations in the magnetization, also called the "correlation length", diverges.
(This point is discussed in more detail in Section 3.7.1.) Because of this
divergence of the length-scale, it is never possible to get good results for the
behaviour of the system at the critical temperature out of any calculation
performed on a finite lattice—the lattice is never large enough to include all
of the important physics of the critical point. Does this mean that calcula-
tions on finite lattices are useless? No, it certainly does not. To start with,
at temperatures well away from the critical point the problems are much less
severe, and the numerical calculation and the exact solution agree better,

6
If we were really serious about this, we could save ourselves further time by making
use of other symmetries too. For example the square system we are investigating here also
has a reflection symmetry and a four-fold rotational symmetry (the symmetry group is
C4), meaning that the states actually group into sets of 16 states (including the up-down
symmetry pairs), all of which have the same energy. This would reduce the number of
terms we have to evaluate to 2 105 872. (The reader may like to ponder why this number is
not exactly 225/16, as one might expect.) However, such efforts are not really worthwhile,
since, as we will see very shortly, this direct evaluation of the partition function is not a
promising method for solving models.
20 Chapter 1: Introduction

FIGURE 1.1 Top: the mean magnetization per spin m of a 5 x 5 Ising

model on a square lattice in two dimensions (solid line) and the same
quantity on an infinitely big square lattice (dashed line). Bottom: the
specific heat per spin c for the same two cases.
1.3 Numerical methods 21

as we can see in the figure. If we are interested in physics in this regime,

then a calculation on a small lattice may well suffice. Second, the technique
of "finite size scaling", which is discussed in Section 8.3, allows us to ex-
trapolate results for finite lattices to the limit of infinite system size, and
extract good results for the behaviour in the thermodynamic limit. Another
technique, that of "Monte Carlo renormalization", discussed in Section 8.4,
provides us with a cunning indirect way of calculating some of the features
of the critical regime from just the short length-scale phenomena that we
get out of a calculation on a small lattice, even though the direct cause of
the features that we are interested in is the large length-scale fluctuations
that we mentioned.
However, although these techniques can give answers for the critical prop-
erties of the system, the accuracy of the answers they give still depends on
the size of the system we perform the calculation on, with the answers im-
proving steadily as the system size grows. Therefore it is in our interest to
study the largest system we can. However, the calculation which appears
as the solid lines in Figure 1.1 took eight hours on a moderately powerful
computer. The bulk of this time is spent running through the terms in the
sum (1.6). For a system of N spins there are 2N terms, of which, as we
mentioned, we only need actually calculate a half, or 2 N - 1 . This number
increases exponentially with the size of the lattice, so we can expect the time
taken by the program to increase very rapidly with lattice size. The next
size of square lattice up from the present one would be 6 x 6 or N = 36,
which should take about 2 36-1 /2 25-1 = 2048 times as long as the previous
calculation, or about two years. Clearly this is an unacceptably long time to
wait for the answer to this problem. If we are interested in results for any
system larger than 5 x 5, we are going to have to find other ways of getting
them.

1.3.1 Monte Carlo simulation

There is essentially only one known numerical method for calculating the
partition function of a model such as the Ising model on a large lattice, and
that method is Monte Carlo simulation, which is the subject of this book.
The basic idea behind Monte Carlo simulation is to simulate the random
thermal fluctuation of the system from state to state over the course of
an experiment. In Section 1.1 we pointed out that for our purposes it is
most convenient to regard the calculation of an expectation value as a time
average over the states that a system passes through. In a Monte Carlo
calculation we directly simulate this process, creating a model system on
our computer and making it pass through a variety of states in such a way
that the probability of it being in any particular state u, at a given time t
is equal to the weight wu(t) which that state would have in a real system.
22 Chapter 1: Introduction

In order to achieve this we have to choose a dynamics for our simulation—a

rule for changing from one state to another during the simulation—which
results in each state appearing with exactly the probability appropriate to
it. In the next chapter we will discuss at length a number of strategies for
doing this, but the essential idea is that we try to simulate the physical
processes that give rise to the master equation, Equation (1.1). We choose
a set of rates R(u —> v) for transitions from one state to another, and we
choose them in such a way that the equilibrium solution to the corresponding
master equation is precisely the Boltzmann distribution (1.5). Then we use
these rates to choose the states which our simulated system passes through
during the course of a simulation, and from these states we make estimates
of whatever observable quantities we are interested in.
The advantage of this technique is that we need only sample quite a
small fraction of the states of the system in order to get accurate estimates
of physical quantities. For example, we do not need to include every state
of the system in order to get a decent value for the partition function, as
we would if we were to evaluate it directly from Equation (1.6). The prin-
cipal disadvantage of the technique is that there are statistical errors in the
calculation due to this same fact that we don't include every state in our
calculation, but only some small fraction of the states. In particular this
means that there will be statistical noise in the partition function. Taking
the derivative of a noisy function is always problematic, so that calculating
expectation values from derivatives of the partition function as discussed in
Section 1.2 is usually not a good way to proceed. Instead it is normally bet-
ter in Monte Carlo simulations to calculate as many expectations as we can
directly, using equations such as (1.34). We can also make use of relations
such as (1.36) to calculate quantities like susceptibilities without having to
evaluate a derivative.
In the next chapter we will consider the theory of Monte Carlo simulation
in equilibrium thermal systems, and the rest of the first part of the book
will deal with the design of algorithms to investigate these systems. In the
second part of the book we look at algorithms for non-equilibrium systems.

1.4 A brief history of the Monte Carlo method

In this section we outline the important historical developments in the evo-
lution of the Monte Carlo method. This section is just for fun; feel free to
skip over it to the next chapter if you're not interested.
The idea of Monte Carlo calculation is a lot older than the computer. The
name "Monte Carlo" is relatively recent—it was coined by Nicolas Metropolis
in 1949—but under the older name of "statistical sampling" the method
has a history stretching back well into the last century, when numerical
calculations were performed by hand using pencil and paper and perhaps
1.4 A brief history of the Monte Carlo method 23

FIGURE 1.2 The pathological function f(x) = sin2 1, whose integral

with respect to x, though hard to evaluate analytically, can be eval-
uated in a straightforward manner using the Monte Carlo integration
technique described in the text.

a slide-rule. As first envisaged, Monte Carlo was not a method for solving
problems in physics, but a method for estimating integrals which could not
be performed by other means. Integrals over poorly-behaved functions and
integrals in high-dimensional spaces are two areas in which the method has
traditionally proved profitable, and indeed it is still an important technique
for problems of these types. To give an example, consider the function

which is pictured in Figure 1.2. The values of this function lie entirely
between zero and one, but it is increasingly rapidly varying in the neigh-
bourhood of x = 0. Clearly the integral

which is the area under this curve between 0 and x, takes a finite value
somewhere in the range 0 < I(x) < x, but it is not simple to calculate
this value exactly because of the pathologies of the function near the origin.
However, we can make an estimate of it by the following method. If we
choose a random real number h, uniformly distributed between zero and x,
and another v between zero and one and plot on Figure 1.2 the point for
which these are the horizontal and vertical coordinates, the probability that
24 Chapter 1: Introduction

FIGURE 1.3 The function I ( x ) , calculated by Monte Carlo integration

as described in the text.

this point will be below the line of f ( x ) is just I(x)/x. It is easy to determine
whether the point is in fact below the line: it is below it if h < f ( v ) . Thus if
we simply pick a large number N of these random points and count up the
number M which fall below the line, we can estimate I(x) from

You can get an answer accurate to one figure by taking a thousand points,
which would be about the limit of what one could have reasonably done in
the days before computers. Nowadays, even a cheap desktop computer can
comfortably run through a million points in a few seconds, giving an answer
accurate to about three figures. In Figure 1.3 we have plotted the results of
such a calculation for a range of values of x. The errors in this calculation
are smaller than the width of the line in the figure.7
A famous early example of this type of calculation is the experiment
known as "Buffon's needle" (Dorrie 1965), in which the mathematical con-
stant tt is determined by repeatedly dropping a needle onto a sheet of paper
ruled with evenly spaced lines. The experiment is named after Georges-Louis
Leclerc, Comte de Buffon who in 1777 was the first to show that if we throw
a needle of length l completely at random onto a sheet of paper ruled with
lines a distance d apart, then the chances that the needle will fall so as to
7
In fact there exist a number of more sophisticated Monte Carlo integration techniques
which give more accurate answers than the simple "hit or miss" method we have described
here. A discussion can be found in the book by Kalos and Whitlock (1986).
1.4 A brief history of the Monte Carlo method 25

intersect one of the lines is 2l/ttd, provided that d > l. It was Laplace in
1820 who then pointed out that if the needle is thrown down N times and
is observed to land on a line M of those times, we can make an estimate of
tt from

(Perhaps the connection between this and the Monte Carlo evaluation of
integrals is not immediately apparent, but it will certainly become clear
if you try to derive Equation (1.44) for yourself, or if you follow Dome's
derivation.) A number of investigators made use of this method over the
years to calculate approximate values for tt. The most famous of these is
Mario Lazzarini, who in 1901 announced that he had calculated a value of
3.1415929 for tt from an experiment in which a 21 cm needle was dropped
3408 times onto a sheet of paper ruled with lines 3 cm apart. This value,
accurate to better than three parts in ten million, would be an impressive
example of the power of the statistical sampling method were it not for
the fact that it is almost certainly faked. Badger (1994) has demonstrated
extremely convincingly that, even supposing Lazzarini had the technology
at his disposal to measure the length of his needle and the spaces between
his lines to a few parts in 107 (a step necessary to ensure the accuracy of
Equation (1.44)), still the chances of his finding the results he did were
poorer than three in a million; Lazzarini was imprudent enough to publish
details of the progress of the experiment through the 3408 castings of the
needle, and it turns out that the statistical "fluctuations" in the numbers of
intersections of the needle with the ruled lines are much smaller than one
would expect in a real experiment. All indications are that Lazzarini forged
his results. However, other, less well known attempts at the experiment were
certainly genuine, and yielded reasonable figures for tt: 3.1596 (Wolf 1850),
3.1553 (Smith 1855). Apparently, performing the Buffon's needle experiment
was for a while quite a sophisticated pastime amongst Europe's intellectual
gentry.
With the advent of mechanical calculating machines at the end of the
nineteenth century, numerical methods took a large step forward. These
machines increased enormously the number and reliability of the arithmetic
operations that could be performed in a numerical "experiment", and made
the application of statistical sampling techniques to research problems in
physics a realistic possibility for the first time. An early example of what
was effectively a Monte Carlo calculation of the motion and collision of the
molecules in a gas was described by William Thomson (later Lord Kelvin)
in 1901. Thomson's calculations were aimed at demonstrating the truth
of the equipartition theorem for the internal energy of a classical system.
However, after the fashion of the time, he did not perform the laborious
analysis himself, and a lot of the credit for the results must go to Thomson's
26 Chapter 1: Introduction

secretary, William Anderson, who apparently solved the kinetic equations

for more than five thousand molecular collisions using nothing more than a
pencil and a mechanical adding machine.
Aided by mechanical calculators, numerical methods, particularly the
method of finite differences, became an important tool during the First
World War. The authors recently heard the intriguing story of the Herculean
efforts of French mathematician Henri Soudee, who in 1916 calculated firing
tables for the new 400 mm cannons being set up at Verdun, directly from his
knowledge of the hydrodynamic properties of gases. The tables were used
when the cannons were brought to bear on the German-occupied Fort de
Douaumont, and as a result the fort was taken by the allies. Soudee was
later honoured by the French. By the time of the Second World War the me-
chanical calculation of firing angles for large guns was an important element
of military technology. The physicist Richard Feynman tells the story of his
employment in Philadelphia during the summer of 1940 working for the army
on a mechanical device for predicting the trajectories of planes as they flew
past (Feynman 1985). The device was to be used to guide anti-aircraft guns
in attacking the planes. Despite some success with the machine, Feynman
left the army's employ after only a few months, joking that the subject of
mechanical computation was too difficult for him. He was shrewd enough to
realize he was working on a dinosaur, and that the revolution of electronic
computing was just around the corner. It was some years however before
that particular dream would become reality, and before it did Feynman had
plenty more chance to spar with the mechanical calculators. As a group
leader during the Manhattan Project at Los Alamos he created what was
effectively a highly pipelined human CPU, by employing a large number of
people armed with Marchant mechanical adding machines in an arithmetic
assembly line in which little cards with numbers on were passed from one
worker to the next for processing on the machines. A number of numerical
calculations crucial to the design of the atomic bomb were performed in this
way.
The first real applications of the statistical sampling method to research
problems in physics seem to have been those of Enrico Fermi, who was work-
ing on neutron diffusion in Rome in the early 1930s. Fermi never published
his numerical methods—apparently he considered only the results to be of
interest, not the methods used to obtain them—but according to his influen-
tial student and collaborator Emilio Segre those methods were, in everything
but name, precisely the Monte Carlo methods later employed by Ulam and
Metropolis and their collaborators in the construction of the hydrogen bomb
(Segre 1980).
So it was that when the Monte Carlo method finally caught the attention
of the physics community, it was again as the result of armed conflict. The
important developments took place at the Los Alamos National Laboratory
1.4 A brief history of the Monte Carlo method 27

in New Mexico, where Nick Metropolis, Stanislaw Ulam and John von Neu-
mann gathered in the last months of the Second World War shortly after the
epochal bomb test at Alamagordo, to collaborate on numerical calculations
to be performed on the new ENIAC electronic computer, a mammoth, room-
filing machine containing some 18 000 triode valves, whose construction was
nearing completion at the University of Pennsylvania. Metropolis (1980) has
remarked that the technology that went into the ENIAC existed well before
1941, but that it took the pressure of America's entry into the war to spur
the construction of the machine.
It seems to have been Stan Ulam who was responsible for reinventing
Fermi's statistical sampling methods. He tells of how the idea of calculat-
ing the average effect of a frequently repeated physical process by simply
simulating the process over and over again on a digital computer came to
him whilst huddled over a pack of cards, playing patience8 one day. The
game he was playing was "Canfield" patience, which is one of those forms
of patience where the goal is simply to turn up every card in the pack, and
he wondered how often on average one could actually expect to win the
game. After abandoning the hopelessly complex combinatorics involved in
answering this question analytically, it occurred to him that you could get
an approximate answer simply by playing a very large number of games and
seeing how often you win. With his mind never far from the exciting new
prospect of the ENIAC computer, the thought immediately crossed his mind
that he might be able to get the machine to play these games for him far
faster than he ever could himself, and it was only a short conceptual leap to
applying the same idea to some of the problems of the physics of the hydro-
gen bomb that were filling his work hours at Los Alamos. He later described
his idea to John von Neumann who was very enthusiastic about it, and the
two of them began making plans to perform actual calculations. Though
Ulam's idea may appear simple and obvious to us today, there are actually
many subtle questions involved in this idea that a physical problem with
an exact answer can be approximately solved by studying a suitably chosen
random process. It is a tribute to the ingenuity of the early Los Alamos
workers that, rather than plunging headlong into the computer calculations,
they considered most of these subtleties right from the start.
The war ended before the first Monte Carlo calculations were performed
on the ENIAC. There was some uncertainty about whether the Los Alamos
laboratory would continue to exist in peacetime, and Edward Teller, who
was leading the project to develop the hydrogen bomb, was keen to apply
the power of the computer to the problems of building the new bomb, in
order to show that significant work was still going on at Los Alamos. Von
Neumann developed a detailed plan of how the Monte Carlo method could be

8
Also called "solitaire" in the USA.
28 Chapter 1: Introduction

implemented on the ENIAC to solve a number of problems concerned with

neutron transport in the bomb, and throughout 1947 worked with Metropolis
on preparations for the calculations. They had to wait to try their ideas out
however, because the ENIAC was to be moved from Philadelphia where it
was built to the army's Ballistics Research Laboratory in Maryland. For a
modern computer this would not be a problem, but for the gigantic ENIAC,
with its thousands of fragile components, it was a difficult task, and there
were many who did not believe the computer would survive the journey.
It did, however, and by the end of the year it was working once again in
its new home. Before von Neumann and the others put it to work on the
calculations for the hydrogen bomb, Richard Clippinger of the Ballistics Lab
suggested a modification to the machine which allowed it to store programs
in its electronic memory. Previously a program had to be set up by plugging
and unplugging cables at the front of the machine, an arduous task which
made the machine inflexible and inconvenient to use. Von Neumann was in
favour of changing to the new "stored program" model, and Nick Metropolis
and von Neumann's wife, Klari, made the necessary modifications to the
computer themselves. It was the end of 1947 before the machine was at last
ready, and Metropolis and von Neumann set to work on the planned Monte
Carlo calculations.
The early neutron diffusion calculations were an impressive success, but
Metropolis and von Neumann were not able to publish their results, because
they were classified as secret. Over the following two years however, they
and others, including Stan Ulam and Stanley Frankel, applied the new sta-
tistical sampling method to a variety of more mundane problems in physics,
such as the calculation of the properties of hard-sphere gases in two and
three dimensions, and published a number of papers which drew the world's
attention to this emerging technique. The 1949 paper by Metropolis and
Ulam on statistical techniques for studying integro-differential equations is
of interest because it contained in its title the first use of the term "Monte
Carlo" to describe this type of calculation. Also in 1949 the first conference
on Monte Carlo methods was held in Los Alamos, attracting more than a
hundred participants. It was quickly followed by another similar meeting in
Gainesville, Florida.
The calculations received a further boost in 1948 with the arrival at Los
Alamos of a new computer, humorously called the MANIAC. (Apparently
the name was suggested by Enrico Fermi, who was tiring of computers with
contrived acronyms for names—he claimed that it stood for "Metropolis
and Neumann Invent Awful Contraption". Nowadays, with all our com-
puters called things like XFK-23/z we would no doubt appreciate a few
pronounceable names.) Apart from the advantage of being in New Mexico
rather than Maryland, the MANIAC was a significant technical improve-
ment over the ENIAC which Presper Eckert (1980), its principal architect,
1.4 A brief history of the Monte Carlo method 29

refers to as a "hastily built first try". It was faster and contained a larger
memory (40 kilobits, or 5 kilobytes in modern terms). It was built under
the direction of Metropolis, who had been lured back to Los Alamos after
a brief stint on the faculty at Chicago by the prospect of the new machine.
The design was based on ideas put forward by John von Neumann and in-
corporated a number of technical refinements proposed by Jim Richardson,
an engineer working on the project. A still more sophisticated computer, the
MANIAC 2, was built at Los Alamos two years later, and both machines
remained in service until the late fifties, producing a stream of results, many
of which have proved to be seminal contributions to the field of Monte Carlo
simulation. Of particular note to us is the publication in 1953 of the paper by
Nick Metropolis, Marshall and Arianna Rosenbluth, and Edward and Mici
Teller, in which they describe for the first time the Monte Carlo technique
that has come to be known as the Metropolis algorithm. This algorithm was
the first example of a thermal "importance sampling" method, and it is to
this day easily the most widely used such method. We will be discussing it
in some detail in Chapter 3. Also of interest are the Monte Carlo studies
of nuclear cascades performed by Antony Turkevich and Nick Metropolis,
and Edward Teller's work on phase changes in interacting hard-sphere gases
using the Metropolis algorithm.
The exponential growth in computer power since those early days is by
now a familiar story to us all, and with this increase in computational re-
sources Monte Carlo techniques have looked deeper and deeper into the
subject of statistical physics. Monte Carlo simulations have also become
more accurate as a result of the invention of new algorithms. Particularly in
the last twenty years, many new ideas have been put forward, of which we
describe a good number in the rest of this book.

Problems

1.1 "If a system is in equilibrium with a thermal reservoir at temperature

T, the probability of its having a total energy E varies with E in proportion
to e-BE." True or false?
1.2 A certain simple system has only two energy states, with energies E0 and
E1, and transitions between the two states take place at rates R(0 —» 1) =
R0 exp[—B(E1 — E0)] and R(1 -> 0) = R0. Solve the master equation (1.1)
for the probabilities W0 and w1 of occupation of the two states as a function
of time with the initial conditions W0 = 0, w1 = 1. Show that as t —> oo
these solutions tend to the Boltzmann probabilities, Equation (1.5).
1.3 A slightly more complex system contains N distinguishable particles,
each of which can be in one of two boxes. The particles in the first box have
energy E0 = 0 and the particles in the second have energy E1, and particles
30 Chapter 1: Introduction

are allowed to move back and forward between the boxes under the influence
of thermal excitations from a reservoir at temperature T. Find the partition
function for this system and then use this result to calculate the internal
energy.
1.4 Solve the Ising model, whose Hamiltonian is given in Equation (1.30),
in one dimension for the case where B — 0 as follows. Define a new set
of variables a1 which take values 0 and 1 according to ai = 1(1 — SjSj+1)
and rewrite the Hamiltonian in terms of these variables for a system of N
spins with periodic boundary conditions. Show that the resulting system
is equivalent to the one studied in Problem 1.3 in the limit of large N and
hence calculate the internal energy as a function of temperature.
2
The principles of equilibrium
thermal Monte Carlo simulation

In Section 1.3.1 we looked briefly at the general ideas behind equilibrium

thermal Monte Carlo simulations. In this chapter we discuss these ideas
in more detail in preparation for the discussion in the following chapters of
a variety of specific algorithms for use with specific problems. The three
crucial ideas that we introduce in this chapter are "importance sampling",
"detailed balance" and "acceptance ratios". If you know what these phrases
mean, you can understand most of the thermal Monte Carlo simulations that
have been performed in the last thirty years.

2.1 The estimator

The usual goal in the Monte Carlo simulation of a thermal system is the
calculation of the expectation value (Q) of some observable quantity Q,
such as the internal energy in a model of a gas, or the magnetization in a
magnetic model. As we showed in Section 1.3, the ideal route to calculating
such an expectation, that of averaging the quantity of interest over all states
u of the system, weighting each with its own Boltzmann probability

is only tractable in the very smallest of systems. In larger systems, the best
we can do is average over some subset of the states, though this necessarily
introduces some inaccuracy into the calculation. Monte Carlo techniques
work by choosing a subset of states at random from some probability distri-
bution pu which we specify. Suppose we choose M such states {u1 ... uM}.
32 Chapter 2: Equilibrium thermal Monte Carlo simulations

Our best estimate of the quantity Q will then be given by

QM is called the estimator of Q. It has the property that, as the number M

of states sampled increases, it becomes a more and more accurate estimate
of (Q), and when M —» oo we have QM = (Q).
The question we would like to answer now is how should we choose our
M states in order that QM be an accurate estimate of {Q}? In other words,
how should we choose the probability distribution pu? The simplest choice
is to pick all states with equal probability; in other words make all pu equal.
Substituting this choice into Equation (2.2), we get

It turns out however, that this is usually a rather poor choice to make.
In most numerical calculations it is only possible to sample a very small
fraction of the total number of states. Consider, for example, the Ising
model of Section 1.2.2 again. A small three-dimensional cubic system of
10 x 10 x 10 Ising spins would have 21000 ~ 10300 states, and a typical
numerical calculation could only hope to sample up to about 108 of those in
a few hours on a good computer, which would mean we were only sampling
one in every 10292 states of the system, a very small fraction indeed. The
estimator given above is normally a poor guide to the value of (Q) under
these circumstances. The reason is that one or both of the sums appearing
in Equation (2.1) may be dominated by a small number of states, with all
the other states, the vast majority, contributing a negligible amount even
when we add them all together. This effect is often especially obvious at
low temperatures, where these sums may be dominated by a hundred states,
or ten states, or even one state, because at low temperatures there is not
enough thermal energy to lift the system into the higher excited states, and
so it spends almost all of its time sitting in the ground state, or one of the
lowest of the excited states. In the example described above, the chances of
one of the 108 random states we sample in our simulation being the ground
state are one in 10292, which means there is essentially no chance of our
picking it, which makes QM a very inaccurate estimate of (Q) if the sums
are dominated by the contribution from this state.
On the other hand, if we had some way of knowing which states made
the important contributions to the sums in Equation (2.1) and if we could
pick our sample of M states from just those states and ignore all the others,
we could get a very good estimate of (Q) with only a small number of terms.
This is the essence of the idea behind thermal Monte Carlo methods. The
2.2 Importance sampling 33

technique for picking out the important states from amongst the very large
number of possibilities is called importance sampling.

2.2 Importance sampling

As discussed in Section 1.1, we can regard an expectation value as a time
average over the states that a system passes through during the course of
a measurement. We do not assume that the system passes through every
state during the measurement, even though every state appears in the sums
of Equation (2.1). When you count how many states a typical system has
you realize that this would never be possible. For instance, consider again
the example we took in the last chapter of a litre container of gas at room
temperature and atmospheric pressure. Such a system contains on the order
of 1022 molecules. Typical speeds for these molecules are in the region of
100 m s - 1 , giving them a de Broglie wavelength of around 10-10 m. Each
molecule will then have about 1027 different quantum states within the one
litre box, and the complete gas will have around (1027)1022 states, which is
a spectacularly large number.1 The molecules will change from one state to
another when they undergo collisions with one another or with the walls of
the container, which they do at a rate of about 109 collisions per second, or
1031 changes of state per second for the whole gas. At this rate, it will take
about 101023 times the lifetime of the universe for our litre of gas to move
through every possible state. Clearly then, our laboratory systems are only
sampling the tiniest portion of their state spaces during the time that we
conduct our experiments on them. In effect, real systems are carrying out a
sort of Monte Carlo calculation of their own properties; they are "analogue
computers" which evaluate expectations by taking a small but representative
sample of their own states and averaging over that sample.2 So it should not
come as a great surprise to learn that we can also perform a reasonable cal-
culation of the properties of a system using a simulation which only samples
a small fraction of its states.
In fact, our calculations are often significantly better than this simple
argument suggests. In Section 1.2.1 we showed that the range of energies of
the states sampled by a typical system is very small compared with the total
1
Actually, this is probably an overestimate, since it counts states which are classically
distinguishable but quantum mechanically identical. For the purpose of the present rough
estimation however, it will do fine.
2
There are some systems which, because they have certain conservation laws, will
not in fact sample their state spaces representatively, and this can lead to discrepancies
between theory and experiment. Special Monte Carlo techniques exist for simulating
these "conservative" systems, and we will touch on one or two of them in the coming
chapters. For the moment, however, we will make the assumption that our system takes
a representative sample of its own states.
34 Chapter 2: Equilibrium thermal Monte Carlo simulations

energy of the system—the ratio was about 10-20 in the case of our litre of gas,
for instance. Similar arguments can be used to show that systems sample
very narrow ranges of other quantities as well. The reason for this, as we
saw, is that the system is not sampling all states with equal probability, but
instead sampling them according to the Boltzmann probability distribution,
Equation (1.5). If we can mimic this effect in our simulations, we can exploit
these narrow ranges of energy and other quantities to make our estimates
of such quantities very accurate. For this reason, we normally try to take a
sample of the states of the system in which the likelihood of any particular
one appearing is proportional to its Boltzmann weight. This is the most
common form of importance sampling, and most of the algorithms in this
book make use of this idea in one form or another.
Our strategy then is this: instead of picking our M states in such a way
that every state of the system is as likely to get chosen as every other, we
pick them so that the probability that a particular state u gets chosen is
Pu = Z - 1 e - B E u . Then our estimator for (Q), Equation (2.2), becomes just

Notice that the Boltzmann factors have now cancelled out of the estimator,
top and bottom, leaving a particularly simple expression. This definition of
QM works much better than (2.3), especially when the system is spending
the majority of its time in a small number of states (such as, for example,
the lowest-lying ones when we are at low temperatures), since these will be
precisely the states that we pick most often, and the relative frequency with
which we pick them will exactly correspond to the amount of time the real
system would spend in those states.
The only remaining question is how exactly we pick our states so that
each one appears with its correct Boltzmann probability. This is by no means
a simple task. In the remainder of this chapter we describe the standard
solution to the problem, which makes use of a "Markov process".

2.2.1 Markov processes

The tricky part of performing a Monte Carlo simulation is the generation of
an appropriate random set of states according to the Boltzmann probability
distribution. For a start, one cannot simply choose states at random and
accept or reject them with a probability proportional to G-BEu. That would
be no better than our original scheme of sampling states at random; we
would end up rejecting virtually all states, since the probabilities for their
acceptance would be exponentially small. Instead, almost all Monte Carlo
schemes rely on Markov processes as the generating engine for the set of
states used.
2.2 Importance sampling 35

For our purposes, a Markov process is a mechanism which, given a system

in one state u, generates a new state of that system v. It does so in a
random fashion; it will not generate the same new state every time it is
given the initial state u. The probability of generating the state v given u is
called the transition probability P(u, —> v) for the transition from u to v,
and for a true Markov process all the transition probabilities should satisfy
two conditions: (1) they should not vary over time, and (2) they should
depend only on the properties of the current states u and v, and not on any
other states the system has passed through. These conditions mean that the
probability of the Markov process generating the state v on being fed the
state /x is the same every time it is fed the state u, irrespective of anything
else that has happened. The transition probabilities P(u, —> v) must also
satisfy the constraint

since the Markov process must generate some state v when handed a system
in the state u. Note however, that the transition probability P(u —> u),
which is the probability that the new state generated will be the same as
the old one, need not be zero. This amounts to saying there may be a finite
probability that the Markov process will just stay in state u.
In a Monte Carlo simulation we use a Markov process repeatedly to gen-
erate a Markov chain of states. Starting with a state u, we use the process
to generate a new one v, and then we feed that state into the process to
generate another A, and so on. The Markov process is chosen specially so
that when it is run for long enough starting from any state of the system it
will eventually produce a succession of states which appear with probabili-
ties given by the Boltzmann distribution. (We call the process of reaching
the Boltzmann distribution "coming to equilibrium", since it is exactly the
process that a real system goes through with its "analogue computer" as it
reaches equilibrium at the ambient temperature.) In order to achieve this,
we place two further conditions on our Markov process, in addition to the
ones specified above, the conditions of "ergodicity" and "detailed balance"

2.2.2 Ergodicity
The condition of ergodicity is the requirement that it should be possible
for our Markov process to reach any state of the system from any other state,
if we run it for long enough. This is necessary to achieve our stated goal of
generating states with their correct Boltzmann probabilities. Every state v
appears with some non-zero probability pv in the Boltzmann distribution,
and if that state were inaccessible from another state u no matter how long
we continue our process for, then our goal is thwarted if we start in state u:
the probability of finding v in our Markov chain of states will be zero, and
36 Chapter 2: Equilibrium thermal Monte Carlo simulations

not pv as we require it to be.

The condition of ergodicity tells us that we are allowed to make some of
the transition probabilities of our Markov process zero, but that there must
be at least one path of non-zero transition probabilities between any two
states that we pick. In practice, most Monte Carlo algorithms set almost all
of the transition probabilities to zero, and we must be careful that in so doing
we do not create an algorithm which violates ergodicity. For most of the
algorithms we describe in this book we will explicitly prove that ergodicity
is satisfied before making use of the algorithm.

2.2.3 Detailed balance

The other condition we place on our Markov process is the condition of
detailed balance. This condition is the one which ensures that it is the
Boltzmann probability distribution which we generate after our system has
come to equilibrium, rather than any other distribution. Its derivation is
quite subtle. Consider first what it means to say that the system is in equi-
librium. The crucial defining condition is that the rate at which the system
makes transitions into and out of any state /x must be equal. Mathematically
we can express this as3

Making use of the sum rule, Equation (2.5), we can simplify this to

For any set of transition probabilities satisfying this equation, the probability
distribution pu will be an equilibrium of the dynamics of the Markov process.
Unfortunately, however, simply satisfying this equation is not sufficient to
guarantee that the probability distribution will tend to pu from any state of
the system if we run the process for long enough. We can demonstrate this
as follows.
The transition probabilities P(u —> v) can be thought of as the elements
of a matrix P. This matrix is called the Markov matrix or the stochastic
matrix for the Markov process. Let us return to the notation of Section 1.1,
in which we denoted by wu(t), the probability that our system is in a state
u at time t. If we measure time in steps along our Markov chain, then the

3
This equation is essentially just a discrete-time version of the one we would get if we
were to set the derivative in the master equation, Equation (1.1), to zero.
2.2 Importance sampling 37

probability wv(t + 1) of being in state v at time t + 1 is given by4

In matrix notation, this becomes

where w(t) is the vector whose elements are the weights wu(t). If the Markov
process reaches a simple equilibrium state w(oo) as t —> oo, then that state
satisfies

However, it is also possible for the process to reach a dynamic equilibrium

in which the probability distribution w rotates around a number of different
Values. Such a rotation is called a limit cycle. In this case w(oo) would
satisfy

where n is the length of the limit cycle. If we choose our transition prob-
abilities (or equivalently our Markov matrix) to satisfy Equation (2.7) we
guarantee that the Markov chain will have a simple equilibrium probabil-
ity distribution pu, but it may also have any number of limit cycles of the
form (2.11). This means that there is no guarantee that the actual states
generated will have anything like the desired probability distribution.
We get around this problem by applying an additional condition to our
transition probabilities thus:

This is the condition of detailed balance. It is clear that any set of transition
probabilities which satisfy this condition also satisfy Equation (2.6). (To
prove it, simply sum both sides of Equation (2.12) over v.) We can also
show that this condition eliminates limit cycles. To see this, look first at the
left-hand side of the equation, which is- the probability of being in a state
u multiplied by the probability of making a transition from that state to
another state v. In other words, it is the overall rate at which transitions
from u to v happen in our system. The right-hand side is the overall rate
for the reverse transition. The condition of detailed balance tells us that on
average the system should go from u to v just as often as it goes from v to
u. In a limit cycle, in which the probability of occupation of some or all of
the states changes in a cyclic fashion, there must be states for which this
4
This equation is also closely related to Equation (1.1). The reader may like to work
out how the one can be transformed into the other.
38 Chapter 2: Equilibrium thermal Monte Carlo simulations

condition is violated on any particular step of the Markov chain; in order for
the probability of occupation of a particular state to increase, for instance,
there must be more transitions into that state than out of it, on average.
The condition of detailed balance forbids dynamics of this kind and hence
forbids limit cycles.
Once we remove the limit cycles in this way, it is straightforward to
show that the system will always tend to the probability distribution pu as
t —> oo. As t —> oo, w(t) will tend exponentially towards the eigenvector
corresponding to the largest eigenvalue of P. This may be obvious to you if
you are familiar with stochastic matrices. If not, we prove it in Section 3.3.2.
For the moment, let us take it as given. Looking at Equation (2.10) we
see that the largest eigenvalue of the Markov matrix must in fact be one.5
If limit cycles of the form (2.11) were present, then we could also have
eigenvalues which are complex roots of one, but the condition of detailed
balance prevents this from happening. Now look back at Equation (2.7)
again. We can express this equation in matrix notation as

In other words, if Equation (2.7) (or equivalently the condition of detailed

balance) holds for our Markov process, then the vector p whose elements
are the probabilities pu is precisely the one correctly normalized eigenvector
of the Markov matrix which has eigenvalue one. Putting this together with
Equation (2.10) we see that the equilibrium probability distribution over
states w(oo) is none other than p, and hence w(t) must tend exponentially
to p as t —> oo.
There is another reason why detailed balance makes sense for Monte
Carlo simulations: the "analogue computers" which constitute the real phys-
ical systems we are trying to mimic almost always obey the condition of
detailed balance. The reason is that they are based on standard quantum
or classical mechanics, which is time-reversal symmetric. If they did not
obey detailed balance, then in equilibrium they could have one or more limit
cycles around which the system passes in one particular direction. If we take
such a system and reverse it in time, the motion around this cycle is also re-
versed, and it becomes clear that the dynamics of the system in equilibrium
is not the same forward as it is in reverse. Such a violation of time-reversal
symmetry is forbidden for most systems, implying that they must satisfy de-
tailed balance. Although this does not mean that we are necessarily obliged
5
All Markov matrices have at least one eigenvector with corresponding eigenvalue one,
a fact which is easily proven since Equation (2.5) implies that the vector (1,1,1,...) is a
left eigenvector of P with eigenvalue one. It is possible to have more than one eigenvector
with eigenvalue one if the states of the system divide into two or more mutually inaccessible
subsets. However, if the condition of ergodicity is satisfied then such subsets are forbidden
and hence there is only one such eigenvector.
2.2 Importance sampling 39

to enforce detailed balance in our simulations as well, it is helpful if we do,

because it makes the behaviour of our model system more similar to that of
the real one we are trying to understand.
So, we have shown that we can arrange for the probability distribution
of states generated by our Markov process to tend to any distribution pu
we please by choosing a set of transition probabilities which satisfy Equa-
tion (2.12). Given that we wish the equilibrium distribution to be the Boltz-
mann distribution,6 clearly we want to choose the values of pu to be the
Boltzmann probabilities, Equation (1.5). The detailed balance equation then
tells us that the transition probabilities should satisfy

This equation and Equation (2.5) are the constraints on our choice of tran-
sition probabilities P(u —> v). If we satisfy these, as well as the condition of
ergodicity, then the equilibrium distribution of states in our Markov process
will be the Boltzmann distribution. Given a suitable set of transition prob-
abilities, our plan is then to write a computer program which implements
the Markov process corresponding to these transition probabilities so as to
generate a chain of states. After waiting a suitable length of time7 to allow
the probability distribution of states wu(t) to get sufficiently close to the
Boltzmann distribution, we average the observable Q that we are interested
in over M states and we have calculated the estimator QM defined in Equa-
tion (2.4). A number of refinements on this outline are possible and we will
discuss some of those in the remainder of this chapter and in later chapters
of the book, but this is the basic principle on which virtually all modern
equilibrium Monte Carlo calculations are based.
Our constraints still leave us a good deal of freedom over how we choose
the transition probabilities. There are many ways in which to satisfy them.
One simple choice for example is

although as we will show in Section 3.1 this choice is not a very good one.
There are some other choices which are known to work well in many cases,
such as the "Metropolis algorithm" proposed by Metropolis and co-workers
in 1953, and we will discuss the most important of these in the coming chap-
ters. However, it must be stressed—and this is one of the most important
6
Occasionally, in fact, we want to generate equilibrium distributions other than the
Boltzmann distribution. An example is the entropic sampling algorithm of Section 6.3.
In this case the arguments here still apply. We simply feed our required distribution into
the condition of detailed balance.
7Exactly how long we have to wait can be a difficult thing to decide. A number of
possible criteria are discussed in Section 3.2.
40 Chapter 2: Equilibrium thermal Monte Carlo simulations

things this book has to say—that the standard algorithms are very rarely
the best ones for solving new problems with. In most cases they will work,
and in some cases they will even give quite good answers, but you can almost
always do a better job by giving a little extra thought to choosing the best
set of transition probabilities to construct an algorithm that will answer
the particular questions that you are interested in. A purpose-built algo-
rithm can often give a much faster simulation than an equivalent standard
algorithm, and the improvement in efficiency can easily make the difference
between finding an answer to a problem and not finding one.

2.3 Acceptance ratios

Our little summary above makes rather light work of the problems of con-
structing a Monte Carlo algorithm. Given a desired set of transition proba-
bilities P(u —> v) satisfying the conditions (2.5) and (2.14), we say, we sim-
ply concoct some Markov process that generates states with exactly those
transition probabilities, and presto! we produce a string of states of our
system with exactly their correct Boltzmann probabilities. However, it is
often very far from obvious what the appropriate Markov process is that has
the required transition probabilities, and finding one can be a haphazard,
trial-and-error process. For some problems we can use known algorithms
such as the Metropolis method (see Section 3.1), but for many problems the
standard methods are far from ideal, and we will do much better if we can
tailor a new algorithm to our specific needs. But though we may be able to
suggest many candidate Markov processes—different ways of creating a new
state v from an old one u—still we may not find one which gives exactly
the right set of transition probabilities. The good news however is that we
don't have to. In fact it turns out that we can choose any algorithm we
like for generating the new states, and still have our desired set of transition
probabilities, by introducing something called an acceptance ratio. The
idea behind the trick is this.
We mentioned in Section 2.2.1 that we are allowed to make the "stay-at-
home" transition probability P(u —> u) non-zero if we want. If we set v = u
in Equation (2.14), we get the simple tautology 1 = 1, which means that
the condition of detailed balance is always satisfied for P(u —> u), no matter
what value we choose for it. This gives us some flexibility about how we
choose the other transition probabilities with u = v. For a start, it means
that we can adjust the value of any P(u —> v) and keep the sum rule (2.5)
satisfied, by simply compensating for that adjustment with an equal but
opposite adjustment of P(u —> u). The only thing we need to watch is
that P(u —> u) never passes out of its allowed range between zero and one.
If we make an adjustment like this in P(u —> v), we can also arrange for
Equation (2.14) to remain satisfied, by simultaneously making a change in
2,3 Acceptance ratios 41

P(v —> u), so that the ratio of the two is preserved.

It turns out that these considerations actually give us enough freedom
that we can make the transition probabilities take any set of values we like
by tweaking the values of the probabilities P(u —> u). To see this, we break
the transition probability down into two parts:

The quantity g(u —> v) is the selection probability, which is the proba-
bility, given an initial state u, that our algorithm will generate a new target
state v, and A(u —> v) is the acceptance ratio (sometimes also called the
"acceptance probability"). The acceptance ratio says that if we start off in a
state /x and our algorithm generates a new state v from it, we should accept
that state and change our system to the new state v a fraction of the time
A(u —> v). The rest of the time we should just stay in the state u. We are
free to choose the acceptance ratio to be any number we like between zero
and one; choosing it to be zero for all transitions is equivalent to choosing
P(u —> u) = 1, which is the largest value it can take, and means that we
will never leave the state /x. (Not a very desirable situation. We would never
choose an acceptance ratio of zero for an actual calculation.)
This gives us complete freedom about how we choose the selection prob-
abilities g(u —> v), since the constraint (2.14) only fixes the ratio

The ratio A(u —> v)/A(v —> u) can take any value we choose between zero
and infinity, which means that both g(u —> v) and g(v —> u) can take any
values we like.
Our other constraint, the sum rule of Equation (2.5), is still satisfied,
since the system must end up in some state after each step in the Markov
chain, even if that state is just the state we started in.
So, in order to create our Monte Carlo algorithm what we actually do
is think up an algorithm which generates random new states v given old
ones u, with some set of probabilities g(u —> v), and then we accept or
reject those states with acceptance ratios A(u —» v) which we choose to
satisfy Equation (2.17). This will then satisfy all the requirements for the
transition probabilities, and so produce a string of states which, when the
algorithm reaches equilibrium, will each appear with their correct Boltzmann
probability.
This all seems delightful, but there is a catch which we must always
bear in mind, and which is one of the most important considerations in the
design of Monte Carlo algorithms. If the acceptance ratios for our moves
are low, then the algorithm will on most time steps simply stay in the state
42 Chapter 2: Equilibrium thermal Monte Carlo simulations

that it is in, and not go anywhere. The step on which it actually accepts a
change to a new state will be rare, and this is wasteful of time. We want an
algorithm that moves nimbly about state space and samples a wide selection
of different states. We don't want to take a million time steps and find that
our algorithm has only sampled a dozen states. The solution to this problem
is to make the acceptance ratio as close to unity as possible. One way to do
this is to note that Equation (2.17) fixes only the ratio A(u —» v)/A(v —> u)
of the acceptance ratios for the transitions in either direction between any
two states. Thus we are free to multiply both A(u —> v) and A(v —> u) by
the same factor, and the equation will still be obeyed. The only constraint is
that both acceptance ratios should remain between zero and one. In practice
then, what we do is to set the larger of the two acceptance ratios to one,
and have the other one take whatever value is necessary for the ratio of the
two to satisfy (2.17). This ensures that the acceptance ratios will be as large
as they can be while still satisfying the relevant conditions, and indeed that
the ratio in one direction will be unity, which means that in that direction
at least, moves will always be accepted.
However, the best thing we can do to keep the acceptance ratios large
is to try to embody in the selection probabilities g(u —» v) as much as
we can of the dependence of P(u —> v) on the characteristics of the states
u and v, and put as little as we can in the acceptance ratio. The ideal
algorithm is one in which the new states are selected with exactly the correct
transition probabilities all the time, and the acceptance ratio is always one.
A good algorithm is one in which the acceptance probability is usually close
to one. Much of the effort invested in the algorithms described in this book
is directed at making the acceptance ratios large.

2.4 Continuous time Monte Carlo

There is a another twist we can add to our Markov process to allow ourselves
further freedom about the way in which we choose states, without letting the
acceptance ratios get too low. It is called continuous time Monte Carlo,
or sometimes the BKL algorithm, after Bortz, Kalos and Lebowitz (1975),
who invented it. Continuous time Monte Carlo is not nearly as widely used
as it ought to be; it is an important and powerful technique and many
calculations can be helped enormously by making use of it.
Consider a system at low temperature. Such systems are always a prob-
lem where Monte Carlo methods are concerned—cool systems move from
state to state very slowly in real life and the problem is no less apparent
in simulations. A low-temperature system is a good example of the sort of
problem system that was described in the last section. Once it reaches equi-
librium at its low temperature it will spend a lot of its time in the ground
state. Maybe it will spend a hundred consecutive time-steps of the simu-
2.4 Continuous time Monte Carlo 43

lation in the ground state, then move up to the first excited state for one
time-step and then relax back to the ground state again. Such behaviour is
not unreasonable for a cold system but we waste a lot of computer time sim-
ulating it. Time-step after time-step our algorithm selects a possible move
to some excited state, but the acceptance ratio is very low and virtually all
of these possible moves are rejected, and the system just ends up spending
most of its time in the ground state.
Well, what if we were to accept that this is the case, and take a look at the
acceptance ratio for a move from the ground state to the first excited state,
and say to ourselves, "Judging by this acceptance ratio, this system is going
to spend a hundred time-steps in the ground state before it accepts a move
to the first excited state". Then we could jump the gun by assuming that
the system will do this, miss out the calculations involved in the intervening
useless one hundred time-steps, and progress straight to the one time-step in
which something interesting happens. This is the essence of the idea behind
the continuous time method. In this technique, we have a time-step which
corresponds to a varying length of time, depending on how long we expect
the system to remain in its present state before moving to a new one. Then
when we come to take the average of Our observable Q over many states, we
weight the states in which the system spends longest the most heavily—the
calculation of the estimator of Q is no more than a time average, so each
value Qu for Q in state u should be weighted by how long the system spends
in that state.
How can we adapt our previous ideas concerning the transition proba-
bilities for our Markov process to take this new idea into account? Well,
assuming that the system is in some state u, we can calculate how long a
time At (measured in steps of the simulation) it will stay there for before a
move to another state is accepted by considering the "stay-at-home" prob-
ability P(u —> u). The probability that it is still in this same state u after t
time-steps is just

and so the time-scale At is

So, if we can calculate this quantity At, then rather than wait this many
time-steps for a Monte Carlo move to get accepted, we can simply pretend
that we have done the waiting and go right ahead and change the state of
the system to a new state v = u. Which state should we choose for v? We
should choose one at random, but in proportion to P(u —> v). Thus our
continuous time Monte Carlo algorithm consists of the following steps:
44 Chapter 2: Equilibrium thermal Monte Carlo simulations

1. We calculate the probabilities P(u —» v) for transitions to all states

which can be reached in one Monte Carlo step from the current state
u. We choose a new state v with probability proportional to P(u —» v)
and change the state of the system to v.
2. Using our values for the P(u, —> v) we also calculate the time interval
At. Notice that we have to recalculate At at each step, since in general
it will change from one step to the next.
3. We increment the time t by At, to mimic the effect of waiting At Monte
Carlo steps. The variable t keeps a record of how long the simulation
has gone on for in "equivalent Monte Carlo steps".
While this technique is in many respects a very elegant solution to the
problem of simulating a system at low temperatures (or any other system
which has a low acceptance ratio), it does suffer from one obvious drawback,
which is that step (1) above involves calculating P(u —> v) for every possible
state v which is accessible from u. There may be very many such states (for
some systems the number goes up exponentially with the size of the system),
and so this step may take a very long time. However, in some cases, it turns
out that the set of transition probabilities is very similar from one step of the
algorithm to the next, only a few of them changing at each step, and hence
it is possible to keep a table of probabilities and update only a few entries
at each step to keep the table current. In cases such as these the continuous
time method becomes very efficient and can save us a great deal of CPU time,
despite being more complex than the accept/reject method discussed in the
previous section. One example of a continuous time Monte Carlo algorithm
is presented in Section 5.2.1 for the conserved-order-pararneter Ising model.

In the next few chapters, we will examine a number of common models

used for calculating the equilibrium properties of condensed matter systems,
and show how the general ideas presented in this chapter can be used to find
efficient numerical solutions to these physical problems.

Problems
2.1 Derive Equation (2.8) from Equation (1.1).
2.2 Consider a system which has just three energy states, with energies
E0 < E1 < E2. Suppose that the only allowed transitions are ones of
the form u —» V, where v = (u + 1) mod 3. Such a system cannot satisfy
detailed balance. Show nonetheless that it is possible to choose the transition
probabilities P(u —> v) so that the Boltzmann distribution is an equilibrium
of the dynamics.
3

The Ising model and the

Metropolis algorithm

In Section 1.2.2 we introduced the Ising model, which is one of the simplest
and best studied of statistical mechanical models. In this chapter and the
next we look in detail at the Monte Carlo methods that have been used
to investigate the properties of this model. As well as demonstrating the
application of the basic principles described in the last chapter, the study
of the Ising model provides an excellent introduction to the most important
Monte Carlo algorithms in use today. Along the way we will also look at some
of the tricks used for implementing Monte Carlo algorithms in computer
programs and at some of the standard techniques used to analyse the data
those programs generate.
To recap briefly, the Ising model is a simple model of a magnet, in which
dipoles or "spins" si are placed on the sites i of a lattice. Each spin can take
either of two values: +1 and — 1. If there are N sites on the lattice, then the
system can be in 2N states, and the energy of any particular state is given
by the Ising Hamiltonian:

where J is an interaction energy between nearest-neighbour spins (ij), and

B is an external magnetic field. We are interested in simulating an Ising
system of finite size using Monte Carlo methods, so that we can estimate
the values of quantities such as the magnetization m (Equation (1.34)) or
the specific heat c (Equation (1.37)) at any given temperature. Most of
the interesting questions concerning the Ising model can be answered by
performing simulations in zero magnetic field B = 0, so for the moment at
least we will concentrate on this case.
46 Chapter 3: The Ising model and the Metropolis algorithm

3.1 The Metropolis algorithm

The, very first Monte Carlo algorithm we introduce in this book is the most
famous and widely used algorithm of them all, the Metropolis algorithm,
which was introduced by Nicolas Metropolis and his co-workers in a 1953
paper on simulations of hard-sphere gases (Metropolis et al. 1953). We
will use this algorithm to illustrate many of the general concepts involved
in a real Monte Carlo calculation, including equilibration, measurement of
expectation values, and the calculation of errors. First however, let us see
how the algorithm is arrived at, and how one might go about implementing
it on a computer.
The derivation of the Metropolis algorithm follows exactly the plan we
outlined in Section 2.3. We choose a set of selection probabilities g(u —» v),
one for each possible transition from one state to another, u —> v, and
then we choose a set of acceptance probabilities A(u —> v) such that Equa-
tion (2.17) satisfies the condition of detailed balance, Equation (2.14). The
algorithm works by repeatedly choosing a new state v, and then accepting
or rejecting it at random with our chosen acceptance probability. If the state
is accepted, the computer changes the system to the new state v. If not, it
just leaves it as it is. And then the process is repeated again and again.
The selection probabilities g(u —> v) should be chosen so that the condi-
tion of ergodicity—the requirement that every state be accessible from every
other in a finite number of steps—is fulfilled (see Section 2.2.2). This still
leaves us a good deal of latitude about how they are chosen; given an initial
state u we can generate any number of candidate states v simply by flipping
different subsets of the spins on the lattice. However, as we demonstrated
in Section 1.2.1, the energies of systems in thermal equilibrium stay within
a very narrow range—the energy fluctuations are small by comparison with
the energy of the entire system. In other words, the real system spends
most of its time in a subset of states with a narrow range of energies and
rarely makes transitions that change the energy of the system dramatically.
This tells us that we probably don't want to spend much time in our sim-
ulation considering transitions to states whose energy is very different from
the energy of the present state. The simplest way of achieving this in the
Ising model is to consider only those states which differ from the present one
by the flip of a single spin. An algorithm which does this is said to have
single-spin-flip dynamics. The algorithm we describe in this chapter has
single-spin-flip dynamics, although this is not what makes it the Metropolis
algorithm. (As discussed below, it is the particular choice of acceptance ratio
that characterizes the Metropolis algorithm. Our algorithm would still be a
Metropolis algorithm even if it flipped many spins at once.)
Using single-spin-flip dynamics guarantees that the new state v will have
an energy Ev differing from the current energy Eu by at most 2J for each
3.1 The Metropolis algorithm 47

bond between the spin we flip and its neighbours. For example, on a square
lattice in two dimensions each spin has four neighbours, so the maximum
difference in energy would be 8J. The general expression is 2zJ, where z
is the lattice coordination number, i.e., the number of neighbours that
each site on the lattice has.1 Using single-spin-flip dynamics also ensures
that our algorithm obeys ergodicity, since it is clear that we can get from
any state to any other on a finite lattice by flipping one by one each of the
spins by which the two states differ.
In the Metropolis algorithm the selection probabilities g(u —> v) for each
of the possible states v are all chosen to be equal. The selection probabilities
of all other states are set to zero. Suppose there are N spins in the system
we are simulating. With single-spin-flip dynamics there are then N different
spins that we could flip, and hence N possible states v which we can reach
from a given state u. Thus there are N selection probabilities g(u —> v)
which are non-zero, and each of them takes the value

With these selection probabilities, the condition of detailed balance,

Equation (2.14), takes the form

Now we have to choose the acceptance ratios A(u -> v) to satisfy this equa-
tion. As we pointed out in Section 2.2.3, one possibility is to choose

The constant of proportionality A0 cancels out in Equation (3.3), so we

can choose any value for it that we like, except that A(u —» v), being a
probability, should never be allowed to become greater than one. As we
mentioned above, the largest difference in energy Ev — Eu that we can have
between our two states is 2zJ, where z is the lattice coordination number.
That means that the largest value of e-1/2B (Ev - Eu) is eB zj . Thus, in order to
make sure A(u —> v) < 1 we want to choose

To make the algorithm as efficient as possible, we want the acceptance prob-

abilities to be as large as possible, so we make A0 as large as it is allowed to
1
This is not the same thing as the "spin coordination number" which we introduce in
Chapter 5. The spin coordination number is the number of spins j neighbouring i which
have the same value as spin i: Sj = Sj.
48 Chapter 3: The Ising model and the Metropolis algorithm

FIGURE 3.1 Plot of the acceptance ratio given in Equation (3.6) (solid
line). This acceptance ratio gives rise to an algorithm which samples
the Boltzmann distribution correctly, but is very inefficient, since it
rejects the vast majority of the moves it selects for consideration. The
Metropolis acceptance ratio (dashed line) is much more efficient.

be, which gives us

This is not the Metropolis algorithm (we are coming to that), but using
this acceptance probability we can perform a Monte Carlo simulation of
the Ising model, and it will correctly sample the Boltzmann distribution.
However, the simulation will be very inefficient, because the acceptance ratio,
Equation (3.6), is very small for almost all moves. Figure 3.1 shows the
acceptance ratio (solid line) as a function of the energy difference A.E =
Ev — Eu over the allowed range of values for a simulation with (3 = J = 1
and a lattice coordination number z = 4, as on a square lattice for example.
As we can see, although A(u —> v) starts off at 1 for A.E = —8, it quickly
falls to only about 0.13 at AE = -4, and to only 0.02 when AE = 0. The
chances of making any move for which A.E > 0 are pitifully small, and in
practice this means that an algorithm making use of this acceptance ratio
would be tremendously slow, spending most of its time rejecting moves and
not flipping any spins at all. The solution to this problem is as follows.
In Equation (3.4) we have assumed a particular functional form for the ac-
ceptance ratio, but the condition of detailed balance, Equation (3.3), doesn't
actually require that it take this form. Equation (3.3) only specifies the ratio
of pairs of acceptance probabilities, which still leaves us quite a lot of room
to manoeuvre. In fact, as we pointed out in Section 2.3, when given a con-
3.1 The Metropolis algorithm 49

straint like (3.3) the way to maximize the acceptance ratios (and therefore
produce the most efficient algorithm) is always to give the larger of the two
ratios the largest value possible—namely 1—and then adjust the other to
satisfy the constraint. To see how that works out in this case, suppose that
of the two states u and v we are considering here, u has the lower energy
and v the higher: Eu < EV. Then the larger of the two acceptance ratios is
A(v —» u), so we set that equal to one. In order to satisfy Equation (3.3),
A(u —> v) must then take the value e-B(Ev - Eu) . Thus the optimal algorithm
is one in which

In other words, if we select a new state which has an energy lower than or
equal to the present one, we should always accept the transition to that state.
If it has a higher energy then we maybe accept it, with the probability given
above. This is the Metropolis algorithm for the Ising model with single-spin-
flip dynamics. It is Equation (3.7) which makes it the Metropolis algorithm.
This is the part that was pioneered by Metropolis and co-workers in their
paper on hard-sphere gases, and any algorithm, applied to any model, which
chooses selection probabilities according to a rule like (3.7) can be said to
be a Metropolis algorithm. At first, this rule may seem a little strange,
especially the part about how we always accept a move that will lower the
energy of the system. The first algorithm we suggested, Equation (3.6),
seems much more natural in this respect, since it sometimes rejects moves to
lower energy. However, as we have shown, the Metropolis algorithm satisfies
detailed balance, and is by far the more efficient algorithm, so, natural or
not, it has become the algorithm of choice in the overwhelming majority of
Monte Carlo studies of simple statistical mechanical models in the last forty
years. We have also plotted Equation (3.7) in Figure 3.1 (dashed line) for
comparison between the two algorithms.

3.1.1 Implementing the Metropolis algorithm

Let us look now at how we would actually go about writing a computer
program to perform a simulation of the Ising model using the Metropolis
algorithm. For simplicity we will continue to focus on the case of zero mag-
netic field B = 0, although the generalization to the case B = 0 is not hard
(see Problem 3.1). In fact almost all the past studies of the Ising model,
including Onsager's exact solution in two dimensions, have looked only at
the zero-field case.
First, we need an actual lattice of spins to work with, so we would define
a set of N variables—an array—which can take the values ±1. Probably we
would use integer variables, so it would be an integer array. Normally, we
50 Chapter 3: The Ising model and the Metropolis algorithm

apply periodic boundary conditions to the array. That is, we specify

that the spins on one edge of the lattice are neighbours of the corresponding
spins on the other edge. This ensures that all spins have the same number of
neighbours and local geometry, and that there are no special edge spins which
have different properties from the others; all the spins are equivalent and the
system is completely translationally invariant. In practice this considerably
improves the quality of the results from our simulation.
A variation on the idea of periodic boundary conditions is to use "helical
boundary conditions" which are only very slightly different from periodic
ones and possess all the same benefits but are usually considerably simpler
to implement and can make our simulation significantly faster. The vari-
ous types of boundary conditions and their implementation are described in
detail in Section 13.1, along with methods for representing most common
lattice geometries using arrays.
Next we need to decide at what temperature, or alternatively at what
value of B we want to perform our simulation, and we need to choose some
starting value for each of the spins—the initial state of the system. In a lot of
cases, the initial state we choose is not particularly important, though some-
times a judicious choice can reduce the time taken to come to equilibrium
(see Section 3.2). The two most commonly used initial states are the zero-
temperature state and the infinite temperature state. At T = 0 the Ising
model will be in its ground state. When the interaction energy J is greater
than zero and the external field B is zero (as is the case in the simulations
we will present in this chapter) there are actually two ground states. These
are the states in which the spins are all up or all down. It is easy to see that
these must be ground states, since in these states each pair of spins in the
first term of Equation (3.1) contributes the lowest possible energy —J to the
Hamiltonian. In any other state there will be pairs of spins which contribute
+J to the Hamiltonian, so that its overall value will be higher. (If B = 0
then there will only be one ground state—the field ensures that one of the
two is favoured over the other.) The other commonly used initial state is
the T = oo state. When T = oo the thermal energy kT available to flip
the spins is infinitely larger than the energy due to the spin-spin interaction
J, so the spins are just oriented randomly up or down in an uncorrelated
fashion.
These two choices of initial state are popular because they each corre-
spond to a known, well defined temperature, and they are easy to generate.
There is, however, one other initial state which can sometimes be very use-
ful, which we should mention. Often we don't just perform one simulation
at a single temperature, but rather a set of simulations one after another at
a range of different values of T, to probe the behaviour of the model with
varying temperature. In this case it is often advantageous to us to choose as
the initial state of our system the final state of the system for a simulation
3.1 The Metropolis algorithm 51

at a nearby temperature. For example, suppose we are interested in probing

a range of temperatures between T = 1.0 and T = 2.0 in steps of 0.1. (Here
and throughout much of the rest of this book, we measure temperature in
energy units, so that k = 1. Thus when we say T = 2.0 we mean that
B-1 = 2.0.) Then we might start off by performing a simulation at T = 1.0
using the zero-temperature state with all spins aligned as our initial state.
At the end of the simulation, the system will be in equilibrium at T — 1.0,
and we can use the final state of that simulation as the initial state for the
simulation at T = 1.1, and so on. The justification for doing this is clear:
we hope that the equilibrium state at T = 1.0 will be more similar to that at
T = 1.1 than will the zero-temperature state. In most cases this is a correct
assumption and our system will come to equilibrium quicker with this initial
state than with either aT = 0 or a T = oo one.
Now we start our simulation. The first step is to generate a new state—
the one we called v in the discussion above. The new state should differ
from the present one by the flip of just one spin, and every such state should
be exactly as likely as every other to be generated. This is an easy task
to perform. We just pick a single spin k at random from the lattice to
be flipped. Next, we need to calculate the difference in energy Ev — Eu
between the new state and the old one, in order to apply Equation (3.7).
The most straightforward way to do this would be to calculate Eu directly by
substituting the values su of the spins in state u into the Hamiltonian (3.1),
then flip spin k and calculate Ev, and take the difference. This, however, is
not a very efficient way to do it. Even in zero magnetic field B = 0 we still
have to perform the sum in the first term of (3.1), which has as many terms
as there are bonds on the lattice, which is 1 N z . But most of these terms
don't change when we flip our single spin. The only ones that change are
those that involve the flipped spin. The others stay the same and so cancel
out when we take the difference Ev — Eu. The change in energy between the
two states is thus

In the second line the sum is over only those spins i which are nearest
neighbours of the flipped spin k and we have made use of the fact that all
of these spins do not themselves flip, so that sv = su. Now if su = +1, then
after spin k has been flipped we must have svk = —1, so that sv - su = -2.
On the other hand, if su = —1 then sv — su = +2. Thus we can write
52 Chapter 3: The Ising model and the Metropolis algorithm

and so

This expression only involves summing over z terms, rather than 1 N z , and
it doesn't require us to perform any multiplications for the terms in the sum,
so it is much more efficient than evaluating the change in energy directly.
What's more, it involves only the values of the spins in state u, so we can
evaluate it before we actually flip the spin k.
The algorithm thus involves calculating Ev — Eu from Equation (3.10)
and then following the rule given in Equation (3.7): if Ev — Eu < 0 we
definitely accept the move and flip the spin Sk —> -Sk. If Ev — Eu > 0 we
still may want to flip the spin. The Metropolis algorithm tells us to flip it
with probability A(u —» v) = e-B(Ev - Eu). We can do this as follows. We
evaluate the acceptance ratio A(u —> v) using our value of Ev — Eu from
Equation (3.10), and then we choose a random number r between zero and
one. (Strictly the number can be equal to zero, but it must be less than one:
0 < r < 1.) If that number is less than our acceptance ratio, r < A(u —> v),
then we flip the spin. If it isn't, we leave the spin alone.
And that is our complete algorithm. Now we just keep on repeating
the same calculations over and over again, choosing a spin, calculating the
energy change we would get if we flipped it, and then deciding whether to flip
it according to Equation (3.7). Actually, there is one other trick that we can
pull that makes our algorithm a bit faster still. (In fact, on most computers
it will make it a lot faster.) One of the slowest parts of the algorithm as
we have described it is the calculation of the exponential, which we have to
perform if the energy of the new state we choose is greater than that of the
current state. Calculating exponentials on a computer is usually done using
a polynomial approximation which involves performing a number of floating-
point multiplications and additions, and can take a considerable amount of
time. We can save ourselves this effort, and thereby speed up our simulation,
if we notice that the quantity, Equation (3.10), which we are calculating the
exponential of, can only take a rather small number of values. Each of the
terms in the sum can only take the values +1 and —1. So the entire sum,
which has z terms, can only take the values —z, —z + 2, — z + 4 ... and so
on up to +z—a total of z + 1 possible values. And we only actually need
to calculate the exponential when the sum is negative (see Equation (3.7)
again), so in fact there are only 1z values of Eu — Ev for which we ever
need to calculate exponentials. Thus, it makes good sense to calculate the
values of these 1z exponentials before we start the calculation proper, and
store them in the computer's memory (usually in an array), where we can
3.2 Equilibration 53

simply look them up when we need them during the simulation. We pay
the one-time cost of evaluating them at the beginning, and save a great deal
more by never having to evaluate any exponentials again during the rest of
the simulation. Not only does this save us the effort of evaluating all those
exponentials, it also means that we hardly have to perform any floating-point
arithmetic during the simulation. The only floating-point calculations will
be in the generation of the random number r. (We discuss techniques for
doing this in Chapter 16.) All the other calculations involve only integers,
which on most computers are much quicker to deal with than real numbers.

3.2 Equilibration
So what do we do with our Monte Carlo program for the Ising model, once
we have written it? Well, we probably want to know the answer to some
questions like "What is the magnetization at such-and-such a temperature?",
or "How does the internal energy behave with temperature over such-and-
such a range?" To answer these questions we have to do two things. First we
have to run our simulation for a suitably long period of time until it has come
to equilibrium at the temperature we are interested in—this period is called
the equilibration time req—and then we have to measure the quantity we
are interested in over another suitably long period of time and average it,
to evaluate the estimator of that quantity (see Equation (2.4)). This leads
us to several other questions. What exactly do we mean by "allowing the
system to come to equilibrium" ? And how long is a "suitably long" time for
it to happen? How do we go about measuring our quantity of interest, and
how long do we have to average over to get a result of a desired degree of
accuracy? These are very general questions which we need to consider every
time we do a Monte Carlo calculation. Although we will be discussing them
here using our Ising model simulation as an example, the conclusions we
will draw in this and the following sections are applicable to all equilibrium
Monte Carlo calculations. These sections are some of the most important in
this book.
As we discussed in Section 1.2, "equilibrium" means that the average
probability of finding our system in any particular state u is proportional
to the Boltzmann weight e-BEu of that state. If we start our system off in
a state such as the T = 0 or T = oo states described in the last section
and we want to perform a simulation at some finite non-zero temperature,
it will take a little time before we reach equilibrium. To see this, recall that,
as we demonstrated in Section 1.2.1, a system at equilibrium spends the
overwhelming majority of its time in a small subset of states in which its
internal energy and other properties take a narrow range of values. In order
to get a good estimate of the equilibrium value of any property of the system
therefore, we need to wait until it has found its way to one of the states that
54 Chapter 3: The Ising model and the Metropolis algorithm

FIGURE 3.2 Nine snapshots of a 100 x 100 Ising model on a square

lattice with J = 1 coming to equilibrium at a temperature T = 2.4
using the Metropolis algorithm. In these pictures the up-spins (si =
+ 1) arc represented by black squares and the down-spins (s1 = —1)
by white ones. The starting configuration is one in which all the spins
are, pointing up. The progression of the figures is horizontally across
the top row, then the middle row, then the bottom one. They show
the lattice after 0, 1, 2, 4, 6, 10, 20, 40 and 100 times 100 000 steps of
the simulation. In the last frame the system has reached equilibrium
according to the criteria given in this section.

fall in this narrow range. Then, we assume, the Monte Carlo algorithm we
have designed will ensure that it stays roughly within that range for the rest
of the simulation—it should do since we designed the algorithm specifically
to simulate the behaviour of the system at equilibrium. But it may take
some time to find a state that lies within the correct range. In the version
of the Metropolis algorithm which we have described here, we can only flip
one spin at a time, and since we are choosing the spins we flip at random,
it could take quite a while before we hit, on the correct sequence of spins to
3.2 Equilibration 55

FIGURE 3.3 The magnetization (upper curve) and internal energy

(lower curve) per site of a two-dimensional Ising model on a square
lattice of 100 x 100 sites with J = 1 simulated using the Metropo-
lis algorithm of Section 3.1. The simulation was started at T = oo
(i.e., the initial states of the spins were chosen completely at random)
and "cooled" to equilibrium at T = 2.0. Time is measured in Monte
Carlo steps per lattice site, and equilibrium is reached after about 6000
steps per site (in other words, 6 x 107 steps altogether).

flip in order to get us to one of the states we want to be in. At the very
least we can expect it to take about N Monte Carlo steps to reach a state
in the appropriate energy range, where N is the number of spins on the
lattice, since we need to allow every spin the chance to flip at least once. In
Figure 3.2 we show a succession of states of a two-dimension Ising model on
a square lattice of 100 x 100 spins with J = 1, as it is "warmed" up to a
temperature T = 2.4 from an initial T = 0 state in which all the spins are
aligned. In these pictures the +1 and —1 spins are depicted as black and
white squares. By the time we reach the last frame out of nine, the system
has equilibrated. The whole process takes on the order of 107 steps in this
case.
However looking at pictures of the lattice is not a reliable way of gauging
when the system has come to equilibrium. A better way, which takes very
little extra effort, is to plot a graph of some quantity of interest, like the
magnetization per spin m of the system or the energy of the system E, as
a function of time from the start of the simulation. We have done this in
Figure 3.3. (We will discuss the best ways of measuring these quantities
in the next section, but for the moment let's just assume that we calculate
them directly. For example, the energy of a given state can be calculated by
56 Chapter 3: The Ising model and the Metropolis algorithm

feeding all the values of the spins Si into the Hamiltonian, Equation (3.1).)
It is not hard to guess simply by looking at this graph that the system came
to equilibrium at around time t — 6000. Up until this point the energy
and the magnetization are changing, but after this point they just fluctuate
around a steady average value.
The horizontal axis in Figure 3.3 measures time in Monte Carlo steps per
lattice site, which is the normal practice for simulations of this kind. The
reason is that if time is measured in this way, then the average frequency
with which any particular spin is selected for flipping is independent of the
total number of spins N on the lattice. This average frequency is called
the "attempt frequency" for the spin. In the simulation we are considering
here the attempt frequency has the value 1. It is natural that we should
arrange for the attempt frequency to be independent of the lattice size; in
an experimental system, the rate at which spins or atoms or molecules change
from one state to another does not depend on how many there are in the
whole system. An atom in a tiny sample will change state as often as one in
a sample the size of a house. Attempt frequencies are discussed further in
Section 11.1.1.
When we perform N Monte Carlo steps—one for each spin in the system,
on average—we say we have completed one sweep of the lattice. We could
therefore also say that the time axis of Figure 3.3 was calibrated in sweeps.
Judging the equilibration of a system by eye from a plot such as Figure 3.3
is a reasonable method, provided we know that the system will come to
equilibrium in a smooth and predictable fashion as it does in this case.
The trouble is that we usually know no such thing. In many cases it is
possible for the system to get stuck in some metastable region of its state
space for a while, giving roughly constant values for all the quantities we
are observing and so appearing to have reached equilibrium. In statistical
mechanical terms, there can be a local energy minimum in which the
system can remain temporarily, and we may mistake this for the global
energy minimum, which is the region of state space that the equilibrium
system is most likely to inhabit. (These ideas are discussed in more detail
in the first few sections of Chapter 6.) To avoid this potential pitfall, we
commonly adopt a different strategy for determining the equilibration time,
in which we perform two different simulations of the same system, starting
them in different initial states. In the case of the Ising model we might, for
example, start one in the T = 0 state with all spins aligned, and one in the
T = oo state with random spins. Or we could choose two different T = oo
random-spin states. We should also run the two simulations with different
"seeds" for the random number generator (see Section 16.1.2), to ensure
that they take different paths to equilibrium. Then we watch the value of
the magnetization or energy or other quantity in the two systems and when
we see them reach the same approximately constant value, we deduce that
3.3 Measurement 57

FIGURE 3.4 The magnetization of our 100 x 100 Ising model as a

function of time (measured in Monte Carlo steps per lattice site) for
two different simulations using the Metropolis algorithm. The two
simulations were started off in two different T = oo (random-spin)
states. By about time i = 6000 the two simulations have converged to
the same value of the mean magnetization, within the statistical errors
due to fluctuations, and so we conclude that both have equilibrated.

both systems have reached equilibrium. We have done this for two 100 x 100
Ising systems in Figure 3.4. Again, we clearly see that it takes about 6000
Monte Carlo steps for the two systems to reach a consensus about the value
of the magnetization. This technique avoids the problem mentioned above,
since if one of the systems finds itself in some metastable region, and the
other reaches equilibrium or gets stuck in another metastable region, this will
be apparent from the graph, because the magnetization (or other quantity)
will take different values for the two systems. Only in the unlikely event
that the two systems coincidentally become trapped in the same metastable
region (for example, if we choose two initial states that are too similar to
one another) will we be misled into thinking they have reached equilibrium
when they haven't. If we are worried about this possibility, we can run three
different simulations from different starting points, or four, or five. Usually,
however, two is sufficient.

3.3 Measurement
Once we are sure the system has reached equilibrium, we need to measure
whatever quantity it is that we are interested in. The most likely candidates
58 Chapter 3: The Ising model and the Metropolis algorithm

for the Ising model are the energy and the magnetization of the system. As
we pointed out above, the energy Eu of the current state u of the system
can be evaluated directly from the Hamiltonian by substituting in the values
of the spins si from our array of integers. However, this is not an especially
efficient way of doing it, and there is a much better way. As part of our
implementation of the Metropolis algorithm, you will recall we calculated
the energy difference A.E = Ev — Eu in going from state u to state v (see
Equation (3.10)). So, if we know the energy of the current state u, we can
calculate the new energy when we flip a spin, using only a single addition:

So the clever thing to do is to calculate the energy of the system from the
Hamiltonian at the very start of the simulation, and then every time we flip
a spin calculate the new energy from Equation (3.11) using the value of AE,
which we have to calculate anyway.
Calculating the magnetization is even easier. The total magnetization
Mu, of the whole system in state u (as opposed to the magnetization per
spin—we'll calculate that in a moment), is given by the sum

As with the energy, it is not a shrewd idea to evaluate the magnetization

directly from this sum every time we want to know it. It is much better to
notice that only one spin k flips at a time in the Metropolis algorithm, so
the change of magnetization from state u to state v is

where the last equality follows from Equation (3.9). Thus, the clever way to
evaluate the magnetization is to calculate its value at the beginning of the
simulation, and then make use of the formula

every time we flip a spin.2

2
However, to be absolutely fair, we should point out that doing this involves performing
at least one addition operation every time we flip a spin, or one addition every A-1 steps,
where A is the mean acceptance ratio. Direct evaluation of Equation (3.12) on the other
hand involves N additions every time we want to know the magnetization. Thus, if we
want to make measurements less often than once every N/A steps, it may pay to use the
direct method rather than employing Equation (3.14). Similar considerations apply to
the measurement of the energy also.
3.3 Measurement 59

Given the energy and the magnetization of our Ising system at a selection
of times during the simulation, we can average them to find the estimators of
the internal energy and average magnetization. Then dividing these figures
by the number of sites N gives us the internal energy and average magneti-
zation per site.
We can also average the squares of the energy and magnetization to find
quantities like the specific heat and the magnetic susceptibility:

(See Equations (1.36) and (1.37). Note that we have set k = 1 again.)
In order to average quantities like E and M, we need to know how long a
run we have to average them over to get a good estimate of their expectation
values. One simple solution would again be just to look at a graph like
Figure 3.3 and guess how long we need to wait. However (as you might
imagine) this is not a very satisfactory solution. What we really need is
a measure of the correlation time r of the simulation. The correlation
time is a measure of how long it takes the system to get from one state to
another one which is significantly different from the first, i.e., a state in which
the number of spins which are the same as in the initial state is no more
than what you would expect to find just by chance. (We will give a more
rigorous definition in a moment.) There are a number of ways to estimate
the correlation time. One that is sometimes used is just to assume that it
is equal to the equilibration time. This is usually a fairly safe assumption:3
usually the equilibration time is considerably longer than the correlation
time, req > T, because two states close to equilibrium are qualitatively more
similar than a state far from equilibrium (like the T = 0 or T = oo states
we suggested for starting this simulation with) and one close to equilibrium.
However, this is again a rather unrigorous supposition, and there are more
watertight ways to estimate r. The most direct of these is to calculate the
"time-displaced autocorrelation function" of some property of the model.

3.3.1 Autocorrelation functions

Let us take the example of the magnetization m of our Ising model. The
time-displaced autocorrelation x(t) of the magnetization is given by

3
In particular, it works fine for the Metropolis simulation of the Ising model which we
are considering here.
60 Chapter 3: The Ising model and the Metropolis algorithm

where m(t) is the instantaneous value of the magnetization at time t and

(m) is the average value. This is rather similar to the connected correlation
function which we defined in Equation (1.26). That measured the correlation
between the values of a quantity (such as the magnetization) on two different
sites, i and j, on the lattice. The autocorrelation gives us a similar measure
of the correlation at two different times, one an interval t later than the
other. If we measure the difference between the magnetization m(t') at
time t' and its mean value, and then we do the same thing at time t' +t,
and we multiply them together, we will get a positive value if they were
fluctuating in the same direction at those two times, and a negative one if
they were fluctuating in opposite directions. If we then integrate over time
as in Equation (3.17), then x ( t ) will take a non-zero value if on average
the fluctuations are correlated, or it will be zero if they are not. For our
Metropolis simulation of the Ising model it is clear that if we measure the
magnetization at two times just a single Monte Carlo step apart, the values
we get will be very similar, so we will have a large positive autocorrelation.
On the other hand, for two times a long way apart the magnetizations will
probably be totally unrelated, and their autocorrelation will be close to
zero. Ideally, we should calculate x(t) by integrating over an infinite time,
but this is obviously impractical in a simulation, so we do the best we can
and just sum over all the measurements of m that we have, from beginning
to end of our run. Figure 3.5 shows the magnetization autocorrelation of our
100 x 100 Ising model at temperature T = 2.4 and interaction energy J = 1,
calculated in exactly this manner using results from our Metropolis Monte
Carlo simulation. As we can see, the autocorrelation does indeed drop from
a significant non-zero value at short times t towards zero at very long times.
In this case, we have divided x(t) by its value x(0) at t — 0, so that its
maximum value is one. The typical time-scale (if there is one) on which it
falls off is a measure of the correlation time T of the simulation. In fact,
this is the definition of the correlation time. It is the typical time-scale on
which the autocorrelation drops off; the autocorrelation is expected to fall
off exponentially at long times thus:

(In the next section we show why it should take this form.) With this
definition, we see that in fact there is still a significant correlation between
two samples taken a correlation time apart: at time t = T the autocorrelation
function, which is a measure of the similarity of the two states, is only
a factor of 1/e down from its maximum value at t = 0. If we want truly
independent samples then, we may want to draw them at intervals of greater
than one correlation time. In fact, the most natural definition of statistical
independence turns out to be samples drawn at intervals of 2T. We discuss
this point further in Section 3.4.1.
3.3 Measurement 61

FIGURE 3.5 The magnetization autocorrelation function x(t) for a

two-dimensional Ising model at temperature T = 2.4 on a square lat-
tice of 100 x 100 sites with J = 1 simulated using the Metropolis
algorithm of Section 3.1. Time is measured in Monte Carlo steps per
site.

We can make a reasonable estimate of T by eye from Figure 3.5. At a

guess we'd probably say T was about 100 in this case. This is an accurate
enough figure for estimating how long a Monte Carlo run we need to do
in order to get decent statistics. It tells us that we expect to get a new
independent spin configuration about once every 2r = 200 sweeps of the
lattice in our simulation. So if we want, say, 10 independent measurements
of the magnetization, we need to run our Metropolis algorithm for about
2000 sweeps after equilibration, or 2 x 107 Monte Carlo steps. If we want
100 measurements we need to do 2 x 108 steps. In general, if a run lasts a
time t max , then the number of independent measurements we can get out of
the run, after waiting a time req for equilibration, is on the order of

It is normal practice in a Monte Carlo simulation to make measurements

at intervals of less than the correlation time. For example, in the case of the
Metropolis algorithm we might make one measurement every sweep of the
lattice. Thus the total number of measurements we make of magnetization
or energy (or whatever) during the run is usually greater than the number
of independent measurements. There are a number of reasons why we do
it this way. First of all, we usually don't know what the correlation time
is until after the simulation has finished, or at least until after it has run
62 Chapter 3: The Ising model and the Metropolis algorithm

FIGURE 3.6 The autocorrelation function of Figure 3.5 replotted on

semi-logarithmic axes. The dashed line is a straight line fit which
yields a figure of r = 95 ± 5 in this case. Note that the horizontal scale
is not the same as in Figure 3.5.

for a certain amount of time, and we want to be sure of having at least one
measurement every two correlation times. Another reason is that we want
to be able to calculate the autocorrelation function for times less than a
correlation time, so that we can use it to make an accurate estimate of the
correlation time. If we only had one measurement every 2r, we wouldn't be
able to calculate T with any accuracy at all.
If we want a more reliable figure for T, we can replot our autocorrelation
function on semi-logarithmic axes as we have done in Figure 3.6, so that
the slope of the line gives us the correlation time. Then we can estimate T
by fitting the straight-line portion of the plot using a least-squares method.
The dotted line in the figure is just such a fit and its slope gives us a figure
of T — 95 ± 5 for the correlation time in this case.
An alternative is to calculate the integrated correlation time.4 If we
assume that Equation (3.18) is accurate for all times t then

This form has a number of advantages. First, it is often easier to apply Equa-
tion (3.20) than it is to perform the exponential fit to the autocorrelation
4
This is a rather poor name for this quantity, since it is not the correlation time that
is integrated but the autocorrelation function. However, it is the name in common use so
we use it here too.
3.3 Measurement 63

function. Second, the method for estimating T illustrated in Figure 3.6 is

rather sensitive to the range over which we perform the fit. In particular, the
very long time behaviour of the autocorrelation function is often noisy, and
it is important to exclude this portion from the fitted data. However, the
exact point at which we truncate the fit can have quite a large effect on the
resulting value for T. The integrated correlation time is much less sensitive
to the way in which the data are truncated, although it is by no means per-
fect either, since, as we will demonstrate in Section 3.3.2, Equation (3.18)
is only strictly correct for long times t, and we introduce an uncontrolled
error by assuming it to be true for all times. On the other hand, the di-
rect fitting method also suffers from this problem, unless we only perform
our fit over the exact range of times for which true exponential behaviour is
present. Normally, we don't know what this range is, so the fitting method is
no more accurate than calculating the integrated correlation time. Usually
then, Equation (3.20) is the method of choice for calculating T. Applying
it to the data from Figure 3.6 gives a figure of T = 86 ± 5, which is in
moderately good agreement with our previous figure.
The autocorrelation function in Figure 3.5 was calculated directly from
a discrete form of Equation (3.17). If we have a set of samples of the mag-
netization m(t) measured at evenly-spaced times up to some maximum time
tmax, then the correct formula for the autocorrelation function is5

Notice how we have evaluated the mean magnetization m in the second term
using the same subsets of the data that we used in the first term. This is
not strictly speaking necessary, but it makes x(t) a little better behaved. In
Figure 3.5 we have also normalized x(t) by dividing throughout by x(0), but
this is optional. We've just done it for neatness.
Note that one should be careful about using Equation (3.21) to evaluate
x(t) at long times. When t gets close to tmax, the upper limit of the sums
becomes small and we end up integrating over a rather small time interval
to get our answer. This means that the statistical errors in x ( t ) due to
the random nature of the fluctuations in m(t) may become large. A really
satisfactory simulation would always run for many correlation times, in which
case we will probably not be interested in the very tails of x(t), since the
correlations will have died away by then, by definition. However, it is not
5
In fact, this formula differs from (3.17) by a multiplicative constant, but this makes
no difference as far as the calculation of the correlation time is concerned.
64 Chapter 3: The Ising model and the Metropolis algorithm

always possible, because we only have limited computer resources, to perform

simulations as long as we would like, and one should always be aware that
errors of this type can crop up with shorter data sets.
Calculating the autocorrelation function from Equation (3.21) takes time
of order n2, where n is the number of samples. For most applications, this
is not a problem. Even for simulations where several thousand samples
are taken, the time needed to evaluate the autocorrelation is only a few
seconds on a modern computer, and the simplicity of the formulae makes
their programming very straightforward, which is a big advantage—people-
time is usually more expensive than computer-time. However, sometimes it
is desirable to calculate the autocorrelation function more quickly. This is
particularly the case when one needs to do it very often during the course of
a calculation, for some reason. If you need to calculate an autocorrelation a
thousand times, and each time takes a few seconds on the computer, then
the seconds start to add up. In this case, at the expense of rather greater
programming effort, we can often speed up the process by the following trick.
Instead of calculating x(t) directly, we calculate the Fourier transform x(w)
of the autocorrelation and then we invert the Fourier transform to get x(t).
The Fourier transform is related to the magnetization as follows:

where m'(w) is the Fourier transform of m'(t) = m(t) — (m}. 6

So all we need to do is calculate the Fourier transform of m'(t) and
feed it into this formula to get x(w). The advantage in doing this is that
the Fourier transform can be evaluated using the so-called fast Fourier
transform or FFT algorithm, which was given by Cooley and Tukey in
1965. This is a standard algorithm which can evaluate the Fourier transform
in a time which goes like n log n, where n is the number of measurements
of the magnetization.7 Furthermore, there exist a large number of ready-
made computer software packages that perform FFTs. These packages have
6
Since m(t) and m'(t) differ only by a constant, m(w) and m'(w) differ only in their
w = 0 component (which is zero in the latter case, but may be non-zero in the former).
For this reason, it is often simplest to calculate m'(w) by first calculating m(w) and then
just setting the w = 0 component to zero.
7
On a technical note, if we simply apply the FFT algorithm directly to our magnetiza-
tion data, the result produced is the Fourier transform of an infinite periodic repetition of
the data set, which is not quite what we want in Equation (3.22). A simple way of getting
around this problem is to add n zeros to the end of the data set before we perform the
transform. It can be shown that this then gives a good estimate of the autocorrelation
function (Futrelle and McGinty 1971).
3.3 Measurement 65

been written very carefully by people who understand the exact workings of
the computer and are designed to be as fast as possible at performing this
particular calculation, so it usually saves us much time and effort to make
use of the programs in these packages. Having calculated x(w), we can then
invert the Fourier transform, again using a streamlined inverse FFT routine
which also runs in time proportional to n log n, and so recover the function
x(t).
We might imagine that, if we wanted to calculate the integrated correla-
tion time, Equation (3.20), we could avoid inverting the Fourier transform,
since

and thus

where x(0) is simply the magnetization fluctuation

However, you should avoid calculating T this way because, as footnote 6 on

the previous page makes clear, x(0) is zero when calculated directly for finite
datasets. Equation (3.24) is only applicable if (m) is calculated over a much
longer run than x(w).

3.3.2 Correlation times and Markov matrices

The techniques outlined in the previous section are in most cases quite suffi-
cient for estimating correlation times in Monte Carlo simulations. However,
we have simplified the discussion somewhat by supposing there to be only
one correlation time in the system. In real life there are as many correla-
tion times as there are states of the system, and the interplay between these
different times can sometimes cause the methods of the last section to give
inaccurate results. In this section we look at these issues in more detail. The
reader who is interested only in how to calculate a rough measure of T could
reasonably skip this section.
In Section 2.2.3 we showed that the probabilities wu(t) and wu(t + 1) of
being in a particular state u at consecutive Monte Carlo steps are related
by the Markov matrix P for the algorithm. In matrix notation we wrote

where w is the vector whose elements are the probabilities wu (see Equa-
tion (2.9)). By iterating this equation from time t = 0 we can then show
that
66 Chapter 3: The Ising model and the Metropolis algorithm

Now w(0) can be expressed as a linear combination of the right eigenvectors

Vi of P thus:8

where the quantities ai are coefficients whose values depend on the configu-
ration of the system at t = 0. Then

where \i is the eigenvalue of P corresponding to the eigenvector Vi. As

t —> oo, the right-hand side of this equation will be dominated by the term
involving the largest eigenvalue A0 of the Markov matrix. This means that
in the limit of long times, the probability distribution w(t) becomes pro-
portional to V0, the eigenvector corresponding to the largest eigenvalue. We
made use of this result in Section 2.2.3 to demonstrate that w(t) tends to
the Boltzmann distribution at long times.
Now suppose that we are interested in knowing the value of some observ-
able quantity Q, such as the magnetization. The expectation value of this
quantity at time t can be calculated from the formula

or

where q is the vector whose elements are the values Qu of the quantity in
the various states of the system. Substituting Equation (3.29) into (3.31) we
then get

Here qi = q . vi is the expectation value of Q in the ith eigenstate. The

long time limit Q(oo) of this expression is also dominated by the largest
eigenvalue A0 and is proportional to q0. If we now define a set of quantities
Ti thus:

for all i = 0, then Equation (3.32) can be written

8
P is in general not symmetric, so its right and left eigenvectors are not the same.
3.3 Measurement 67

The quantities Ti are the correlation times for the system, as we can demon-
strate by showing that they also govern the decay of the autocorrelation
function. Noting that the long-time limit Q(oo) of the expectation of Q is
none other than the equilibrium expectation (Q), we can write the autocor-
relation of Q as the correlation between the expectations at zero time and
some later time t thus:

with

Equation (3.35) is the appropriate generalization of Equation (3.18) to all

times t (not just long ones).
As we said, there are as many correlation times as there are states of
the system since that is the rank of the matrix P. (Well, strictly there
are as many of them as the rank of the matrix less one, since there is no
TO corresponding to the highest eigenvalue. There are 2N — 1 correlation
times in the case of the Ising model, for example. However, the rank of the
matrix is usually very large, so let's not quibble over one correlation time.)
The longest of these correlation times is t1, the one which corresponds to
the second largest eigenvalue of the matrix. This is the correlation time we
called T in the last section. Clearly, for large enough times t, this will be
the only correlation time we need to worry about, since all the other terms
in Equation (3.35) will have decayed away to insignificance. (This is how
Equation (3.18) is derived.) However, depending on how close together the
higher eigenvalues of the Markov matrix are, and how long our simulation
runs for, we may or may not be able to extract reliable results for T1 by
simply ignoring all the other terms. In general the most accurate results are
obtained by fitting our autocorrelation function to a sum of a small number
of decaying exponentials, of the form of Equation (3.35), choosing values
for the quantities bi by a least-squares or similar method. In work on the
three-dimensional Ising model, for example, Wansleben and Landau (1991)
showed that including three terms was sufficient to get a good fit to the
magnetization autocorrelation function, and thus get an accurate measure
of the longest correlation time r = r1. In studies of the dynamical properties
of statistical mechanical models, this is the most correct way to measure the
correlation time. Strictly speaking it gives only a lower bound on T since it
is always possible that correlations exist beyond the longest times that one
can measure. However, in practice it usually gives good results.
68 Chapter 3: The Ising model and the Metropolis algorithm

3.4 Calculation of errors

Normally, as well as measuring expectation values, we also want to calculate
the errors on those values, so that we have an idea of how accurate they
are. As with experiments, the errors on Monte Carlo results divide into two
classes: statistical errors and systematic errors.9 Statistical errors are
errors which arise as a result of random changes in the simulated system from
measurement to measurement—thermal fluctuations, for example—and they
can be estimated simply by taking many measurements of the quantity we
are interested in and calculating the spread of the values. Systematic errors
on the other hand, are errors due to the procedure we have used to make
the measurements, and they affect the whole simulation. An example is the
error introduced by waiting only a finite amount of time for our system to
equilibrate. (Ideally, we should allow an infinite amount of time for this, in
order to be sure the system has completely equilibrated. However, this, of
course, is not practical.)

3.4.1 Estimation of statistical errors

In a Monte Carlo calculation the principal source of statistical error in the
measured value of a quantity is usually the fluctuation of that quantity from
one time step to the next. This error is inherent in the Monte Carlo method.
As the name "Monte Carlo" itself makes clear, there is an innate random-
ness and statistical nature to Monte Carlo calculations. (In Chapter 6 on
glassy spin models, we will see another source of statistical error: "sample-
to-sample" fluctuations in the actual system being simulated. However, for
the simple Ising model we have been considering, thermal fluctuations are
the only source of statistical error. All other errors fall into the category of
systematic errors.) It is often straightforward to estimate the statistical error
in a measured quantity, since the assumption that the error is statistical—
i.e., that it arises through random deviations in the measured value of the
quantity—implies that we can estimate the true value by taking the mean of
several different measurements, and that the error on that estimate is simply
the error on the mean. Thus, if we are performing the Ising model simula-
tion described in the last section, and we make n measurements mi of the
magnetization of the system during a particular run, then our best estimate
of the true thermal average of the magnetization is the mean m of those n
measurements (which is just the estimator of m, as defined in Section 2.1),

9
Monte Carlo simulations are in many ways rather similar to experiments. It often
helps to regard them as "computer experiments", and analyse the results in the same way
as we would analyse the results of a laboratory experiment.
3.4 Calculation of errors 69

and our best estimate of the standard deviation on the mean is given by10

This expression assumes that our samples mi are statistically indepen-

dent, which in general they won't be. As we pointed out in Section 3.3.1, it
is normal to sample at intervals of less than a correlation time, which means
that successive samples will in general be correlated. A simple and usually
perfectly adequate solution to this problem is to use the value of n given
by Equation (3.19), rather than the actual number of samples taken. In
fact, it can be shown (Muller-Krumbhaar and Binder 1973) that the correct
expression for a in terms of the actual number of samples is

where r is the correlation time and At is the time interval at which the
samples were taken. Clearly this becomes equal to Equation (3.37) when
At > T, but more often we have At < T. In this case, we can ignore the 1
in the numerator of Equation (3.38). Noting that for a run of length t max
(after equilibration) the interval At is related to the total number of samples
by

we then find that for large n

which is the same result as we would get by simply using Equation (3.19)
for n in Equation (3.37). This in fact was the basis for our assertion in
Section 3.3.1 that the appropriate sampling interval for getting independent
samples was twice the correlation time. Note that the value of a in Equa-
tion (3.40) is independent of the value of At, which means we are free to
choose At in whatever way is most convenient.

3.4.2 The blocking method

There are some cases where it is either not possible or not straightforward to
estimate the error in a quantity using the direct method described in the last
10
The origin of the n — 1 in this and following expressions for error estimates is a
little obscure. The curious reader is referred to any good book on data analysis for an
explanation, such as Bevington and Robinson (1992).
70 Chapter 3: The Ising model and the Metropolis algorithm

section. This happens when the result we want is not merely the average of
some measurement repeated many times over the course of the simulation, as
the magnetization is, but is instead derived in some more complex way from
measurements we make during the run. An example is the specific heat c,
Equation (3.15), which is inherently an average macroscopic quantity. Unlike
the magnetization, the specific heat is not defined at a single time step in the
simulation. It is only defined in terms of averages of many measurements
of E and E2 over a longer period of time. We might imagine that we could
calculate the error on (E) and the error on (E2) using the techniques we
employed for the magnetization, and then combine them in some fashion
to give an estimate of the error in c. But this is not as straightforward as
it seems at first, since the errors in these two quantities are correlated—
when (E) goes up, so does (E2). It is possible to do the analysis necessary
to calculate the error on c in this fashion. However, it is not particularly
simple, and there are other more general methods of error estimation which
lend themselves to this problem. As the quantities we want to measure
become more complex, these methods—"blocking", the "bootstrap" and the
"jackknife"—will save us a great deal of effort in estimating errors. We
illustrate these methods here for the case of the specific heat, though it
should be clear that they are applicable to almost any quantity that can be
measured in a Monte Carlo simulation.
The simplest of our general-purpose error estimation methods is the
blocking method. Applied to the specific heat, the idea is that we take
the measurements of E that we made during the simulation and divide them
into several groups, or blocks. We then calculate c separately for each block,
and the spread of values from one block to another gives us an estimate of
the error. To see how this works, suppose we make 200 measurements of the
energy during our Ising model simulation, and then split those into 10 groups
of 20 measurements. We can evaluate the specific heat from Equation (3.15)
for each group and then find the mean of those 10 results exactly as we
did for the magnetization above. The error on the mean is given again by
Equation (3.37), except that n is now replaced by the number nb of blocks,
which would be 10 in our example. This method is intuitive, and will give
a reasonable estimate of the order of magnitude of the error in a quantity
such as c. However, the estimates it gives vary depending on the number
of different blocks you divide your data up into, with the smallest being as-
sociated with large numbers of blocks, and the largest with small numbers
of blocks, so it is clearly not a very rigorous method. A related but more
reliable method, which can be used for error estimation in a wide variety of
different circumstances, is the bootstrap method, which we now describe.
3.4 Calculation of errors 71

3.4.3 The bootstrap method

The bootstrap method is a resampling method. Applied to our problem
of calculating the specific heat for the Ising model, it would work like this.
We take our list of measurements of the energy of the model and from the
n numbers in this list we pick out n at random. (Strictly, n should be the
number of independent measurements. In practice the measurements made
are usually not all independent, but luckily it transpires that the bootstrap
method is not much affected by this difference, a point which is discussed
further below.) We specifically allow ourselves to pick the same number
twice from the list, so that we end up with n numbers each of which appears
on the original list, and some of which may be duplicates of one another. (In
fact, if you do your sums, you can show that about a fraction 1 — 1/e ~ 63%
of the numbers will be duplicates.) We calculate the specific heat from
these n numbers just as we would normally, and then we repeat the process,
picking (or resampling) another n numbers at random from the original
measurements. It can be shown (Efron 1979) that after we have repeated
this calculation several times, the standard deviation of the distribution in
the results for c is a measure of the error in the value of c. In other words
if we make several of these "bootstrap" calculations of the specific heat, our
estimate of the error a is given by

Notice that there is no extra factor of l/(n - 1) here as there was in Equa-
tion (3.37). (It is clear that the latter would not give a correct result, since
it would imply that our estimate of the error could be reduced by simply
resampling our data more times.)
As we mentioned, it is not necessary for the working of the bootstrap
method that all the measurements made be independent in the sense of Sec-
tion 3.3.1 (i.e., one every two correlation times or more). As we pointed
out earlier, it is more common in a Monte Carlo simulation to make mea-
surements at comfortably short intervals throughout the simulation so as to
be sure of making at least one every correlation time or so and then calcu-
late the number of independent measurements made using Equation (3.19).
Thus the number of samples taken usually exceeds the number which ac-
tually constitute independent measurements. One of the nice things about
the bootstrap method is that it is not necessary to compensate for this dif-
ference in applying the method. You get fundamentally the same estimate
of the error if you simply resample your n measurements from the entire
set of measurements that were made. In this case, still about 63% of the
samples will be duplicates of one another, but many others will effectively
be duplicates as well because they will be measurements taken at times less
than a correlation time apart. Nonetheless, the resulting estimate of a is the
72 Chapter 3: The Ising model and the Metropolis algorithm

same.
The bootstrap method is a good general method for estimating errors
in quantities measured by Monte Carlo simulation. Although the method
initially met with some opposition from mathematicians who were not con-
vinced of its statistical validity, it is now widely accepted as giving good
estimates of errors (Efron 1979).

3.4.4 The jackknife method

A slightly different but related method of error estimation is the jackknife.
For this method, unlike the bootstrap method, we really do need to choose n
independent samples out of those that were made during the run, taking one
approximately every two correlation times or more. Applying the jackknife
method to the case of the specific heat, we would first use these samples to
calculate a value c for the specific heat. Now however, we also calculate n
other estimates Ci as follows. We take our set of n measurements, and we
remove the first one, leaving n — 1, and we calculate the specific heat c1
from that subset. Then we put the first one back, but remove the second
and calculate c2 from that subset, and so forth. Each ci is the specific heat
calculated with the ith measurement of the energy removed from the set,
leaving n — 1 measurements. It can then be shown that an estimate of the
error in our value of c is

where c is our estimate of the specific heat using all the data.11

Both the jackknife and the bootstrap give good estimates of errors for
large data sets, and as the size of the data set becomes infinite they give
exact estimates. Which one we choose in a particular case usually depends
on how much work is involved applying them. In order to get a decent error
estimate from the bootstrap method we usually need to take at least 100
resampled sets of data, and 1000 would not be excessive. (100 would give
the error to a bit better than 10% accuracy.) With the jackknife we have to
recalculate the quantity we are interested in exactly n times to get the error
estimate. So, if n is much larger than 100 or so, the bootstrap is probably
the more efficient. Otherwise, we should use the jackknife.12
11
In fact, it is possible to use the jackknife method with samples taken at intervals At
less than 2r. In this case we just reduce the sum inside the square root by a factor of
At/2T to get an estimate of a which is independent of the sampling interval.
12
For a more detailed discussion of these two methods, we refer the interested reader to
the review article by Efron (1979).
3.5 Measuring the entropy 73

3.4.5 Systematic errors

Just as in experiments, systematic errors are much harder to gauge than
statistical ones; they don't show up in the fluctuations of the individual mea-
surements of a quantity. (That's why they are systematic errors.) The main
source of systematic error in the Ising model simulation described in this
chapter is the fact that we wait only a finite amount of time for the system
to equilibrate. There is no good general method for estimating systematic
errors; each source of error has to be considered separately and a strategy
for estimating it evolved. This is essentially what we were doing when we
discussed ways of estimating the equilibration time for the Metropolis algo-
rithm. Another possible source of systematic error would be not running the
simulation for a long enough time after equilibration to make good indepen-
dent measurements of the quantities of interest. When we discussed methods
for estimating the correlation time t, we were dealing with this problem. In
the later sections of this chapter, and indeed throughout this book, we will
discuss methods for estimating and controlling systematic errors as they crop
up in various situations.

3.5 Measuring the entropy

We have described how we go about measuring the internal energy, specific
heat, magnetization and magnetic susceptibility from our Metropolis Monte
Carlo simulation of the Ising model. However, there are three quantities of
interest which were mentioned in Chapter 1 which we have not yet discussed:
the free energy F, the entropy S and the correlation function G(2) ( i , j ) . The
correlation function we will consider in the next section. The other two we
consider now.
The free energy and the entropy are related by

so that if we can calculate one, we can easily find the other using the known
value of the total internal energy U. Normally, we calculate the entropy,
which we do by integrating the specific heat over temperature as follows.
We can calculate the specific heat of our system from the fluctuations in
the internal energy as described in Section 3.3. Moreover, we know that the
specific heat C is equal to

Thus the entropy S(T) at temperature T is

74 Chapter 3: The Ising model and the Metropolis algorithm

If we are only interested in how S varies with T, then it is not necessary

to know the value of the integration constant S(T0) and we can give it any
value we like. If we want to know the absolute value of 5, then we have
to fix S(T0) by choosing TO to be some temperature at which we know the
value of the entropy. The conventional choice, known as the third law of
thermodynamics, is to make the entropy zero13 when TO — 0. In other
words

As with the other quantities we have discussed, we often prefer to calculate

the entropy per spin s(T) of our system, which is given in terms of the
specific heat per spin c by

Of course, evaluating either of these expressions involves calculating the

specific heat over a range of temperatures up to the temperature we are
interested in, at sufficiently small intervals that its variation with T is well
approximated. Then we have to perform a numerical integral using, for
example, the trapezium rule or any of a variety of more sophisticated in-
tegration techniques (see, for instance, Press et al. 1988). Calculating the
entropy (or equivalently the free energy) of a system is therefore a more com-
plex task than calculating the internal energy, and may use up considerably
more computer time. On the other hand, if we are interested in probing
the behaviour of our system over a range of temperatures anyway (as we
often are), we may as well make use of the data to calculate the entropy;
the integration is a small extra computational effort to make by comparison
with the simulation itself.
The integration involved in the entropy calculation can give problems. In
particular, if there is any very sharp behaviour in the curve of specific heat
as a function of temperature, we may miss it in our simulation, which would
give the integral the wrong value. This is a particular problem near "phase
transitions", where the specific heat often diverges (see Section 3.7.1).

3.6 Measuring correlation functions

One other quantity which we frequently want to measure is the two-point
connected correlation function G(2)(i,j). Let us see how we would go about
13
Systems which have more than one ground state may violate the third law. This point
is discussed in more detail in Section 7.1.2.
3.6 Measuring correlation functions 75

calculating this correlation function for the Ising model. The most straight-
forward way is to evaluate it directly from the definition, Equation (1.26),
using the values of the spins si from our simulation:

(Here m denotes the expectation value of the magnetization.) In fact, since

our Ising system is translationally invariant, G(2)(i,j) is dependent only on
the displacement r between the sites i and j, and not on exactly where they
are. In other words, if ri is the position vector of the zth spin, then we should
have

independent of the value of ri. This means that we can improve our estimate
of the correlation function G(2) (r) by averaging its value over the whole
lattice for all pairs of spins separated by a displacement r:

If, as with our Ising model simulation, the system we are simulating has
periodic boundary conditions (see Section 3.1), then G(2)(r) will not die
away for very large values of r. Instead, it will be periodic, dying away for
values of r up to half the width of the lattice, and then building up again to
another maximum when we have gone all the way across the lattice and got
back to the spin we started with.
In order to evaluate G(2) (r) using Equation (3.50) we have to record the
value of every single spin on the lattice at intervals during the simulation.
This is not usually a big problem given the generous amounts of storage space
provided by modern computers. However, if we want to calculate G(2) (r) for
every value of r on the lattice, this kind of direct calculation does take an
amount of time which scales with the number N of spins on the lattice as
N2. As with the calculation of the autocorrelation function in Section 3.3.1,
it actually turns out to be quicker to calculate the Fourier transform of the
correlation function instead.
The spatial Fourier transform G(2) (k) is defined by
76 Chapter 3: The Ising model and the Metropolis algorithm

where s'(k) is the Fourier transform of si = Si — m. In other words, in order

to calculate G(2) (k), we just need to perform a Fourier transform of the spins
at a succession of different times throughout the simulation and then feed the
results into Equation (3.51). As in the case of the autocorrelation function
of Section 3.2, this can be done using a standard FFT algorithm. To get the
correlation function in real space we then have to use the algorithm again to
Fourier transform back, but the whole process still only takes a time which
scales as N log N, and so for the large lattices of today's Monte Carlo studies
it is usually faster than direct calculation from Equation (3.50). 14
Occasionally we also need to calculate the disconnected correlation func-
tion defined in Section 1.2.1. The equivalent of (3.51) in this case is simply

Note that si and s' differ only by the average magnetization m, which is
a constant. As a result, G(2)(k) and G(2) (k) are in fact identical, except
at k = 0. For this reason, it is often simpler to calculate G(2) (k) by first
calculating G(2)(k) and then just setting the k = 0 component to zero.

3.7 An actual calculation

In this section we go through the details of an actual Monte Carlo simulation
and demonstrate how the calculation proceeds. The example that we take
is that of the simulation of the two-dimensional Ising model on a square
lattice using the Metropolis algorithm. This system has the advantage that
its properties in the thermodynamic limit are known exactly, following the
analytic solution given by Onsager (1944). Comparing the results from our
simulation with the exact solution will give us a feel for the sort of accuracy
one can expect to achieve using the Monte Carlo method. Some of the results
have already been presented (see Figures 3.3 and 3.5 for example). Here we
14
Again we should point out that this does not necessarily mean that one should always
calculate the correlation function this way. As with the calculation of the autocorrelation
function, using the Fourier transform is a more complicated method than direct calculation
of the correlation function, and if your goal is to get an estimate quickly, and your lattice
is not very large, you may be better advised to go the direct route. However, the Fourier
transform method is more often of use in the present case of the two-point correlation
function, since in order to perform the thermal average appearing in Equations (3.50)
and (3.51) we need to repeat the calculation about once every two correlation times
throughout the entire simulation, which might mean doing it a hundred or a thousand
times in one run. Under these circumstances the FFT method may well be advantageous.
3.7 An actual calculation 77

describe in detail how these and other results are arrived at, and discuss
what conclusions we can draw from them.
The first step in performing any Monte Carlo calculation, once we have
decided on the algorithm we are going to use, is to write the computer
program to implement that algorithm. The code used for our Metropolis
simulation of the Ising model is given in Appendix B. It is written in the
computer language C.
As a test of whether the program is correct, we have first used it to
simulate a small 5 x 5 Ising model for a variety of temperatures between
T = 0 and T = 5.0 with J set equal to 1. For such a small system our
program runs very fast, and the entire simulation only took about a second
at each temperature. In Section 1.3 we performed an exact calculation of
the magnetization and specific heat for the 5 x 5 Ising system by directly
evaluating the partition function from a sum over all the states of the system.
This gives us something to compare our Monte Carlo results with, so that
we can tell if our program is doing the right thing. At this stage, we are
not interested in doing a very rigorous calculation, only in performing a
quick check of the program, so we have not made much effort to ensure the
equilibration of the system or to measure the correlation time. Instead, we
simply ran our program for 20 000 Monte Carlo steps per site (i.e., 20 000 x
25 = 500 000 steps in all), and averaged over the last 18 000 of these to
measure the magnetization and the energy. Then we calculated m from
Equation (3.12) and c from Equation (3.15). If the results do not agree
with our exact calculation then it could mean either that there is a problem
with the program, or that we have not waited long enough in either the
equilibration or the measurement sections of the simulation. However, as
shown in Figure 3.7, the numerical results agree rather well with the exact
ones. Even though we have not calculated the statistical errors on our data in
order to determine the degree of agreement, these results still give us enough
confidence in our program to proceed with a more thorough calculation on
a larger system.
For our large-scale simulation, we have chosen to examine a system of
100 x 100 spins on a square lattice. We started the program with randomly
chosen values of all the spins—the T = oo state of Section 3.1.1—and ran
the simulations at a variety of temperatures from T = 0.2 to T = 5.0 in steps
of 0.2, for a total of 25 simulations in all.15 Again we ran our simulations
15
Note that it is not possible to perform a simulation at T = 0 because the acceptance
ratio, Equation (3.7), for spin flips which increase the energy of the system becomes zero
in this limit. This means that it is not possible to guarantee that the system will come
to equilibrium, because the requirement of ergodicity is violated; there are some states
which it is not possible to get to in a finite number of moves. It is true in general of
thermal Monte Carlo methods that they break down at T = 0, and often they become
very slow close to T = 0. The continuous time Monte Carlo method of Section 2.4 can
sometimes by used to overcome this problem in cases where we are particularly interested
78 Chapter 3: The Ising model and the Metropolis algorithm

FIGURE 3.7 The magnetization (squares) and specific heat (circles)

per spin of an Ising model in two dimensions on a 5 x 5 square lattice.
The points are the results of the Metropolis Monte Carlo calculation
described in the text. The lines are the exact calculations performed in
Section 1.3, in which we evaluated the partition function by summing
over all the states of the system.

for 20 000 Monte Carlo steps per lattice site. This is a fairly generous first
run, and is only possible because we are looking at quite a small system still.
In the case of larger or more complex models, one might well first perform
a shorter run to get a rough measure of the equilibration and correlation
times for the system, before deciding how long a simulation to perform. A
still more sophisticated approach is to perform a short run and then store
the configuration of the spins on the lattice before the program ends. Then,
after deciding how long the entire calculation should last on the basis of
the measurements during that short run, we can pick up exactly where we
left off using the stored configuration, thus saving ourselves the effort of
equilibrating the system twice.
Taking the data from our 25 simulations at different temperatures, we
first estimate the equilibration times req at each temperature using the meth-
ods described in Section 3.2. In this case we found that all the equilibration
times were less than about 1000 Monte Carlo steps per site, except for the
simulations performed at T = 2.0 and T = 2.2, which both had equilibration
times on the order of 6000 steps per site. (The reason for this anomaly is
explained in the next section.) Allowing ourselves a margin for error in these
estimates, we therefore took the data from time 2000 onwards as our equi-

in the behaviour of a model close to T = 0.

3.7 An actual calculation 79

FIGURE 3.8 The correlation time for the 100 x 100 Ising model simu-
lated using the Metropolis algorithm. The correlation time is measured
in Monte Carlo steps per lattice site (i.e., in multiples of 10 000 Monte
Carlo steps in this case). The straight lines joining the points are just
to guide the eye.

librium measurements for all the temperatures except the two slower ones,
for which we took the data for times 10 000 onwards.
Next we need to estimate how many independent measurements these
data constitute, which means estimating the correlation time. To do this,
we calculate the magnetization autocorrelation function at each temperature
from Equation (3.21), for times t up to 1000. (We must be careful only to use
our equilibrium data for this calculation since the autocorrelation function is
an equilibrium quantity. That is, we should not use the data from the early
part of the simulation during which the system was coming to equilibrium.)
Performing a fit to these functions as in Figure 3.6, we make an estimate
of the correlation time T at each temperature. The results are shown in
Figure 3.8. Note the peak in the correlation time around T = 2.2. This
effect is called "critical slowing down", and we will discuss it in more detail
in Section 3.7.2. Given the length of the simulation tmax and our estimates of
req and T for each temperature, we can calculate the number n of independent
measurements to which our simulations correspond using Equation (3.19).
Using these figures we can now calculate the equilibrium properties of
the 100 x 100 Ising model in two dimensions. As an example, we have cal-
culated the magnetization and the specific heat again. Our estimate of the
magnetization is calculated by averaging over the magnetization measure-
ments from the simulation, again excluding the data from the early portion
80 Chapter 3: The Ising model and the Metropolis algorithm

FIGURE 3.9 The magnetization per spin of the two-dimensional Ising

model. The points are the results from our Monte Carlo simulation
using the Metropolis algorithm. The errors are actually smaller than
the points in this figure because the calculation is so accurate. The
solid line is the known exact solution for the Ising model on an infinite
two-dimensional square lattice.

of the run where the system was not equilibrated. The results are shown
in Figure 3.9, along with the known exact solution for the infinite system.
Calculating the errors on the magnetization from Equation (3.37), we find
that the errors are so small that the error bars would be completely covered
by the points themselves, so we have not bothered to put them in the fig-
ure. The agreement between the numerical calculation and the exact one
for the infinite lattice is much better than it was for the smaller system in
Figure 1.1, although there is still some discrepancy between the two. This
discrepancy arises because the quantity plotted in the figure is in fact the
average (|m|) of the magnitude of the magnetization, and not the average
magnetization itself; we discuss our reasons for doing this in Section 3.7.1
when we examine the spontaneous magnetization of the Ising model.
The figure clearly shows the benefits of the Monte Carlo method. The
calculation on the 5 x 5 system which we performed in Section 1.3 was ex-
act,whereas the Monte Carlo calculation on the 100 x 100 system is not.
However, the Monte Carlo calculation still gives a better estimate of the
magnetization of the infinite system. The errors due to statistical fluctua-
tions in our measurements of the magnetization are much smaller than the
inaccuracy of working with a tiny 5 x 5 system.
Using the energy measurements from our simulation, we have also calcu-
lated the specific heat for our Ising model from Equation (3.15). To calculate
3.7 An actual calculation 81

FIGURE 3.10 The specific heat per spin of the two-dimensional Ising
model calculated by Monte Carlo simulation (points with error bars)
and the exact solution for the same quantity (solid line). Note how
the error bars get bigger close to the peak in the specific heat. This
phenomenon is discussed in detail in the next section.

the errors on the resulting numbers we could use the blocking method of Sec-
tion 3.4.2 to get a rough estimate. Here we are interested in doing a more
accurate calculation, and for that we should use either the bootstrap or the
jackknife method (see Sections 3.4.3 and 3.4.4). The number of independent
samples n is for most temperatures considerably greater than 100, so by the
criterion given in Section 3.4.4, the bootstrap method is the more efficient
one to use. In Figure 3.10 we show our results for the specific heat with
error bars calculated from 200 bootstrap resamplings of the data (giving er-
rors accurate to about 5%). The agreement here with the known exact result
for the specific heat is excellent—better than for the magnetization—though
the errors are larger, especially in the region close to the peak. If we were
particularly interested to know the value of c in this region it would make
sense for us to go back and do a longer run of our program in this region to
get more accurate data. For example, if we wanted to calculate the entropy
difference from one side of the peak to the other using Equation (3.45), then
large error bars in this region would make the integral inaccurate and we
might well benefit from expending a little more effort in this region to get
more accurate results.
82 Chapter 3: The Ising model and the Metropolis algorithm

3.7.1 The phase transition

It is not really the intention of this book to discuss the properties of the Ising
model in detail, or the properties of any other model. However, there are a
few things about the Ising model which we need to look into in a little more
detail in order to understand the strengths and weaknesses of the Metropolis
algorithm, and to explain why other algorithms may be better for certain
calculations.
If we look at Figures 3.9 and 3.10, the most obvious feature that strikes
us is the behaviour of the model around temperature T = 2.2 or so. The
results shown in Figure 3.9 indicate that above this temperature the mean
magnetization per site m is quite small, whereas below it the magnetization
is definitely non-zero and for the most part quite close to its maximum
possible value of 1. This seems like a sensible way for the model to behave,
since we know (see Section 3.1.1) that the T = oo state is one in which all
the spins are randomly oriented up or down so that the net magnetization
will be zero on average, and we know that the T = 0 state is one in which
all the spins line up with one another, either all up or all down, so that the
magnetization per site is either +1 or —1. If we only had results for a small
Ising system to go by, like the ones depicted in Figure 3.7, we might imagine
that the true behaviour of the system was simply that the magnetization
rose smoothly from zero in the T —> oo limit to 1 as the temperature tends
to zero. However, our results for the larger 100 x 100 system indicate that
the transition from small m to large m becomes sharper as we go to larger
systems, and in fact we know in the case of this particular model, because
we have an exact solution, that the change from one regime to the other is
actually infinitely sharp in the thermodynamic limit. This kind of change
is called a phase transition. The Ising model is known to have a phase
transition in two or more dimensions. The two regimes we observe are called
the phases of the model. The phase transition between them takes place at
a temperature Tc, which we call the critical temperature, whose value in
the particular case of the two-dimensional Ising model is known to be

Above this temperature the system is in the paramagnetic phase, in which

the average magnetization is zero. Below it, the system is in the ferromag-
netic phase and develops a spontaneous magnetization (i.e., most of the
spins align one way or the other and the magnetization becomes non-zero all
of its own accord without the application of a magnetic field to the model).
This spontaneous magnetization rises from zero at the phase transition to
unity at absolute zero. The magnetization is referred to as the order pa-
rameter of the Ising model because of this behaviour. In general, an order
parameter is any quantity which is zero on one side of a phase transition and
3.7 An actual calculation 83

non-zero on the other. A phase transition in which the order parameter is

continuous at Tc, as it is here, is called a continuous phase transition.
In fact, to be strictly correct, the mean magnetization of the Ising model
below the critical temperature is still zero, since the system is equally happy
to have most of its spins pointing either down or up. Thus if we average over a
long period of time we will find that the magnetization is close to +1 half the
time and close to —1 for the other half, with occasional transitions between
the two, so that the average is still close to zero. However, the average
of the magnitude \m\ of the magnetization will be close to +1, whereas it
will be close to zero above the phase transition. In Figure 3.9 we therefore
actually plotted the average of |m|, and not m. This explains why the
magnetization above the transition temperature is still slightly greater than
zero. The average magnetization in this phase is definitely zero (give or
take the statistical error) but the average of the magnitude of m is always
greater than zero, since we are taking the average of a number which is never
negative. Still, as we go to the thermodynamic limit we expect this quantity
to tend to zero, so that the numerical result and the exact solution should
agree.16
We can look in detail at what happens to the spins in our Ising system as
we pass through the phase transition from high to low temperatures by ex-
amining pictures such as those in Figure 3.2. At high temperatures the spins
are random and uncorrelated, but as the temperature is lowered the interac-
tions between them encourage nearby spins to point in the same direction,
giving rise to correlations in the system. Groups of adjacent spins which are
correlated in this fashion and tend to point in the same direction are called
clusters.17 As we approach Tc, the typical size £ of these clusters—also
called the correlation length—diverges, so that when we are precisely at
the transition, we may encounter arbitrarily large areas in which the spins
are pointing mostly up or mostly down. Then, as we pass below the tran-
sition temperature, the system spontaneously chooses to have the majority
of its spins in either the up or the down direction, and develops a non-zero
magnetization in that direction. Which direction it chooses depends solely

16
This also provides an explanation of why the agreement between the analytic solution
and the Monte Carlo calculation was better for the specific heat, Figure 3.10, than it
was for the magnetization. The process of taking the mean of the magnitude |m| of
the magnetization means that we consistently overestimate the magnetization above the
critical temperature, and in fact this problem extends to temperatures a little below Tc
as well (see Figure 3.9). No such adjustments are necessary when calculating the specific
heat, and as a result our simulation agrees much better with the known values for c, even
though the error bars are larger in this case.
17
A number of different mathematical definitions of a cluster are possible. Some of
them require that all spins in the cluster point in the same direction whilst others are
less strict. We discuss these definitions in detail in the next chapter, particularly in
Sections 4.2 and 4.4.2.
84 Chapter 3: The Ising model and the Metropolis algorithm

on the random details of the thermal fluctuations it was going through as

we passed the critical temperature, and so is itself completely random. As
the temperature drops further towards T = 0, more and more of the spins
line up in the same direction, and eventually as T —> 0 we get |m| = 1.
The study of phase transitions is an entire subject in itself and we refer
the interested reader to other sources for more details of this interesting field.
For our purposes the brief summary given above will be enough.

3.7.2 Critical fluctuations and critical slowing down

We are interested in the behaviour of the Ising model in the region close
to Tc. This region is called the critical region, and the processes typical
of the critical region are called critical phenomena. As we mentioned,
the system tends to form into large clusters of predominantly up- or down-
pointing spins as we approach the critical temperature from above. These
clusters contribute significantly to both the magnetization and the energy of
the system, so that, as they flip from one orientation to another, they produce
large fluctuations in m and E, often called critical fluctuations. As the
typical size £ of the clusters diverges as T —> Tc, the size of the fluctuations
does too. And since fluctuations in m and E are related to the magnetic
susceptibility and the specific heat through Equations (3.15) and (3.16), we
expect to get divergences in these quantities at Tc also. This is what we see
in Figure 3.10. These divergences are some of the most interesting of critical
phenomena, and a lot of effort, particularly using Monte Carlo methods, has
been devoted to investigating their exact nature. Many Monte Carlo studies
of many different models have focused exclusively on the critical region to
the exclusion of all else. Unfortunately, it is in precisely this region that our
Metropolis algorithm is least accurate.
There are two reasons for this. The first has to do with the critical
fluctuations. The statistical errors in the measured values of quantities like
the magnetization and the internal energy are proportional to the size of
these critical fluctuations (see Section 3.4) and so grow as we approach Tc.
In a finite-sized system like the ones we study in our simulations, the size
of the fluctuations never actually diverges—that can only happen in the
thermodyriarnic limit—but they can become very large, and this makes for
large statistical errors in the measured quantities.
What can we do about this? Well, recall that the error on, for exam-
ple, the magnetization m indeed increases with the size of the magnetization
fluctuations, but it also decreases with the number of independent measure-
ments of m that we make during our simulation (see Equation (3.37)). Thus,
in order to reduce the error bars on measurements close to Tc, we need to run
our program for longer, so that we get a larger number of measurements.
This however, is where the other problem with the Metropolis algorithm
3.7 An actual calculation 85

comes in. As we saw in Figure 3.8, the correlation time r of the simulation
is also large in the region around Tc. In fact, like the susceptibility and the
specific heat, the correlation time actually diverges at Tc in the thermody-
namic limit. For the finite-sized systems of our Monte Carlo simulations T
does not diverge, but it can still become very large in the critical region,
and a large correlation time means that the number of independent mea-
surements we can extract from a simulation of a certain length is small (see
Equation (3.19)). This effect on its own would increase the size of the errors
on measurements from our simulation, even without the large critical fluctu-
ations. The combination of both effects is particularly unfortunate, because
it means that in order to increase the number of independent measurements
we make during our simulation, we have to perform a much longer run of
the program; the computer time necessary to reduce the error bars to a size
comparable with those away from Tc increases very rapidly as we approach
the phase transition.
The critical fluctuations which increase the size of our error bars are
an innate physical feature of the Ising model. Any Monte Carlo algorithm
which correctly samples the Boltzmann distribution will also give critical
fluctuations. There is nothing we can do to change our algorithm which will
reduce this source of error. However, the same is not true of the increase in
correlation time. This effect, known as critical slowing down, is a property
of the Monte Carlo algorithm we have used to perform the simulation, but
not of the Ising model in general. Different algorithms can have different
values of the correlation time at any given temperature, and the degree to
which the correlation time grows as we approach Tc, if it grows at all, depends
on the precise details of the algorithm. Therefore, if we are particularly
interested in the behaviour of a model in the critical region, it may be possible
to construct an algorithm which suffers less from critical slowing down than
does the Metropolis algorithm, or even eliminates it completely, allowing us
to achieve much greater accuracy for our measurements. In the next chapter
we look at a number of other algorithms which do just this and which allow
us to study the critical region of the Ising model more accurately.

Problems

3.1 Derive the appropriate generalization of Equation (3.10) for a simulation

of an Ising model with non-zero external magnetic field B.

3.2 Suppose we have a set of n measurements X1 ... xn of a real quantity

x. Find an approximate expression for the error on our best estimate of the
mean of their squares. Take the numbers below and estimate this error.
86 Chapter 3: The Ising model and the Metropolis algorithm

20.27 19.61 20.06 20.73

20.09 20.68 19.37 20.40
19.95 20.55 19.64 19.94
Now estimate the same quantity for the same set of numbers using the
jackknife method of Section 3.4.4.
3.3 In this chapter we described methods for calculating a variety of quan-
tities from Monte Carlo data, including internal energies, specific heats and
entropies. Suggest a way in which we might measure the partition function
using data from a Monte Carlo simulation.
3.4 Write a computer program to carry out a Metropolis Monte Carlo sim-
ulation of the one-dimensional Ising model in zero field. Use it to calculate
the internal energy of the model for a variety of temperatures and check the
results against the analytic solution from Problem 1.4.
4

Other algorithms for the Ising

model

In the last chapter we saw that the Metropolis algorithm with single-spin-
flip dynamics is an excellent Monte Carlo algorithm for simulating the Ising
model when we are interested in temperatures well away from the critical
temperature Tc. However, as we approach the critical temperature, the
combination of large critical fluctuations and long correlation time makes
the errors on measured quantities grow enormously. As we pointed out,
there is little to be done about the critical fluctuations, since these are an
intrinsic property of the model near its phase transition (and are, what's
more, precisely the kind of interesting physical effect that we want to study
with our simulations). On the other hand, the increase in the correlation
time close to the phase transition is a function of the particular algorithm
we are using—the Metropolis algorithm in this case—and it turns out that
by using different algorithms we can greatly reduce this undesirable effect.
In the first part of this chapter we will study one of the most widely used
and successful such algorithms, the Wolff algorithm. Before introducing the
algorithm however, we need to define a few terms.

4.1 Critical exponents and their measurement

As discussed in Section 3.7.1, the spins of an Ising model in equilibrium group
themselves into clusters of a typical size £, called the correlation length,
and this correlation length diverges as the temperature approaches Tc. Let
us define a dimensionless parameter t, called the reduced temperature,
which measures how far away we are from Tc:
88 Chapter 4: Other algorithms for the Ising model

When t = 0, we are at the critical temperature. The divergence of the

correlation length near the phase transition then goes like

The positive quantity v is called a critical exponent. We take the absolute

value \t\ of the reduced temperature so that the same expression can be used
for temperatures both above and below Tc.1
It is not obvious that the divergence of £ has to take the form of Equa-
tion (4.2), and indeed for some models it does not; there are models in which
the correlation length diverges in other ways near Tc—logarithmically, for
instance, or exponentially. However, it turns out that Equation (4.2) is the
correct form for the Ising model which we are studying here. And what's
more, it is believed that the value of the critical exponent v is a property
of the Ising model itself, and is independent of such things as the value of
the coupling ,7, or the type of lattice we are studying the model on (square
or triangular for example). This property is known as universality and is
one of the most important results to come out of the study of the renor-
malization group, though to prove it would take us a long way off our path
here. In Monte Carlo calculations the value of v is also independent of the
algorithm we use to perform the simulation. (The value of v does depend
on the dimensionality of the lattice we are using. Ising models in two and
three dimensions, for example, have different values for v.)
As we also discussed at the end of the last chapter, there are, along with
the divergence of the correlation length, accompanying divergences of the
magnetic susceptibility and the specific heat. Two other universal critical
exponents govern these divergences:

To describe the divergence of the correlation time r we define a slightly

different sort of exponent, which we denote z:

where T is measured in Monte Carlo steps per lattice site. The exponent z
is often called the dynamic exponent. (It should not be confused with the
lattice coordination number introduced in the last chapter, which was also
1
We could have different values for v above and below the transition temperature, but
as it turns out we don't. Although it is beyond the scope of this book, it is relatively
straightforward to show using renormalization group arguments that this and the other
critical exponents defined here must take the same values above and below Tc (see Bin-
ney et al. 1992). Note however that the constant of proportionality in Equation (4.2) need
not be the same above and below the transition.
4.1 Critical exponents and their measurement 89

denoted z.) Its definition differs from that of the other exponents by the
inclusion of the V, which is the same v as appeared in Equation (4.2); the
exponent is really zv, and not just z. We're not quite sure why it is defined
this way, but it's the way everyone does it, so we just have to get used to it.
It is convenient in one respect, as we will see in a moment, because of the
way in which z is measured.
The dynamic exponent gives us a way to quantify the critical slowing
down effect. As we mentioned, the amount of critical slowing down we
see in our simulations depends on what algorithm we use. This gives rise to
different values of z for different algorithms—z is not a universal exponent in
the way that v, a and 7 are.2 A large value of z means that T becomes large
very quickly as we approach the phase transition, making our simulation
much slower and hence less accurate. A small value of z implies relatively
little critical slowing down and a faster algorithm near Tc. If z = 0, then
there is no critical slowing down at all, and the algorithm can be used right
up to the critical temperature without T becoming large.3
The measurement of critical exponents is far from being a trivial exercise.
Quite a lot of effort has in fact been devoted to their measurement, since
their values have intrinsic interest to those concerned with the physics of
phase transitions. At present we are interested in the value of the dynamic
exponent z primarily as a measure of the critical slowing down in our algo-
rithms. In Chapter 8 we will discuss in some detail the techniques which
have been developed for measuring critical exponents, but for the moment
we will just run briefly though one simple technique—a type of "finite size
scaling"—to give an idea of how we gauge the efficiency of these algorithms.
Combining Equations (4.2) and (4.5), we can write

This equation tells us how the correlation time gets longer as the correlation
length diverges near the critical point. However, in a system of finite size,
which includes all the systems in our Monte Carlo simulations, the corre-
lation length can never really diverge. Recall that the correlation length is
the typical dimension of the clusters of correlated spins in the system. Once
this size reaches the dimension, call it L, of the system being simulated it
can get no bigger. A volume of Ld, where d is the dimensionality of our
system, is the largest cluster of spins we can have. This means that in fact
2
The exponent z is still independent of the shape of the lattice, the spin-spin interaction
J and so forth. Only changes in the dynamics affect its value. (Hence the name "dynamic
exponent".)
3
In fact, it is conventional to denote a logarithmic divergence T ~ — log \t\ of the
correlation time by z = 0, so a zero dynamic exponent does not necessarily mean that
there is no critical slowing down. However, a logarithmic divergence is far less severe than
a power-law one, so z = 0 is still a good thing.
90 Chapter 4: Other algorithms for the Ising model

FIGUR.E 4.1 Schematic depiction of the cutoff in the divergence of the

correlation length £ near the critical temperature for a system of finite
size. The solid line indicates the way £ would diverge in an infinite
system and the dashed one shows how it would be cut off around
£ = L for a finite system of finite dimension L.

the divergence of the correlation length, and as a result that of the correla-
tion time, is "cut off" in the region for which £ > L. This effect is pictured
schematically in Figure 4.1. Thus, for all temperatures sufficiently close to
the critical one, and particularly when we are at the critical temperature,
Equation (4.6) becomes

Now suppose we know what the critical temperature Tc of our model is,
perhaps because, as in the 2D Ising model, an exact solution is available.
(More generally, we don't know the critical temperature with any accuracy,
in which case this method won't work, and we have to resort to some of the
more sophisticated ones described in Chapter 8.) In that case, we can use
Equation (4.7) to measure z. We simply perform a sequence of simulations
at T = Tc for systems of a variety of different sizes L, and then plot r
against L on logarithmic scales. The slope of the resulting plot should be the
exponent z. We have done exactly this in Figure 4.2 for the 2D Ising model
simulated using the Metropolis algorithm. The line is the best fit through
the points, given the errors, and its slope gives us a figure of z = 2.09 ± 0.06
for the dynamic exponent. This calculation was rather a rough one, done
on one of the authors' home computers. Much more thorough Monte Carlo
calculations of z have been performed using this and a number of other
methods by a variety of people. At the time of the writing of this book the
4.2 The Wolff algorithm 91

FIGURE 4.2 The correlation time T for the 2D Ising model simulated
using the Metropolis algorithm. The measurements were made at the
critical temperature Tc — 2.269J for systems of a variety of different
sizes L x L, and then plotted on logarithmic scales against L. The
slope z = 2.09 ± 0.06 is an estimate of the dynamic exponent.

best figure available for this exponent was z = 2.1665 ± 0.0012, obtained by
Nightingale and Blote (1996).
The value z — 2.17 is a fairly high one amongst Monte Carlo algorithms
for the 2D Ising model, and indicates that the Metropolis algorithm is by no
means the best algorithm for investigating the behaviour of the model near
its phase transition. In the next section we will introduce a new algorithm
which has a much lower dynamic exponent, albeit at the expense of some
increase in complexity.

4.2 The Wolff algorithm

In the previous section we saw that the dynamic exponent z of the two-
dimensional Ising model simulated using the Metropolis algorithm has a
value around 2. Equation (4.7) shows us that when we are at the critical
temperature, the correlation time increases with system size as Lz. The
CPU time taken to perform a certain number of Monte Carlo steps per site
increases like the number of sites, or in other words as Ld, where d is the
dimensionality of the lattice. Thus the CPU time TCPU taken to simulate
one correlation time increases with system size as
92 Chapter 4: Other algorithms for the Ising model

which for the 2D Ising model is about L4. This makes measurements on
large systems extremely difficult in the critical region. (The simulations
which went into Figure 4.2, for instance, took more than two weeks of CPU
time, with the largest system size (L = 100) requiring 150 billion Monte
Carlo steps to get a reasonably accurate value of T.)
The fundamental reason for the large value of z in the Metropolis algo-
rithm is the divergence of the correlation length and the critical fluctuations
present near the phase transition. When the correlation length becomes
large close to Tc, large regions form in which all the spins are pointing in the
same direction. These regions are often called domains.4 It is quite difficult
for the algorithm to flip over one of these large domains because it has to do
it spin by spin, and each move has quite a high probability of being rejected
because of the ferromagnetic interactions between neighbouring spins. The
chances of flipping over a spin in the middle of a domain are particularly
low, because it is surrounded by four others pointing in the same direction.
In two dimensions, flipping such a spin costs us 8J in energy and, using the
value of Tc ~ 2.269J given in Equation (3.53), the probability of accepting
such a move, when we are close to the critical temperature, is

or about three per cent, regardless of the value of J. The chance of flipping
a spin on the edge of a domain is higher because it has a lower energy cost,
and in fact it turns out that this process is the dominant one when it comes
to flipping over entire domains. It can be very slow however, especially with
the big domains that form near the critical temperature.
A solution to these problems was proposed in 1989 by Ulli Wolff, based on
previous work by Swendsen and Wang (1987). The algorithm he suggested
is now known as the Wolff algorithm. The basic idea is to look for clusters
of similarly oriented spins and then flip them in their entirety all in one go,
rather than trying to turn them over spin by painful spin. Algorithms of
this type are referred to as cluster-flipping algorithms, or sometimes just
cluster algorithms, and in recent years they have become popular for all
sorts of problems, since it turns out that, at least in the case of the Ising
model, they almost entirely remove the problem of critical slowing down.
How then do we go about finding these clusters of spins which we are
going to flip? The simplest strategy which suggests itself, and the one which
the Wolff algorithm uses, is just to pick a spin at random from the lattice
and then look at its neighbours to see if any of them are pointing in the same
4
Note that these domains are not quite the same thing as the clusters discussed in
Section 3.7.1. By convention, the word "domain" refers to a group of adjacent spins
which are pointing in the same direction, whereas the word "cluster" refers to a group of
spins whose values are correlated with one another. We will shortly give a more precise
definition of a cluster.
4.2 The Wolff algorithm 93

FIGURE 4.3 Flipping a cluster in a simulation of the 2D Ising model.

The solid and open circles represent the up- and down-spins in the
model.

direction. Then we can look at the neighbours of those neighbours, and so

on, iteratively, until we have built up an entire cluster of spins. Clearly,
however, we don't just want to flip over all of the spins which are pointing in
the same direction as our first "seed" spin. How many we flip should depend
on the temperature. We know for example that at high temperatures in
the Ising model the spins tend to be uncorrelated with their neighbours,
implying that they flip over singly, or in very small clusters. As we approach
Tc, we know that the sizes of the clusters become much larger, and then, as
we pass below Tc, ferromagnetism sets in, and most of the spins line up in
the same direction, forming one big cluster that spans the entire lattice. In
other words, the size of the clusters we flip should increase with decreasing
temperature. We can achieve this if we build our clusters up from a seed, as
described above, but we don't add every similarly oriented neighbour of the
seed spin to the cluster. Instead, we have some probability Padd of adding a
spin, which goes up as the temperature falls. Then we look at the neighbours
of the spins we have added to the cluster, and add them with probability
Padd, and so forth. Then, when we finally run out of similarly oriented spins
to add to the cluster, we stop and flip the cluster over with some acceptance
ratio which depends on the energy cost of flipping it. The question then
is, given a particular choice of Padd, what is the correct acceptance ratio to
make the algorithm satisfy detailed balance, and what is the best choice of
to make the average acceptance ratio as close to 1 as possible?

4.2.1 Acceptance ratio for a cluster algorithm

Let us work out what the acceptance ratio should be for this cluster-flipping
algorithm so that detailed balance is obeyed. Consider two states of the
system, u and v, illustrated in Figure 4.3. They differ from one another by
94 Chapter 4: Other algorithms for the Ising model

the flipping of a single cluster of similarly oriented spins. The crucial thing
to notice is the way the spins are oriented around the edge of the cluster
(which is indicated by the line in the figure). Notice that in each of the two
states, some of the spins just outside the cluster are pointing the same way
as the spins in the cluster. The bonds between these spins and the ones in
the cluster have to be "broken" when the cluster is flipped. Inevitably, the
bonds which are not broken in going from u to v must be broken if we flip
back again from v to u.
Consider now a move which will take us from u to v. There are in fact
many such moves—we could choose any of the spins in the cluster as our
seed spin, and then we could add the rest of the spins to it in a variety of
orders. For the moment, however, let us just consider one particular move,
starting with a particular seed spin and then adding the others to it in a
particular order. Consider also the reverse move, which takes us back to u
from v, starting with exactly the same seed spin, and adding the others to it
in exactly the same way as in the forward move. The probability of choosing
the seed is exactly the same in the two directions, as is the probability of
adding each spin to the cluster. The only thing that changes between the
two is the probability of "breaking" bonds around the edge of the cluster,
because the bonds which have to be broken are different in the two cases.
Suppose that, for the forward move, there are m bonds which have to be
broken in order to flip the cluster. These broken bonds represent pairs of
similarly oriented spins which were not added to the cluster by the algorithm.
The probability of not adding such a spin is 1 — Padd. Thus the probability
of not adding all of them, which is proportional to the selection probability
g(u —> v) for the forward move, is (1 — P add ) m - If there are n bonds which
need to be broken in the reverse move then the probability of doing it will
be (1 - Padd)n- The condition of detailed balance, Equation (2.14), along
with Equation (2.17), then tells us that

where A(U —> v) and A(y —> u) are the acceptance ratios for the moves in
the two directions. The change in energy Ev — Eu between the two states
also depends on the bonds which are broken. For each of the m bonds which
are broken in going from u to v, the energy changes by +2J. For each of
the n bonds which are made, the energy changes by — 2J. Thus

Substituting into Equation (4.10) and rearranging we derive the following

condition on the acceptance ratios:
4.2 The Wolff algorithm 95

But now we notice a delightful fact. If we choose

then the right-hand side of Equation (4.12) is just 1, independent of any

properties of the states u and v, or the temperature, or anything else at
all. With this choice, we can make the acceptance ratios for both forward
and backward moves unity, which is the best possible value they could take.
Every move we propose is accepted and the algorithm still satisfies detailed
balance. The choice (4.13) defines the Wolff cluster algorithm for the Ising
model, whose precise statement goes like this:
1. Choose a seed spin at random from the lattice.
2. Look in turn at each of the neighbours of that spin. If they are pointing
in the same direction as the seed spin, add them to the cluster with
probability Padd = 1 - e 2 B J .
3. For each spin that was added in the last step, examine each of its
neighbours to find the ones which are pointing in the same direction
and add each of them to the cluster with the same probability Padd-
(Notice that as the cluster becomes larger we may find that some of
the neighbours are already members, in which case obviously we don't
have to consider adding them again. Also, some of the spins may have
been considered for addition before, as neighbours of other spins in the
cluster, but rejected. In this case, they get another chance to be added
to the cluster on this step.) This step is repeated as many times as
necessary until there are no spins left in the cluster whose neighbours
have not been considered for inclusion in the cluster.
4. Flip the cluster.
The implementation of this algorithm in an actual computer program is
discussed in detail in Section 13.2.5.
As well as satisfying detailed balance, this algorithm clearly also satisfies
the criterion of ergodicity (see Section 2.2.2). To see this, we need only
note that there is a finite chance at any move that any spin will be chosen
as the sole member of a cluster of one, which is then flipped. Clearly the
appropriate succession of such moves will get us from any state to any other
in a finite time, as ergodicity requires. Along with the condition of detailed
balance, this then guarantees that our algorithm will generate a series of
states of the lattice which (after equilibration) will appear with their correct
Boltzmann probabilities.
Notice that the probability Padd, Equation (4.13), does indeed increase
with decreasing temperature, from zero at T = oo to one at T = 0, just
as we said it should, so that the sizes of the clusters we grow will increase
96 Chapter 1: Other algorithms for the Ising model

FIGURE l.l Consecutivc states of a 100 x 100 Using model in equilibrium

simulatedsing the Wolff algorithm. The top row of four states
are at a temperature, T = 2.8J, which is well above the critical temperature
the middle row is close to the critical temperature at. T = 2.3J,
and UK: bottom row is well below the critical temperature at T - SJ.

as the temperature gets lower. The flipping of these clusters is a. much less
laborious task than in the case of the Metropolis: algorithm—as we shall see
it. takes a time proportional to the size of the cluster to grow it and then
t u r n it. over so we have every hope that, the algorithm will have a lower
dynamic exponent and less critical slowing down. In Section 4,3.1 we show-
that this is indeed the ease. First wo look in a little more detail at, the way
the Wolff algorithm works.

4.3 Properties of the Wolff algorithm

In this section we look at how the Wolff algorithm actually performs in prac-
tice. As we will see, it performs extremely well when we are near the critical
temperature, but is actually a little slower than the Metropolis algorithm at
very high or low temperatures.
Figure 4.4 shows a series of states generated by the algorithm at each of
three temperatures, one above Tc one close to Tc, and one below it, Up-
aml down-spins are represented by block and white dots. Consider first the
middle set of states, the ones near Tt. If you examine the four frames, it
4.3 Properties of the Wolff algorithm 97

FIGURE 4.5 The average cluster size in the Wolff algorithm as a frac-
tion of the size of the lattice measured as function of temperature.
The error bars on the measurements are not shown, because they are
smaller than the points. The lines are just a guide to the eye.

is not difficult to make out which cluster flipped at each step. Clearly the
algorithm is doing its job, flipping large areas of spins when we are in the
critical region. In the T > Tc case, it is much harder to make out the
changes between one frame and the next. The reason for this is that in this
temperature region Padd is quite small (see Equation (4.13)) and this in turn
makes the clusters small, so it is hard to see when they flip over. Of course,
this is exactly what the algorithm is supposed to do, since the correlation
length here is small, and we don't expect to get large regions of spins flipping
over together. In Figure 4.5, we have plotted the mean size of the clusters
flipped by the Wolff algorithm over a range of temperatures, and, as we can
see, they do indeed become small at large temperatures.
When the temperature gets sufficiently high (around T = 10J), the mean
size of the clusters becomes hardly greater than one. In other words, the
single seed spin for each cluster is being flipped over with probability one at
each step, but none of its neighbours are. This is exactly what the Metropo-
lis algorithm does in this temperature regime also. When T is large, the
Metropolis acceptance ratio, Equation (3.7), is 1, or very close to it, for any
transition between two states u and v. Thus in the limit of high tempera-
tures, the Wolff algorithm and the Metropolis algorithm become the same
thing. But notice that the Wolff algorithm will actually be the slower of the
two in this case, because for each seed spin it has to go through the business
of testing each of the neighbours for possible inclusion in the cluster, whereas
98 Chapter 4: Other algorithms for the Ising model

the Metropolis algorithm only has to decide whether to flip a single spin or
not, a comparatively simple computational task. (To convince yourself of
this, compare the programs for the two algorithms given in Appendix B.
The Wolff algorithm is longer and more complex and will take more com-
puter time per step than the Metropolis algorithm, even for a cluster with
only one spin.) Thus, even if the Wolff algorithm is a good thing near the
phase transition (and we will show that it is), there comes a point as the
temperature increases where the Metropolis algorithm becomes better.
Now let us turn to the simulation at low temperature, the bottom row
in Figure 4.4. The action of the algorithm is dramatically obvious in this
case—almost every spin on the lattice is being flipped at each step. The
reason for this is clear. When we are well below the critical temperature the
Ising model develops a finite magnetization in one direction or the other, and
the majority of the spins on the lattice line up in this direction, forming a
"backbone" of similarly oriented spins which spans the entire lattice. When
we choose our seed spin for the Wolff algorithm, it is likely that we will land
on one of the spins comprising this backbone. Furthermore, theprobability
Padd, Equation (4.13), is large when T is small, so the neighbours of the seed
spin are not only very likely to be aligned with it, but are also very likely to be
added to the growing cluster. The result is that the cluster grows (usually)
to fill almost the entire backbone of spontaneously magnetized spins, and
then they are all flipped over in one step. Such a lattice-filling cluster is said
to be a percolating cluster.
On the face of it, this seems like a very inefficient way to generate states
for the Ising model. After all, we know that what should really be happening
in the Ising model at low temperature is that most of the spins should be lined
up with one another, except for a few "excitation" spins, which are pointing
the other way (see the Figure 4.4). Every so often, one of these excitation
spins flips back over to join the majority pointing the other way, or perhaps
one of the backbone spins gets flipped by a particularly enthusiastic thermal
excitation and becomes a new excitation spin. This of course is exactly
what the Metropolis algorithm does in this regime. The Wolff algorithm
on the other hand is removing the single-spin excitations by the seemingly
extravagant measure of Hipping all the other spins on the entire lattice to
point the same way as the single lonely excitation. It's like working out
which string of your guitar is out of tune and then tuning the other five to
that one. In fact, however, it's actually not such a stupid thing to do. First,
let us point out that, since the Wolff algorithm never flips spins which are
pointing in the opposite direction to the seed spin, all the excitation spins
on the entire lattice end up pointing the same way as the backbone when
the algorithm flips over a percolating cluster. Therefore, the Wolff algorithm
gets rid of all the excitation spins on the lattice in a single step. Second,
since we know that the Wolff algorithm generates states with the correct
4.3 Properties of the Wolff algorithm 99

Boltzmann probabilities, it must presumably create some new excitation

spins at the same time as it gets rid of the old ones. And indeed it does do
this, as is clear from the frames in the figure. Each spin in the backbone
gets a number of different chances to be added to the cluster; for most of the
spins this number is just the lattice coordination number z, which is four in
the case of the square lattice. Thus the chance that a spin will not be added
to the cluster is (1 — -Padd)4. This is a small number, but still non-zero. (It is
0.012 at the temperature T = 1.8J used in the figure.) Thus there will be a
small number of spins in the backbone which get left out of the percolating
cluster and are not flipped along with the others. These spins become the
new excitations on the lattice.
The net result of all this is that after only one Wolff Monte Carlo step,
all the old excitations have vanished and a new set have appeared. This
behaviour is clear in Figure 4.4. At low temperatures, the Wolff algorithm
generates a complete new configuration of the model at every Monte Carlo
step, though the payoff is that it has to flip very nearly every spin on every
step. In the Metropolis algorithm at low temperatures it turns out that you
have to do about one Monte Carlo step per site (each one possibly flipping
one spin) to generate a new independent configuration of the lattice. To
see this, we need only consider again the excitation spins. The average
acceptance ratio for flipping these over will be close to 1 in the Metropolis
algorithm, because the energy of the system is usually lowered by flipping
them. (Only on the rare occasions when several of them happen to be close
together might this not be true.) Thus, it will on average take N steps, where
N is the number of sites on the lattice, before we choose any particular such
spin and flip it—in other words, one Monte Carlo step per site. But we
know that the algorithm correctly generates states with their Boltzmann
probability, so, in the same N steps that it takes to find all the excitation
spins and flip them over to join the backbone, the algorithm must also choose
a roughly equal number of new spins to excite out of the backbone, just as
the Wolff algorithm also did. Thus, it takes one sweep of the lattice to
replace all the excitation spins with a new set, generating an independent
state of the lattice. (This is in fact the best possible performance that any
Monte Carlo algorithm can have, since one has to allow at least one sweep of
the lattice to generate a new configuration, so that each spin gets the chance
to change its value.)
Once more then, we find that the Wolff algorithm and the Metropolis
algorithm are roughly comparable, this time at low temperatures. Both need
to consider about N spins for flipping in order to generate an independent
state of the lattice. Again, however, the additional complexity of the Wolff
algorithm is its downfall, and the Metropolis algorithm has a slight edge in
speed in this regime because of its extreme simplicity.
So, if the Metropolis algorithm beats the Wolff algorithm (albeit only
100 Chapter 4: Other algorithms for the Ising model

by a slim margin) at both high and low temperatures, that leaves only the
intermediate regime close to Tc in which the Wolff algorithm might be worth-
while. This of course is the regime in which we designed the algorithm to
work well, so we have every hope that it will beat the Metropolis algorithm
there, and indeed it does, very handily, as we can show by comparing the
correlation times of the two algorithms.

4.3.1 The correlation time and the dynamic exponent

Before we measure the correlation time of the Wolff algorithm, we need to
consider exactly how it should be denned. If we are going to compare the
correlation times of the Wolff algorithm and the Metropolis algorithm near to
the phase transition as a way of deciding which is the better algorithm in this
region, it clearly would not be fair to measure it for both algorithms in terms
of number of Monte Carlo steps (or steps per lattice site). A single Monte
Carlo step in the Wolff algorithm is a very complicated procedure, flipping
maybe hundreds of spins and potentially taking quite a lot of CPU time,
whereas the Metropolis Monte Carlo step is a very simple, quick thing—we
can do a million of them in a second on a good computer, though each one
only flips at most one spin.
The time taken to complete one step of the Wolff algorithm is propor-
tional to the number of spins n in the cluster.5 Such a cluster covers a
fraction n/Ld of the entire lattice, and thus it will on average take (n)/L d
steps to flip each spin once, where (n) is the mean cluster size in equilibrium.
This is equivalent to one sweep of the lattice in the Metropolis algorithm, so
the correct way to define the correlation time is to write T oc T s t e p s ( n ) / L d ,
where rsteps is the correlation time measured in steps (i.e., clusters flipped)
in the Wolff algorithm. The conventional choice for the constant of propor-
tionality is 1. This makes the correlation times for the Wolff and Metropolis
algorithms equal in the limits of low and high temperature, for the reasons
discussed in the last section. This is not quite fair, since, as we also pointed
out in the last section, the Metropolis algorithm is slightly faster in these
regimes because it is simpler and each step doesn't demand so much of the
computer. However, this difference is slight compared with the enormous
difference in performance between the two algorithms near the phase transi-
tion which we will witness in a moment, so for all practical purposes we can
write

5
This is fairly easy to see: for each spin we have to look at its neighbours to see if they
should be included in the cluster, and then when the cluster is complete we have to flip
all the spins. Since the same operations are performed for each spin in the cluster, the
time taken to do one Monte Carlo step should scale with cluster size.
4.3 Properties of the Wolff algorithm 101

FIGURE 4.6 The correlation time T for the 2D Ising model simulated
using the Wolff algorithm. The measurements deviate from a straight
line for small system sizes L, but a fit to the larger sizes, indicated by
the dashed line, gives a reasonable figure of z = 0.25 ± 0.02 for the
dynamic exponent of the algorithm.

Using this definition, we can compare the performance of the two algorithms
in the region close to the critical temperature, and we find that the Wolff
algorithm does indeed dramatically outperform the Metropolis algorithm.
For instance, in a 100 x 100 two-dimensional system right at the critical
temperature, we measure the correlation time of the Wolff algorithm to be
T = 2.80 ± 0.03 spin-flips per site. The Metropolis algorithm by contrast has
T = 2570 ± 330. A factor of a thousand certainly outweighs any difference
in the relative complexity of the two algorithms. It is this impressive per-
formance on the part of the Wolff algorithm which makes it a worthwhile
algorithm to use if we want to study the behaviour of the model close to Tc.
In Figure 4.6 we have plotted on logarithmic scales the correlation time
of the Wolff algorithm for the two-dimensional Ising model at the critical
temperature, over a range of different system sizes, just as we did for the
Metropolis algorithm in Figure 4.2. Again, the slope of the line gives us an
estimate of the dynamic exponent. Our best fit, given the errors on the data
points, is z = 0.25 ± 0.02. Again, this was something of a rough calculation,
although our result is competitive with other more thorough ones. The
best available figure at the time of writing was that of Coddington and
Baillie (1992) who measured z = 0.25 ± 0.01. This figure is clearly much lower
than the z = 2.17 of the Metropolis algorithm, and gives us a quantitative
measure of how much better the Wolff algorithm really is.
102 Chapter 4: Other algorithms for the Ising model

4.3.2 The dynamic exponent and the susceptibility

In most studies of the Wolff algorithm for the Ising model one does not
actually make use of Equation (4,14) to calculate T. If we measure time
in Monte Carlo steps (that is, simple cluster flips), we can define a corre-
sponding dynamic exponent zsteps in terms of the correlation time Tsteps of
Equation (4.14) thus:

We can measure this exponent in exactly the same way as we did before,
and it turns out that it is related to the real dynamic exponent z for the
algorithm by

where 7 and v are the critical exponents governing the divergences of the
magnetic susceptibility and the correlation length (see Equations (4.2) and
(4.3)) and d is the dimensionality of the model (which is 2 in the cases we
have been looking at). If we know the values of v and 7, as we do in the
case of the 2D Ising model, then we can use Equation (4.16) to calculate
z without ever having to measure the mean cluster size in the algorithm,
which eliminates one source of error in the measurement, thereby making
the value of z more accurate.6
The first step in demonstrating Equation (4.16) is to prove another useful
result, about the magnetic susceptibility X. It turns out that, for tempera-
tures T > Tc, the susceptibility is related to the mean size (n) of the clusters
flipped by the Wolff algorithm thus:

In many simulations of the Ising model using the Wolff algorithm, the sus-
ceptibility is measured using the mean cluster size in this way.
The demonstration of Equation (4.17) goes like this. Instead of carrying
out the Wolff algorithm in the way described in this chapter, imagine instead
doing it a slightly different way. Imagine that at each step we look at the
whole lattice and for every pair of neighbouring spins which are pointing
in the same direction, we make a "link" between them with probability
•Padd = 1 - e-2BJ. When we are done, we will have divided the whole
lattice into many different clusters of spins, as shown in Figure 4.7, each of
which will be a correct Wolff cluster (since we have used the correct Wolff
probability Padd to make the links). Now we choose a single seed spin from
the lattice at random, and flip the cluster to which it belongs. Then we
throw away all the links we have made and start again. The only difference
6
In cases such as the 3D Ising model, for which we don't know the exact values of the
critical exponents, it may still be better to make use of Equation (4.14) and measure z
directly, as we did in Figure 4.6.
4.3 Properties of the Wolff algorithm 103

FIGURE 4.7 The whole lattice

can be divided into clusters simply
by putting "links" down with
probability Padd between any two
neighbouring spins which are
pointing in the same direction.

between this algorithm and the Wolff algorithm as we described it is that

here we make the clusters first and then choose the seed spin afterwards,
rather than the other way around. This would not be a very efficient way
of implementing the Wolff algorithm, since it requires us to create clusters
all over the lattice, almost all of which never get flipped, but it is a useful
device for proving Equation (4.17). Why? Well, we can write the total
magnetization M of the lattice in a particular state as a sum over all the
clusters on the lattice thus:

Here i labels the different clusters, ni is their size (a positive integer), and
Si = ±1 depending on whether the ith cluster is pointing up or down, thereby
making either a positive or negative contribution to M. In order to calculate
the mean square magnetization we now take the square of this expression
and average it over a large number of spin configurations:

Now, since the two values ±1 which the variables Si can take are equally
likely on average, the first term in this expression is an average over a large
number of quantities which are randomly either positive or negative and
which will therefore tend to average out to zero. The second term on the
other hand is an average over only positive quantities since S2 i = +1 for all
104 Chapter 4: Other algorithms for the Ising model

i. This term therefore is definitely not zero7 and

And for the magnetization per spin we have

Now consider the average (n) of the size of the clusters which get flipped
in the Wolff algorithm. This is not quite the same thing as the average
size of the clusters over the entire lattice, because when we choose our seed
spin for the Wolff algorithm it is chosen at random from the entire lattice,
which means that the probability pi of it falling in a particular cluster i is
proportional to the size of that cluster:

The average cluster size in the Wolff algorithm is then given by the average
of the probability of a cluster being chosen times the size of that cluster:

Now if we employ Equation (1.36), and recall that (m) = 0 for T > Tc, we
get

as promised. Thus, we can measure the magnetic susceptibility of the Ising

model simply by counting the spins in our Wolff clusters and taking the
average.8
The reason this result does not extend below the critical temperature
is that for T < Tc the average magnetization (m) is non-zero and must
be included in Equation (1.36), but there is no simple expression for (m)
in terms of the sizes of the clusters flipped. For T > Tc however, we can
use (4.24) to rewrite Equation (4.14) thus:

7
Strictly, the second term scales like the number of spin configurations in the average
and the first scales like its square root, so the second term dominates for a large number
of configurations.
8
In fact, measuring the susceptibility in this way is not only simpler than a direct
measurement, it is also superior, giving, as it turns out, smaller statistical errors. For this
reason the expression (4.24) is sometimes referred to as an improved estimator for the
susceptibility (Sweeny 1983, Wolff 1989).
4.3 Properties of the Wolff algorithm 105

FIGURE 4.8 The correlation time Tsteps of the 2D Ising model sim-
ulated using the Wolff algorithm, measured in units of Monte Carlo
steps (i.e., cluster flips). The fit gives us a value of zsteps = 0.50 ±0.01
for the corresponding dynamic exponent.

Now if we use Equations (4.2), (4.3), (4.6) and (4.15), this implies that
slightly above Tc we must have

Then, as we did in Section 4.1, we note that, close to Tc, the correlation
length is just equal to the dimension L of the system, so we replace £ every-
where by L, and we get

which then implies that

as we suggested earlier on.

In Figure 4.8 we have replotted the results from our Wolff algorithm
simulations of the 2D Ising model using the correlation time measured in
Monte Carlo steps (i.e., cluster flips). The best fit to the data gives a figure
of zsteps = 0.50 ± 0.01. Using the accepted values v = 1 and y =7/4for the
2D Ising model (Onsager 1944), and setting d = 2, Equation (4.28) then
gives us z = 0.25 ± 0.01, which is as good as the best published result for
this exponent.
106 Chapter 4: Other algorithms for the Ising model

4.4 Further algorithms for the Ising model

We have looked at two algorithms for simulating the Ising model—the Metro-
polis algorithm and the Wolff algorithm—and for all practical purposes, these
two are all we need for simulating the model in equilibrium. When we are
interested in the behaviour of the model well away from the critical tem-
perature, the Metropolis algorithm provides a simple and efficient way of
getting results which is not bettered by any other algorithm. Close to Tc the
Wolff algorithm is a better choice than the Metropolis algorithm; although
it is more complex than the Metropolis algorithm, the Wolff algorithm has a
very small dynamic exponent, which means that the time taken to perform
a simulation scales roughly like the size of the system, which is the best
that we can hope for in any algorithm. The combination of these two al-
gorithms allows us to study large systems at any temperature—calculations
have been performed on systems with L = 200 or greater in both two and
three dimensions.
However, many other algorithms have been suggested for the simulation
of the Ising model. Although the algorithms studied so far pretty much cover
the ground, it is still useful to know about some of these others, since many
of them are in use and have been employed in published studies. In this
section we talk about a few of these alternative algorithms.

4.4.1 The Swendsen—Wang algorithm

After the Metropolis and Wolff algorithms, probably the most important
other algorithm is that of Swendsen and Wang (1987), which, like the Wolff
algorithm, is a cluster-flipping algorithm. In fact this algorithm is very
similar to the Wolff algorithm and Wolff took the idea for his algorithm
directly from it. (Swendsen and Wang in turn got the idea from the work
of Fortuin and Kasteleyn (1972) and Coniglio and Klein (1980).) Actually,
we have seen the central idea behind the Swendsen-Wang algorithm already.
In Section 4.3.2 we considered an alternative implementation of the Wolff
algorithm in which the entire lattice of spins is divided up into clusters by
making "links" with probability Padd = 1 — e-2BJ between similarly oriented
neighbouring spins—any group of spins which is connected together by links
is a cluster. We then imagined choosing a single spin from the lattice and
flipping over the whole of the cluster to which it belongs. This procedure is
clearly equivalent to the Wolff algorithm, although in practice it would be a
very inefficient way of carrying it out.
The Swendsen-Wang algorithm divides the entire lattice into clusters in
exactly the same way, with this same probability Padd of making a link. But
then, instead of flipping just one cluster, all the clusters are flipped with
probability |. That is, for each cluster in turn, we decide independently
4.4 Further algorithms for the Ising model 107

with probability 1/2 whether to flip it or not. We notice the following facts
about this algorithm:
1. The algorithm satisfies the requirement of ergodicity (Section 2.2.2).
To see this, we note that there is always a finite chance that no links
will be made on the lattice at all (in fact this is what usually happens
when T becomes very large), in which case the subsequent randomizing
of the clusters is just equivalent to choosing a new state at random for
the entire lattice. Thus, it is in theory possible to go from any state
to any other in one step.
2. The algorithm also satisfies the condition of detailed balance. The
proof of this fact is exactly the same as it was for the Wolff algorithm.
If the number of links broken and made in performing a move are
m and n respectively (and the reverse for the reverse move), then
the energy change for the move is 2J(m — n) (or 2 J ( n - m) for the
reverse move). The selection probabilities for choosing a particular set
of links differ between forward and reverse moves only at the places
where bonds are made or broken, so the ratio of the two selection
probabilities is (1 — Padd)m-n, just as it was before. By choosing
-Padd = 1 — e- -2BJ , we then ensure, just as before, that the acceptance
probability is independent of m and n and everything else, so any
choice which makes it the same in each direction, such as flipping all
clusters with probability 1/2, will make the algorithm correct. Notice
however that many other choices would also work. It doesn't matter
how we choose to flip the clusters, though the choice made here is good
because it minimizes the correlation between the direction of a cluster
before and after a move, the new direction being chosen completely at
random, regardless of the old one.
3. The algorithm updates the entire lattice on each move. In measuring
correlation times for this algorithm, one should therefore measure them
simply in numbers of Monte Carlo steps, and not steps per site as with
the Metropolis algorithm. (In fact, on average, only half the spins get
flipped on each move, but the number flipped scales like the size of the
system, which is the important point.)
4. The Swendsen-Wang algorithm is essentially the same as the Wolff
algorithm for low temperatures. Well below Tc, one of the clusters
chosen by the algorithm will be the big percolating cluster, and the rest
will correspond to the "excitations" discussed in Section 4.3, which will
be very small. Ignoring these very small clusters then, the Swendsen-
Wang algorithm will tend to turn over the percolating backbone of the
lattice on average every two steps (rather than every step as in the
Wolff algorithm—see Figure 4.4), but otherwise the two will behave
almost identically. Thus, as with the Wolff algorithm, we can expect
108 Chapter 4: Other algorithms for the Ising model

the performance of the Swendsen-Wang algorithm to be similar to that

of the Metropolis algorithm at low T, though probably a little slower
on average due to the complexity of the algorithm.

5. At high temperatures, the Swendsen-Wang algorithm tends to divide

the lattice into very small clusters because Padd becomes small. As
T —> oo the clusters will just be one spin each, and the algorithm will
just change all the spins to new random values on each move. This
is also what the Metropolis algorithm does at high temperatures in
one sweep of the lattice, though again the Metropolis algorithm can
be expected to be a little more efficient in this regime, since it is a
simpler algorithm which takes few operations on the computer to flip
each spin.

The combination of the last two points here implies that the only regime
in which the Swendsen-Wang algorithm can be expected to outperform the
Metropolis algorithm is the one close to the critical temperature. The best
measurement of the dynamic exponent of the algorithm is that of Coddington
and Baillie (1992), who found z = 0.25 ± 0.01 in two dimensions, which is
clearly much better than the Metropolis algorithm, and is in fact exactly the
same as the result for the Wolff algorithm. So the Swendsen-Wang algorithm
is a pretty good algorithm for investigating the 2D Ising model close to its
critical point. However, the Wolff algorithm is always at least a factor of two
faster, since in the Wolff algorithm every spin in every cluster generated is
flipped, whereas the spins in only half of the clusters generated are flipped in
the Swendsen-Wang algorithm. In addition, as Table 4.1 shows, for higher
dimensions the Swendsen-Wang algorithm has a significantly higher dynamic
exponent than the Wolff algorithm, making it slower close to Tc. The reason
for this is that close to Tc the properties of the Ising model are dominated by
the fluctuations of large clusters of spins. As the arguments of Section 4.3.2
showed, the Wolff algorithm preferentially flips larger clusters because the
chance of the seed spin belonging to any particular cluster is proportional to
the size of that cluster. The Swendsen-Wang algorithm on the other hand
treats all clusters equally, regardless of their size, and therefore wastes a
considerable amount of effort on small clusters which make vanishingly little
contribution to the macroscopic properties of the system for large system
sizes. This, coupled with the fact that the Swendsen-Wang algorithm is
slightly more complicated to program than the Wolff algorithm, makes the
Wolff algorithm the algorithm of choice for most people.9

9
There is one important exception to this rule; as discussed in Section 14.2.2, the
Swendsen-Wang algorithm can be implemented more efficiently on a parallel computer
than can the Wolff algorithm.
4.4 Further algorithms for the Ising model 109

dimension d Metropolis Wolff Swendsen-Wang

2 2.167 ± 0.001 0.25 ±0.01 0.25 ± 0.01
3 2.02 ± 0.02 0.33 ±0.01 0.54 ± 0.02
4 0.25 ±0.01 0.86 ±0.02

TABLE 4.1 Comparison of the values of the dynamic exponent z for

the Metropolis, Wolff and Swendsen-Wang algorithms in various di-
mensions. The values are taken from Coddington and Baillie (1992),
Matz et al. (1994), and Nightingale and Blote (1996). To our knowl-
edge, the dynamic exponent of the Metropolis algorithm has not been
measured in four dimensions.

4.4.2 Niedermayer's algorithm

Another variation on the general cluster algorithm theme was proposed by
Ferenc Niedermayer in 1988. His suggestion is really just an extension of
the ideas used in the Wolff and Swendsen-Wang algorithms. Niedermayer's
methods are very general and can be applied to all sorts of models, such as
the glassy spin models that we will study in Chapter 6. Here we will just
consider their application to the ordinary Ising model.
Niedermayer pointed out that it is not necessary to constrain the "links"
with which we make clusters to be only between spins which are pointing in
the same direction. In general, we can define two different probabilities for
putting links between sites—one for parallel spins and one for anti-parallel
ones. The way Niedermayer expressed it, he considered the energy contribu-
tion Eij that a pair of spins i and j makes to the Hamiltonian. In the case
of the Ising model, for example,

He then wrote the probability for making a link between two neighbouring
spins as a function of this energy P a dd(Eij). In the Ising model Eij can
only take two values ±J, so the function P add(Eij) only needs to be de
be defined
at these points, but for some of the more general models Niedermayer
considered it needs to be defined elsewhere as well. Clearly, if for the Ising
model we make Padd( —J) = 1 — e-2BJ and P a dd(J) = 0, then we recover the
Wolff algorithm or the Swendsen-Wang algorithm, depending on whether
we flip only a single cluster on each move, or many clusters over the entire
lattice—Niedermayer's formalism is applicable in either case.
To be concrete about things, let us look at the case of the single-cluster,
Wolff-type version of Niedermayer's algorithm. First, it is clear that for
any choice of Padd (except the very stupid choice P a dd(E) = 1 for all E),
the algorithm will satisfy the condition of ergodicity. Just as in the Wolff
algorithm, there is a finite probability that any spin on the lattice will find
itself the sole member of a cluster of one. Flipping a succession of such
clusters will clearly get us from any state to any other in a finite number
of moves. Second, let us apply the condition of detailed balance to the
algorithm. Consider, as we did in the case of the Wolff algorithm, two states
of our system which differ by the flipping of a single cluster. (You can
look again at Figure 4.3 if you like, but bear in mind that, since we are now
allowing links between anti-parallel spins, not all the spins in the cluster need
be pointing in the same direction.) As before, the probability of forming the
cluster itself is exactly the same in the forward and reverse directions, except
for the contributions which come from the borders. At the borders, there
are some pairs of spins which are parallel and some which are anti-parallel.
Suppose that in the forward direction there are m pairs of parallel spins at
the border—bonds which will be broken in flipping the cluster—and n pairs
which are anti-parallel—bonds which will be made. By definition, no links
are made between the spins of any of these border pairs, and the probability
of that happening is [1 — P a dd(-J)] m[ l — Padd(J)] n . In the reverse direction
the corresponding probability is [1 — P a dd(-J)]n[l - Padd(J)] m . Just as in
the Wolff case, the energy cost of flipping the cluster from state u to state
v is

Thus, the appropriate generalization of the acceptance ratio relation, Equa-

tion (4.12), is

Any choice of acceptance ratios A(n —> v) and A(y —> U) which satisfies
relation will satisfy detailed balance. For the Wolff choice ofPaddwe get
acceptance ratios which are always unity, but Niedermayer pointed out that
there are other ways to achieve this. In fact, all we need to do is choose Padd
to satisfy

and we will get acceptance ratios which are always one. Niedermayer's solu-
tion to this equation was P a dd(E) = 1 — exp[B(E - E0)] where E0 is a free
parameter whose value we can choose as we like. Notice however that since
-Padd(-E) is supposed to be a probability, it is not allowed to be less than
zero. Thus the best expression we can write for the probability P a dd(Eij) of
adding a link between sites i and j is
4.4 Further algorithms for the Ising model 111

And this defines Niedermayer's algorithm. Notice the following things about
this algorithm:

1. As long as all Eij on the lattice are less than or equal to E0, the right-
hand side of Equation (4.31) is always unity for the choice of Padd
given in (4.33), so the two acceptance ratios can be chosen to be one
for every move. Since we are at liberty to choose E0 however we like,
we can always satisfy this condition by making it greater than or equal
to the largest value that Eij can take, which is J in the case of the
Ising model. This gives us a whole spectrum of Wolff-type algorithms
for various values E0 > J, which all have acceptance ratios of one.
The Wolff algorithm itself is equivalent to E0 — J. If we increase E0
above this value, the probabilities add(Eij) tend closer and closer to
one, making the clusters formed larger and larger. This gives us a way
of controlling the sizes of the clusters formed in our algorithm, all the
way up to clusters which encompass (almost) every spin on the lattice
at every move.
2. If we choose E0 to be less than the largest possible value of Eij then
the right-hand side of Equation (4.31) is no longer equal to one, and
we can no longer choose the acceptance ratios to be unity. For the
Ising model, if we choose — J < E0 < J then we have

Just as with the Metropolis algorithm, the optimal choice of acceptance

ratios is then to make the larger of the two equal to one, and choose
the smaller to satisfy this equation. If we do this, we again achieve
detailed balance, and we now have an algorithm which, as E0 is made
smaller and smaller, produces smaller and smaller clusters, although it
does so at the expense of an exponentially decreasing acceptance ratio
for cluster moves which increase the energy of the system.
3. If E0 is chosen to be smaller than the smallest possible value of Eij,
which is — J, then Padd(Eij) = 0 for all pairs of spins i, j, so every
cluster formed has only one spin in it and the acceptance ratios are
given by

Bearing in mind that in is the number of neighbours of this single spin

which are pointing in the same direction as it, and n is the number
which point in the opposite direction, we can see that this is exactly
the same as Equation (3.7) which defines the Metropolis algorithm.
112 Chapter 4: Other algorithms for the Ising model

Thus we see that by varying the parameter E0, Niedermayer's cluster

algorithm includes as special cases both the Metropolis algorithm and the
Wolff algorithm, and interpolates smoothly from one to the other and be-
yond, varying the average cluster size from one spin all the way up to the
entire lattice. The trouble with the algorithm is that no one really knows
what value one should choose for E0. Niedermayer himself conjectured that
the Wolff choice E0 = J might not give the optimal correlation times and
that shorter ones could be achieved by making other choices. He gave pre-
liminary evidence in his 1988 paper that, in some cases at least, a smaller
value of E0 (i.e., a value which produces smaller clusters on average, at the
expense of a lowered acceptance probability) gives a shorter correlation time.
However, to our knowledge no one has performed an extensive study of the
dynamic exponent of the algorithm as a function of E0 so, for the moment
at least, the algorithm remains an interesting extension of the Wolff idea
which has yet to find use in large-scale simulations.

4.4.3 Multigrid methods

Also worthy of mention is a class of methods developed by Kandel et al. (1989,
Kandel 1991), which are referred to as multigrid methods. These methods
are also aimed at reducing critical slowing down and accelerating simulations
at or close to the critical temperature. Multigrid methods have not been used
to a very great extent in large-scale Monte Carlo simulations because they
are considerably more complex to program than the cluster algorithms dis-
cussed above. However, they may yet prove useful in some contexts because
they appear to be faster than cluster algorithms for simulating very large
systems.
The fundamental idea behind these methods is the observation that, with
the divergence of the correlation length at the critical temperature, we ex-
pect to see fluctuating clusters of spins of all sizes up to the size of the
entire lattice. The multigrid methods therefore split the CPU time of the
simulation up, spending varying amounts of time flipping blocks of spins of
various sizes. This idea certainly has something in common with the ideas
behind the Wolff and Swendsen-Wang algorithms, but the multigrid meth-
ods are more deliberate about flipping blocks of certain sizes, rather than
allowing the sizes to be determined by the temperature and configuration of
the lattice. Kandel and his co-workers gave a number of different, similar
algorithms, which all fall under the umbrella of multigrid methods. Here,
we describe one example, which is probably the simplest and most efficient
such algorithm for the Ising model. The algorithm works by grouping the
spins on the lattice into blocks and then treating the blocks as single spins
and flipping them using a Metropolis algorithm. In detail, what one does is
this.
4.4 Further algorithms for the Ising model 113

In the Swendsen-Wang algorithm we made "links" between similarly

oriented spins, which effectively tied those spins together into a cluster, so
that they flipped as one. Any two spins which were not linked were free to flip
separately—there was not even a ferromagnetic interaction between them to
encourage them to point in the same direction. In the multigrid method,
pairs of adjacent spins can be in three different configurations: they can
be linked as in the Swendsen-Wang case, so that they must flip together,
they can have no connection between them at all, so that they can flip
however they like, or they can have a normal Ising interaction between them
of strength J, which encourages them energetically to point in the same
direction, but does not force them to as our links do. By choosing one of
these three states for every pair of spins, the lattice is divided up into clusters
of linked spins which either have interactions between them, or which are
free to flip however they like. The algorithm is contrived so that only clusters
of one or two spins are created. No clusters larger than two spins appear.
The procedure for dividing up the lattice goes like this.
1. We take a spin on the lattice, and examine each of its neighbours
in turn. If a neighbour is pointing in the opposite direction to the
spin, then we leave it alone. In Kandel's terms, we "delete" the bond
between the two spins, so that they are free to assume the same or
different directions with no energy cost. If a neighbour is pointing in
the same direction as our spin, then we make a link between the two
with the same probability Padd = 1 - e 2 B J as we used in the Wolff
and Swendsen-Wang algorithms. Kandel calls this "freezing" the bond
between the spins.
2. Since we only want to create clusters of at most two spins, we stop
looking at neighbours once we have created a link to any one of them.
In fact, what we do is keep the normal Ising interactions between the
spin and all the remaining neighbours that we have not yet looked
at. We do this regardless of whether they are pointing in the same
direction as our first spin or not. Kandel describes this as "leaving the
bond active".
3. Now we move on to another spin and do the same thing, and in this
way cover the entire lattice. Notice that, if we come to a spin which
is adjacent to one we have considered before, then one or more of the
spin's bonds will already have been frozen, deleted or marked as active.
In this case we leave those bonds as they are, and only go to work on
the others which have not yet been considered. Notice also that if we
come to a spin and it has already been linked ("frozen") to another
spin, then we know immediately that we need to leave the interactions
on all the remaining bonds to that spin untouched.
In this way, we decide the fate of every spin on the lattice, dividing them
114 Chapter 4: Other algorithms for the Ising model

up into clusters of one or two, joined by bonds which may or may not have
interactions associated with them. Then we treat those clusters as single
spins, and we carry out the Metropolis algorithm on them, for a few sweeps
of the lattice.
But this is not the end. Now we do the whole procedure again, treating
the clusters as spins, and joining them into bigger clusters of either one or
two elements each, using exactly the same rules as before. (Note that the
lattice of clusters is not a regular lattice, as the original system was, but
this does not stop us from carrying out the procedure just as before.) Then
we do a few Metropolis sweeps of this coarser lattice too. And we keep
repeating the whole thing until the size of the blocks reaches the size of the
whole lattice. In this way, we get to flip blocks of spins of all sizes from
single spins right up to the size of the entire system. Then we start taking
the blocks apart again into the blocks that made them up, and so forth until
we get back to the lattice of single spins. In fact, Kandel and co-workers
used a scheme where at each level in the blocking procedure they either
went towards bigger blocks ("coarsening") or smaller ones ("uncoarsening")
according to the following rule. At any particular level of the procedure we
look back and see what we did the previous times we got to this level. If we
coarsened the lattice the previous two times we got to this point, then on
the third time only, we uncoarsen. This choice has the effect of biasing the
algorithm towards working more at the long length-scales (bigger, coarser
blocks).
Well, perhaps you can see why the complexity of this algorithm has put
people off using it. The proof that the algorithm satisfies detailed balance is
quite involved, and, since you're probably not dying to hear about it right
now, we'll refer you to the original paper for the details. In the same paper it
is demonstrated that the dynamic exponent for the algorithm is in the region
of 0.2 for the two-dimensional Ising model—a value similar to, though not
markedly better than, the Wolff algorithm. Lest you dismiss the multigrid
method out of hand, however, let us just point out that the simulations
do indicate that its performance is superior to cluster algorithms for large
systems. These days, with increasing computer power, people are pushing
simulations towards larger and larger lattices, and there may well come a
point at which using a multigrid method could win us a factor of ten or more
in the speed of our simulation.

4.4.4 The invaded cluster algorithm

Finally, in our round-up of Monte Carlo algorithms for the Ising model,
we come to an unusual algorithm proposed by Jonathan Machta and co-
workers called the invaded cluster algorithm (Machta et al. 1995, 1996).
The thing which sets this algorithm apart from the others we have looked
4.4 Further algorithms for the Ising model 115

at so far is that it is not a general purpose algorithm for simulating the

Ising model at any temperature. In fact, the invaded cluster algorithm can
only be used to simulate the model at the critical point; it does not work at
any other temperature. What's more, for a system at the critical point in
the thermodynamic limit the algorithm is equivalent to the Swendsen-Wang
cluster algorithm of Section 4.4.1. So what's the point of the algorithm?
Well, there are two points. First, the invaded cluster algorithm can find
the critical point all on its own—we don't need to know what the critical
temperature is beforehand in order to use the algorithm. Starting with a
system at any temperature (for example T — 0 at which all the spins are
pointing in the same direction) the algorithm will adjust its simulation tem-
perature until it finds the critical value Tc, and then it will stay there. This
makes the algorithm very useful for actually measuring the critical temper-
ature, something which otherwise demands quite sophisticated techniques
such as the finite-size scaling or Monte Carlo RG techniques of Chapter 8.
Second, the invaded cluster algorithm equilibrates extremely fast. Although
the algorithm is equivalent to the Swendsen-Wang algorithm once it reaches
equilibrium at Tc, its behaviour while getting there is very different, and in
a direct comparison of equilibration times between the two, say for systems
starting at T = 0, there is really no contest. For large system sizes, the
invaded cluster algorithm can reach the critical point as much as a hun-
dred times faster than the Swendsen-Wang algorithm. (A comparison with
the Wolff algorithm yields similar results—the performance of the Wolff and
Swendsen-Wang algorithms is comparable.)
So, how does the invaded cluster algorithm work? Basically, it is just a
variation of the Swendsen-Wang algorithm in which the temperature is con-
tinually adjusted to look for the critical point. From the discussions of Sec-
tion 4.4.1 we know that below the critical temperature the Swendsen-Wang
algorithm generates a percolating cluster of either up- or down-pointing spins
which stretches across the entire lattice. The algorithm looks for the tem-
perature at which this percolating cluster first appears, and takes that to be
the critical temperature. Here's how it goes:

1. First we choose some starting configuration of the spins. It doesn't

matter what choice we make, but it could, for example, be the T = 0
state.
2. We perform a single step of the Swendsen-Wang algorithm in which
we consider in turn every pair of neighbouring spins which are pointing
in the same direction and make a bond between them with probability
Padd = 1 — e- 2 B J . But the trick is, we adjust the temperature (or the
inverse temperature (B = ( k T ) - 1 ) to find the point at which one of the
clusters produced in this way just starts to percolate. For example,
if we start off with all the spins pointing the same way, then every
116 Chapter 4: Other algorithms for the Ising model

single pair of neighbouring spins on the lattice are aligned, and are
therefore candidates for linking with probability Padd- In this case, it
is known that for the square lattice in two dimensions for instance,
percolation will set in when the probability of making a link between
two spins is Padd = 1/2. Solving for the temperature, this is equivalent
to BJ =1/2log 2 = 0.346..., so this is the temperature at which the
first step should be conducted.
3. Once the links are made, we flip each cluster separately with probabil-
ity1/2,just as we do in the normal Swendsen-Wang algorithm. Then
the whole procedure is repeated from step 2 again.
So what's the point here? Why does the algorithm work? Well, consider
what happens if the system is below the critical temperature. In that case,
the spins will be more likely to be aligned with their neighbours than they
are at the critical temperature, and therefore there will be more neighbour-
ing pairs of aligned spins which are candidates for making links. Thus, in
order to make enough links to get one cluster to percolate across the entire
lattice we don't need as high a linking probability Padd as we would at Tc.
But a lower value of Padd corresponds to a higher value T > Tc of the corre-
sponding temperature. In other words, when the system is below the critical
temperature, the algorithm automatically chooses a temperature T > Tc for
its Swendsen-Wang procedure. Conversely, if the system is at a tempera-
ture above the critical point, then neighbouring spins will be less likely to
be aligned with one another than they are at Tc. As a result, there will be
fewer places that we can put links on the lattice, and Padd will need to be
higher than it would be at Tc in order to make one of the clusters percolate
and fill the entire lattice.10 The higher value of Padd corresponds to a lower
value of the temperature T < Tc, and so, for a state of the system above the
critical temperature, the algorithm will automatically choose a temperature
T < Tc for its Swendsen-Wang procedure.
The algorithm therefore has a kind of negative feedback built into it,
which always drives the system towards the critical point, and when it finally
reaches Tc it will just stay there, performing Swendsen-Wang Monte Carlo
steps at the critical temperature for the rest of the simulation. We do not
need to know what the critical temperature is for the algorithm to work. It
finds Tc all on its own, and for that reason the algorithm is a good way of
measuring Tc. Notice also that when the temperature of the system is lower
than the critical temperature, the algorithm performs Monte Carlo steps
with T > Tc, and vice versa. Thus, it seems plausible that the algorithm
would drive itself towards the critical point quicker than simply performing
10
In fact, for sufficiently high temperatures it may not be possible to produce a per-
colating cluster at all. In this case the algorithm will perform a Monte Carlo step at
T = 0.
4.4 Further algorithms for the Ising model 117

a string of Swendsen Wang Monte Carlo steps exactly at Tc. As discussed

below, this is indeed the case.
Before we look at the results from the invaded cluster algorithm, let
us discuss briefly how it is implemented. There are a couple of questions
that need to be answered. What is the most efficient way of varying the
temperature T to find the value of Padd at which a percolating cluster first
appears on the lattice? And how do we identify the percolating cluster?
There is a very elegant answer to the first question: at the beginning of
each step of the algorithm, we go over the entire lattice and for every pair
of neighbouring spins which are pointing in the same direction, we generate
a random real number between zero and one. We can imagine writing down
these numbers on the bonds that they belong to. Then we go through those
random numbers in order, starting with the smallest of them and working
up, making links between the corresponding pairs of spins one by one. At
some point, we will have added enough links to make one of the clusters on
the lattice percolate.11 At that point, we stop, and work out what fraction of
all the possible links on the lattice we have made. This fraction is just equal
to the probability Padd we would have to use to produce the percolating
cluster. Rearranging our expression for Padd, Equation (4.13), we can then
calculate the corresponding temperature of the Monte Carlo step:

Our other question — how we know when we have a percolating cluster

does not have such an elegant solution. Machta et al. (1995), who invented
the algorithm, suggest two ways of resolving the problem. One is to measure
the dimensions of each of the clusters along the axes of the lattice. When a
cluster has a length along one of the axes which is equal to the dimension L
of the lattice, it is declared to be percolating and no more links are added
to the system. The other suggestion is that, given that the system has
periodic boundary conditions, you wait until one of the clusters has gone off
one side of the lattice and come back on the other and joined up with itself
once more.12 Machta et al. find that these two criteria yield very similar
results when used in actual simulations, implying that the algorithm is not
particularly sensitive to the exact method used.
The results for the invaded cluster algorithm are impressive. Machta et al.
found equilibration times 20 or more times faster than the for the Swendsen
Wang algorithm at Tc for the two- and three-dimensional Ising systems they
11
Again, this may not be true at high temperatures, where it is sometimes not possible
to produce a percolating cluster for any value of Padd- In this case we stop when we have
added links between all pairs of aligned spins.
12
An efficient way of implementing this second criterion using a tree data structure is
described by Barkema and Newman (1999).
118 Chapter 4: Other algorithms for the Ising model

FIGURE 4.9 The critical temperature of the two-dimensional Ising

model measured using the invaded cluster algorithm for systems of a
variety of sizes from L = 120 up to L — 500. Here they are plotted
against L-1 and the extrapolation to L = oo at the vertical axis gives
an estimate of Tc = 2.271 ± 0.002 for the critical temperature in the
thermodynamic limit. The data are taken from Machta et al. (1995).

examined, and of course, the invaded cluster algorithm allowed them to

measure the value of Tc, which is not directly possible with the normal
Swendsen-Wang algorithm. Figure 4.9 shows some of their results for the
critical temperature of two-dimensional Ising systems of different sizes. On
the finite lattice, the average estimate of Tc which the algorithm makes is
a little high.13 However, if, as has been done here, one measures Tc for a
variety of system sizes, one can extrapolate to the limit L = oo to get an
estimate of the true critical temperature in the thermodynamic limit. In
this case we do this by plotting the measured Tc as a function of L-1 and
extrapolating to the L-1 = 0 axis. The result is Tc = 2.271 ± 0.002, which
compares favourably with the known exact result of Tc = 2.269, especially
given the small amount of CPU taken by the simulation. (The runs were
10 000 Monte Carlo steps for each system size.)
The invaded cluster algorithm can also be used to measure other quan-
tities at the critical temperature—magnetization for example, or internal
energy. However, a word of caution is in order here. For lattices of finite
size, which of course include all the lattices in our Monte Carlo simulations,

13
This behaviour depends on the criterion used to judge when percolation takes place.
For some criteria the estimate of Tc approaches the infinite system result from below
rather than above.
4.5 Other spin models 119

the invaded cluster algorithm does not sample the Boltzmann distribution
exactly. In particular, the fluctuations in quantities measured using the algo-
rithm are different from those you would get in the Boltzmann distribution.
To see this, consider what happens once the algorithm has equilibrated at
the critical temperature. At this point, as we argued before, it should stop
changing the temperature and just become equivalent to the Swendsen-
Wang algorithm at Tc, which certainly samples the Boltzmann distribution
correctly. However, in actual fact, because the lattice is finite, the innate
randomness of the Monte Carlo method will give rise to variations in the
temperature T of successive steps in the simulation. The negative feedback
effect that we described above will ensure that T always remains close to Tc,
but the size of fluctuations is very sensitive to small changes in temperature
near to Tc and as a result the measured fluctuations are not a good approx-
imation to those of the true Boltzmann distribution.14 Thus the invaded
cluster algorithm is not well suited to estimating, for instance, the specific
heat c of the Ising model at Tc, which is determined by measuring fluctu-
ations. On the other hand, one could use the algorithm to determine the
value of Tc, and then use the normal Wolff or Swendsen-Wang algorithm
to perform a simulation at that temperature to measure c. Determining Tc
in this way could also be a useful preliminary to determining the dynamic
exponent of another algorithm, as we did earlier in the chapter for both the
Metropolis and Wolff algorithms. Those calculations demanded a knowledge
of the value of Tc, which is known exactly for the 2D Ising model, but not
for many other models (including the 3D Ising model).

4.5 Other spin models

The Ising model, which we have spent the last two chapters examining, is the
best studied spin model in statistical mechanics. There are however many
others, some of which are of great importance. In the next few chapters
we will look at some variations on the Ising model theme, including the
conserved-order-parameter Ising model, in which the total magnetization of
the lattice is held constant, Ising spin glasses, in which the strengths of the
bonds between spins vary randomly over the lattice, and the random-field
Ising model, in which each spin is subjected to its own local magnetic field
which has a randomly chosen value. These models are interesting because,
for a variety of reasons, their simulation demands Monte Carlo algorithms
which are fundamentally different from the ones we have seen so far.
14
As the size of the system gets larger however, the algorithm samples the Boltzmann
distribution more accurately. This is the justification for our earlier claim that, in the
thermodynamic limit, the invaded cluster algorithm is identical to the Swendsen—Wang
algorithm at Tc.
120 Chapter 4: Other algorithms for the Ising model

In this section, we extend the Ising model in a different way. We look at

a few of the many models which consider more general types of spins on the
vertices of the lattice, spins which can take more than two discrete values, or
spins which take a continuum of values. For the most part, these models can
be simulated with techniques similar to the ones we have already seen, which
is why we are considering them now. First we will look at Potts models.

4.5.1 Potts models

Potts models are a class of models which are similar to the Ising model
except that the spins Si on each lattice site can take more than two different
discrete values. Usually these values are represented by positive integers
starting at 1, and a g-state Potts model is one in which each spin can have
integer values si = 1 . . . q. Any two neighbouring spins then contribute an
amount — J to the Hamiltonian if they have the same value, or zero otherwise.
The Hamiltonian can thus be written:

where <ij is the Kronecker 6-symbol, which is 1 when i = j and zero other-
wise.
For the case q = 2, the Potts model is equivalent to the Ising model,
up to an additive constant in the Hamiltonian. To see this we note that
Equation (4.37) can be rewritten as

But 2(6 S i s j - 1/2) is +1 when s, = Si and -1 when they are different, so this
expression is indeed equivalent to the Ising Hamiltonian except for the con-
stant term — X(ij) 1/2J. (Note though that the interaction energy is changed
by a factor of two J—>1/2J from Equation (3.1).)
For higher values of q the Potts model behaves similarly in some ways
to the Ising model. For J > 0 (the ferromagnetic case) it has q equivalent
ground states in which all the spins have the same value, and as the temper-
ature is increased it undergoes a phase transition to a state in which each
of the q spin states occurs with equal frequency across the lattice. There
are differences with the Ising model however. In particular, the entropy of a
Potts model with q > 2 is higher than that of the Ising model at an equiva-
lent temperature, because the density of states of the system as a function of
energy is higher. For example, at temperatures just above T — 0, almost all
of the spins will be in one state— say q = 1 — but there will be a few isolated
excitations on the lattice, just as there were in the Ising model. Unlike the
4.5 Other spin models 121

Ising model however, each excitation can take any of the possible spin values
other than 1, which may be very many if q is large, and this gives rise to
many more low-lying excitation states than in the Ising case.
Monte Carlo simulation of Potts models is quite similar to the simulation
of the Ising model. The simplest thing one can do is apply the single-spin-flip
Metropolis algorithm, which would go like this. First we pick a spin i from
the lattice at random. It will have some value si. We choose at random a
new value s't = Si from the q — 1 available possibilities. Then we calculate
the change in energy AE that would result if we were to make this change to
this spin, and either accept or reject the move, with acceptance probability

(See Equation (3.7).) This algorithm satisfies the condition's of both ergod-
icity and detailed balance, for the same reasons that it did in the case of the
Ising model. However, even for a single-spin-flip algorithm, the Metropolis
algorithm is not a very good one to use for Potts models, especially when
q becomes large. To see this, let us consider an extreme case: the 17 = 100
Potts model on a square lattice in two dimensions.
At high temperatures, the acceptance ratio (4.39) is always either 1 or
close to it because B is small, so the algorithm is reasonably efficient. How-
ever, at lower temperatures this ceases to be the case. As the temperature
decreases, more and more spins will take on the same values as their neigh-
bours, forming ferromagnetic domains, just as in the Ising model. Consider
the case of a spin which has four neighbours which all have different values.
The four states of this spin in which it is aligned with one of its neighbours
have lower energy, and therefore higher Boltzmann weight, than the other
96 possible states. If our spin is in one of the 96 higher energy states, how
long will it take to find one of the four aligned states? Well, until we find
one of them, all the states that the system passes through will have the same
energy, so the Metropolis acceptance ratio will be 1. On average therefore,
it will take about 100/4 = 25 steps to find one of the four desirable states.
As q increases this number will get larger; it will take longer and longer
for the system to find the low-lying energy states, despite the fact that the
acceptance ratio for all moves is 1, simply because there are so many states
to sort through.
Conversely, if the spin is in one of the four low-lying states, then there is
an energy cost associated with excitation to one of the other 96, which means
that the acceptance ratio will be less than one, and possibly very small (if
the temperature is low). Thus it could be that nearly 96 out of every 100
attempted moves is rejected, giving an overall acceptance ratio little better
than 4%.
One way to get around these problems is to use the heat-bath algo-
122 Chapter 4: Other algorithms for the Ising model

rithm. The heat-bath algorithm is also a single-spin-flip algorithm, but

one which is more efficient at finding the energetically desirable states of
the spins. The algorithm goes like this. First we choose a spin k at ran-
dom from the lattice. Then, regardless of its current value, we choose a new
value Sk for the spin in proportion to the Boltzmann weights for the different
values— the values are drawn from a so-called "heat bath". In other words,
we give the spin a value n lying between 1 and q with a probability

where En is the energy of the system when sk = n. Note that we have

normalized the probabilities to add up to one, so some value of the spin gets
chosen on every step, even if it is just the same as the old value (though this
will become increasingly unlikely as q becomes large) . Clearly this algorithm
satisfies ergodicity, since on a lattice of N spins the appropriate string of
single-spin moves like this can take us from any state to any other in N moves
or fewer. And since we are choosing states with probabilities proportional
to their Boltzmann weights, it should not come as a great surprise that this
algorithm also satisfies the condition of detailed balance, though just to be
thorough let's prove it. The probability of making the transition from a state
in which sk = n to one in which sk = n' is just pn', and the probability of
going back again is pn. (Note that these probabilities do not depend on the
initial state, only on the final one, unlike the Metropolis algorithm.) Then,
using Equation (4.40), the ratio of forward and backward transition rates is

exactly as detailed balance demands.

This algorithm is much more efficient than the Metropolis algorithm for
large values of q, because it will choose the states with the highest Boltzmann
weights most often, and can find them in one move, rather than wandering
through large numbers of unfavourable states at random before finding them.
In practice how is it implemented? First, we observe that once we have
chosen which spin k we are going to change, we can split the Hamiltonian,
Equation (4.37), into the terms which involve Sk, and those which don't:

The first sum here is the same for all q possible values of sk, and therefore
cancels out of the expression (4.40). The second sum has only z terms,
where z is the lattice coordination number (which is four in the square
4.5 Other spin models 123

FIGURE 4.10 The internal energy of a q = 10 Potts model on a

20 x 20 square lattice at a temperature T = 0.5J, simulated using
the Metropolis algorithm (upper line) and the heat-bath algorithm
(lower line).

lattice case we have been considering). Just calculating these terms, rather
than evaluating the entire Hamiltonian, makes evaluating pn much quicker.
Second, we notice that there are at most z states of the spin Sk in which
it is the same as at least one of its neighbours. These are the only states
in which the spin makes a contribution to the Hamiltonian. In all the other
states it makes no contribution to the Hamiltonian. Thus, evaluating the
Boltzmann factors e-BEn appearing in Equation (4.40) requires us to cal-
culate the values of, at most, z exponentials, all the other terms being just
equal to 1.
Finally, we note that there is only a small spectrum of possible values for
each Boltzmann factor, since the second term in Equation (4.42) can only
take values which are multiples of — J, from zero up to — zJ. Thus we can,
as we did for the Ising model, calculate the values of all the exponentials
we are going to need at the very beginning of our simulation, and thereafter
simply look up those values whenever we need to know one of them. The
calculation of exponentials being a costly process in terms of CPU time, this
trick considerably improves the efficiency of the algorithm.
In Figure 4.10 we compare the internal energy of a q = 10 Potts model on
a 20 x 20 square lattice at low temperature simulated using the heat-bath and
Metropolis algorithms. In this case, the heat-bath algorithm takes about 200
sweeps of the lattice to come to equilibrium, by contrast with the Metropolis
algorithm which takes about 20 000 sweeps. This is an impressive gain in
speed, although as usual we need to be careful about our claims. The heat-
124 Chapter 4: Other algorithms for the Ising model

bath algorithm is a more complex algorithm than the Metropolis algorithm,

and each Monte Carlo step takes longer in the heat-bath case than in the
Metropolis case. In this particular simulation, there was about a factor of
three difference between the CPU time taken per step in the two algorithms.
Even allowing for this however, the heat-bath algorithm is still more than
thirty times faster at coming to equilibrium than the Metropolis algorithm.
And this factor will increase as q gets larger, making the heat-bath algorithm
very definitely the algorithm of choice for large q Potts models.
Before we move on, here is one more question about the heat-bath al-
gorithm: what does the algorithm look like for the normal Ising model?
The answer is easy enough to work out. In the Ising case the algorithm
would involve choosing a spin at random and then, regardless of its current
state, setting it either up or down with probabilities pup and Pdown. From
Equation (4.40) these two probabilities are:

Now suppose that the initial state of the spin is down. What acceptance
ratio A do these equations represent for the move that flips the spin to the
up state? Well, clearly the acceptance ratio is simply A = pup. If we multiply
numerator and denominator by e1/2B(Eup+Edown), we can write it in terms of
the change in energy AE = Eup - Edown-

It is easy to show that the same expression applies for the move which flips
the spin from up to down. Thus for the Ising model, the heat-bath algorithm
can be regarded as a single-spin-flip algorithm with an acceptance ratio
which is a function of the energy change A.E, just as it is in the Metropolis
algorithm, although the exact functional dependence of A on AE is different
from that of the Metropolis algorithm. In Figure 4.11 we show A as a
function of A.E for the two algorithms. For all values of A.E, the heat-bath
acceptance ratio is lower than the corresponding value for the Metropolis
algorithm, Equation (3.7), so it is always more efficient to use the Metropolis
algorithm. This should come as no surprise, since, as we pointed out in the
last chapter, the Metropolis algorithm is the most efficient possible single-
spin-flip algorithm for simulating the Ising model. However, it is worth being
familiar with Equation (4.44), because, for reasons which are not completely
clear to the authors, some people still use it for simulating the Ising model,
despite its relative inefficiency.
We have shown then that if we are going to simulate a Potts model with
a single-spin-flip algorithm, the algorithm that we choose should depend
4.5 Other spin models 125

FIGURE 4.11 The acceptance ratio of the heat-bath algorithm for the
Ising model (solid line) as a function of the energy difference between
states A.E. For comparison, the acceptance ratio of the Metropolis
algorithm is also shown (dashed line).

on the value of q. For small q (for example, the Ising model, which is
equivalent to q = 2) the Metropolis algorithm is the most efficient algorithm,
but as q gets larger there comes a point at which it is advantageous to
switch over to the heat-bath algorithm. Where exactly the cross-over occurs
is unfortunately dependent on what temperature we are interested in. At
the low temperatures used for the simulations in Figure 4.10, clearly the
cross-over was well below q = 10. However, at high temperatures where
the probabilities of occurrence of the states of any particular spin become
increasingly independent of the states of the spin's neighbours, there is less
and less difference between the performance of the two algorithms, and we
have to go to higher values of q to make the extra complexity of the heat-bath
algorithm worthwhile. In practice, for any serious study of a Potts model,
one should conduct short investigatory simulations with both algorithms to
decide which is more suited to the problem in hand.

4.5.2 Cluster algorithms for Potts models

In the last section we studied single-spin-flip algorithms for Potts models, and
demonstrated that both Metropolis and heat-bath algorithms are efficient
ways to perform simulations for certain ranges of temperature and q. Near
the phase transition, however, these algorithms suffer from exactly the same
problems as they did in the case of the Ising model: the correlation length
diverges and the time taken to flip over the large correlated clusters that
126 Chapter 4: Other algorithms for the Ising model

appear gets longer and longer as we approach Tc. As with the Ising model,
we can define a dynamic exponent z, and show chat the correlation time r
at the critical point, measured in sweeps of the lattice, increases as T ~ Lz
with the size L of the system simulated. If z takes a large value, this can
place severe limitations on the size of the system we can work with. As it
turns out z, is indeed quite large. For the case of the q — 3 Potts model, for
example, Schulke and Zheng (1995) have measured a value of 2.198 ± 0.008
for the dynamic exponent of the Metropolis algorithm in two dimensions,
which is comparable to the value for the Ising model, and it is believed that
z has similar values for larger q also (Landau et al. 1988). The solution to
this problem is exactly the same as it was in the Ising model case: to try
and flip the large correlated clusters all in one go using a cluster-flipping
algorithm. In fact, the Wolff algorithm which we described in Section 4.2
generalizes to the Potts case in a very straightforward manner. The correct
generalization is as follows.

1. Choose a seed spin at random from the lattice.

2. Look in turn at each of the neighbours of that spin. If they have the
same value as the seed spin, add them to the cluster with probability
•Padd = 1 — e-BJ. (Note that the 2 has vanished from the exponent.
This is the same factor of two that appeared in the interaction constant
when we compared the Ising model to the q = 2 Potts model.)
3. For each spin that was added in the last step, examine each of its
neighbours to find which ones, if any, have the same value and add
each of them to the cluster with the same probability Padd. (As with
the Ising model, we notice that some of the neighbours may already
be members of the cluster, in which case you don't have to consider
adding them again. Also, some of the spins may have been considered
for addition before, as neighbours of other spins in the cluster, but
rejected. In this case, they get another chance to be added to the
cluster on this step.) This step is repeated as many times as necessary
until there are no spins left in the cluster whose neighbours have not
been considered for inclusion in the cluster.
4. Choose at random a new value for the spins in the cluster, different
from the present value, and set all the spins to that new value.

The proof that this algorithm satisfies detailed balance is exactly the
same as it was for the Ising model. If we consider two states u and v of
the system which differ by the changing of just one cluster, then the ratio
g(u —> v)/g(v —> u) of the selection probabilities for the moves between
these states depends only on the number of bonds broken m and the number
made n around the edges of the cluster. This gives us an equation of detailed
4.5 Other spin models 127

balance which reads

just as in the Ising case. The change in energy is also given by the same
expression as before, except for a factor of two:

and so the ratio of the acceptance ratios A(u —> v) and A(v —> u) for the
two moves is

For the choice of Padd given above, this is just equal to 1. This equation is
satisfied by making the acceptance ratios also equal to 1, and so, with this
choice, the algorithm satisfies detailed balance.
The algorithm also satisfies the condition of ergodicity for the same rea-
son that it did for the Ising model. Any spin can find itself the sole member
of a cluster of one, and flipping the appropriate succession of such single-spin
clusters can take us from any state to any other on a finite lattice in a finite
number of steps.
As in the case of the Ising model, the Wolff algorithm gives an impressive
improvement in performance near to the critical temperature. Coddington
and Baillie (1991) have measured a dynamic exponent of z = 0.60 ± 0.02
for the algorithm in the q = 3 case in two dimensions—a considerable im-
provement over the z — 2.2 of the Metropolis algorithm. As before, the
single-spin-flip algorithms come into their own well away from the critical
point because critical slowing down ceases to be a problem and the relative
simplicity of these algorithms over the Wolff algorithm tends to give them
the edge. One's choice of algorithm should therefore (as always) depend on
exactly which properties of the model one wants to investigate, but the Wolff
algorithm is definitely a good choice for examining critical properties.
The Swendsen-Wang algorithm can also be generalized for use with Potts
models in a straightforward fashion, as can all of the other algorithms de-
scribed in Section 4.4. In general however, the three algorithms we have
described here—Metropolis, heat-bath and Wolff—should be adequate for
most purposes.

4.5.3 Continuous spin models

A different generalization of the Ising model gives us the continuous spin
models, in which the spins on the lattice have a continuous range of values,
rather than a discrete spectrum like the Ising and Potts models. The two
most widely studied such models are the XY model and the Heisenberg
128 Chapter 4: Other algorithms for the Ising model

model. In the XY model the spins are two-component vectors of unit length,
which can point in any direction on a two-dimensional plane. Thus the spins
can be represented by their components sx, sy, with the constraint that
s2 = s2 x+ s2y, = 1, or they can be represented by a single angle variable 0,
which records the direction that the spin points in. Note that although the
spins are two-dimensional there is no reason why the lattice need be two-
dimensional. For example, we can put XY spins on a cubic lattice in three
dimensions if we want to.
The Heisenberg model follows the same idea, but the spins are three-
dimensional unit vectors. (Again, the dimensionality of the spins and that
of the lattice are independent. We can put Heisenberg spins on a two-
dimensional lattice for instance.) Heisenberg spins can be represented either
as three-component vectors with s2 = s2 x+ s2y,+ s2 z = 1, or by two angle
variables, such as the 9 and $ of spherical coordinates.
The Hamiltonian for each of these models is the obvious generalization
of the Ising Hamiltonian:

where Si and Sj are the vectors representing the spins on sites i and j. When
J > 0 the spins can lower their energy by lining up with one another and the
model is ferromagnetic, just as in the Ising case. When J < 0, the model is
anti-ferromagnetic.
We can also define similar models with higher-dimensional spins—unit
vectors in four or more dimensions—and there are many other generaliza-
tions of the idea to continuous-valued spins which have symmetries other
than the simple spherical symmetry of these models. In this section we con-
centrate on the XY/Heisenberg class of models as examples of how Monte
Carlo algorithms can be constructed for continuous spin models.
The first thing we notice about these continuous spin models is that they
have a continuous spectrum of possible states, with energies which can take
any real value between the ground state energy and the energy of the highest-
lying state. The appropriate generalization of the Boltzmann distribution
to such a model is that the probability of finding the system in a state with
energy between E and E + dE is

where p ( E ) is the density of states, defined such that p(E) dE is the num-
ber of states in the interval E to E + dE. You may well ask what exactly
it means to talk about the number of states in an energy interval when we
have a continuous spectrum of states. This was one of the toughest prob-
lems which plagued the nineteenth century study of statistical mechanics,
4.5 Other spin models 129

and in fact it cannot be answered within the realm of the classical systems
we are studying here. Only by studying quantum mechanical systems and
then taking their classical limit can the question be answered properly. How-
ever, for the purposes of Monte Carlo simulation, we don't actually need to
know what the density of states in the system is, just as we didn't need
to know the complete spectrum of energies in the discrete case—the Monte
Carlo method ensures that, provided we wait long enough for the system to
equilibrate, all states will appear with their correct equilibrium probabilities
in the simulation.15
The partition function Z for a system with a continuous energy spectrum
is the obvious generalization of the discrete case:

so that the probabilities in Equation (4.49) are properly normalized.

Note also that these continuous spin models have a continuum of ground
states. For the ferromagnetic XY model, for example, the ground state is one
in which all the spins are lined up pointing in the same direction. However,
that direction can equally well be any of the allowed directions of the spins.
The system therefore has one degree of freedom—rotation of all the spins by
the same amount—which costs it nothing in energy, and this result extends
to all the higher energy states of the lattice also. (Field theorists refer to
this as a Goldstone mode.)
So, how do we go about simulating a continuous spin system? Let us
take the XY model as our example. The simplest Monte Carlo algorithm
for this model is the single-spin-flip Metropolis algorithm. The algorithm
works in much the same way as it did for the Ising and Potts models. The
only question we need to answer is what is the equivalent of "flipping" an
Ising spin for a model in which the spins have continuous values? Clearly
if we simply reversed the direction of a spin on each move we would not
get an ergodic algorithm—each spin could then only point in the direction
it started in or the opposite direction and there would be no way for it to
reach any of the other possible directions that it is allowed to point in. So
instead, rather than reversing the spin, we choose a new direction for it at
random. Then the algorithm would look like this:
1. Choose a spin at random from the lattice, and choose a new direction
for it by generating a random number between 0 and 2-rr to represent
its new angle.16
15
However, if the reader is interested in the derivation of the quantum mechanical
density of states and its classical limit, we can recommend the excellent treatment by
Pathria (1972).
16
In the case of the Heisenberg model, whose spins are three-dimensional, choosing
130 Chapter 4: Other algorithms for the Ising model

2. Calculate the change in energy AE if we were to make this move.

3. Accept or reject the move with an acceptance ratio A thus:

This algorithm now satisfies ergodicity, since we have a finite chance of ac-
cepting any move, and can therefore in theory get from any state of the
lattice to any other in N moves or fewer, where N is the number of spins
on the lattice. It also satisfies detailed balance, since the selection probabil-
ities g(u —> v) and g(v —» u) for a move to go from state u to state v or
back again are the same, and the ratio of the acceptance probabilities is just
exp(—BAE), as it should be.
This form of the Metropolis algorithm is the most widely used single-
spin-flip algorithm for the XY model. However, we should point out that it
is not the only form the algorithm can take, nor is it known whether this is
the most efficient form. The thing is, there is quite a lot of flexibility about
the choice of the new state for the spin we are proposing to change. The only
restriction that the algorithm places on it is that the selection probabilities
g(u —> v) and g(v —> u) for the forward and reverse moves be equal. This
in turn only requires that the probability of picking a new direction 0' for
the spin be a function solely of the angle \0' — 0| between the two states.
Any function will do however, not just the uniform one we used above. If
we choose a function which is biased towards small changes in the direction
of our spin, then we will increase the acceptance ratio of the algorithm
because the energy cost of any move will be small. However, the change of
state will be small too, so the algorithm may take a lot of moves to reach
equilibrium. (For example, many small changes in the direction of single
spins would be necessary to cool the system from an initial T = oo state in
which the directions of the spins are all random to a low-temperature state
in which they all point in approximately the same direction.) Conversely,
an algorithm in which we preferentially propose larger changes in direction
\6' — 0\ for our Monte Carlo moves would take fewer accepted moves to get
from one state to another on average, but would tend to suffer from a lower
mean acceptance ratio, because with larger changes in spin direction moves
can have a larger energy cost.
As we mentioned, no one has, to our knowledge, investigated in any
detail the question of how best to compromise between these two cases—all
the large Metropolis studies of models like the XY and Heisenberg models
have been carried out with the uniform choice of directions described above.
It seems likely that the algorithm would benefit from a choice of smaller

a new direction at random isn't quite so simple. The problem of choosing a random
spherically symmetric direction is discussed in Section 16.2.1.
4.5 Other spin models 131

angles at low temperatures, where the acceptance ratio for higher energy
excitations becomes extremely small, and larger angles at high temperatures,
where the important point is to cover the space of possible states quickly,
the acceptance ratio being close to unity regardless of the moves proposed.
A detailed investigation of this point would make an interesting study.17
Many continuous spin models exhibit a phase transition similar to that of
the Ising model between a ferromagnetic and a paramagnetic phase, with the
accompanying problem of critical slowing down. As with the Ising model,
cluster algorithms can reduce these problems. A version of the Wolff al-
gorithm which is suitable for the XY and Heisenberg models was given by
Wolff in his original paper in 1989. The basic idea is that we choose at
random both a seed spin from which to start building our cluster and a
random direction, which we will denote by a unit vector n. Then we treat
the components n . Si of the spins in that direction roughly in the same way
as we did the spins in the Ising model. A neighbour of the seed spin whose
component in this direction has the same sign as that of the seed spin can
be added to the cluster by making a link between it and the seed spin with
some probability -Padd- If the components point in opposite directions then
the spin is not added to the cluster. When the complete cluster has been
built, it is "flipped" by reflecting all the spins in the plane perpendicular to
n.
The only complicating factor is that, in order to satisfy detailed balance,
the expression for Padd has to depend on the exact values of the spins which
are joined by links thus:

Readers might like to demonstrate for themselves that, with this choice,
the ratio of the selection probabilities g(u —> v) and g(v —> u) is equal
to e-BAE, Where AE is the change in energy in going from a state u to a
state v by flipping a single cluster. Thus, detailed balance is obeyed, as in
the Ising case, by an algorithm for which the acceptance probability for the
cluster flip is 1. This algorithm has been used, for example, by Gottlob and
Hasenbusch (1993) to perform extensive studies of the critical properties of
the XY model in three dimensions.
Similar generalizations to continuous spins are possible for all the algo-
rithms we discussed in Section 4.4. However, the Metropolis algorithm and
the Wolff algorithm are probably adequate to cover most situations.

17
In a system where the energy varies quadratically about its minimum as we change the
values of the spins, one can achieve a roughly constant acceptance ratio by making changes
of direction whose typical size varies as \/T. This might also be a reasonable approach for
systems such as the XY and Heisenberg models when we are at low temperatures because,
to leading order, the energies of these systems are quadratic about their minima.
132 Chapter 4: Other algorithms for the Ising model

Problems

4.1 An Ising system can be considered as being composed of regions of

predominantly up- or down-pointing spins separated by domain walls. As-
suming that in equilibrium the walls roughly speaking perform a random
walk about the system, show that the dynamic exponent of the model (in
any number of dimensions) should be about z = 2.
4.2 Suggest a simple modification of the Wolff algorithm that would allow
us to simulate Ising systems in a non-zero magnetic field B.
4.3 What is the equivalent of Equation (4.24) for the Swendsen-Wang al-
gorithm?
4.4 Modify the Metropolis program given in Appendix B to carry out
the heat-bath algorithm for the two-dimensional Ising model (see Equa-
tion (4.44)).
4.5 Write a program to implement the Wolff algorithm for a g-state Potts
model. (Hint: you might want to use the Wolff algorithm program for the
Ising model given in Appendix B as a starting point.)
5
The conserved-order-parameter
Ising model

In the last two chapters we have looked in detail at the Ising model, which
is primarily of interest as a model of a ferromagnet. In this chapter we
look at a variation on the Ising model idea, the conserved-order-parameter
Ising model. Although mathematically similar to the normal Ising model,
the conserved-order-parameter Ising model is used to model very different
systems. In particular, it can be used to study the properties of lattice
gases.
A lattice gas is a simple model of a gas in which a large number of particles
(representing atoms or molecules) move around on the vertices of a lattice.
Confining the particles to a lattice in this way makes the model considerably
simpler to deal with than a true gas model in which particles can take any
position in space, although it also makes the model less realistic. However,
lattice gases can give a good deal of insight into the general behaviour of
real gases without necessarily being quantitatively accurate representations.
Many different types of lattice gases have been studied, including ones
in which the particles possess inertia, or do not, ones in which particular
types of particle collisions occur, and ones with a variety of different types
of particle particle interactions. In this chapter we will look at one of the
simplest types which, as we will show, is equivalent to an Ising model. In our
lattice gas the particles have no inertia and simply walk at random around
the lattice under the influence of thermal excitations. The model is defined
as follows. We start off with a lattice possessing N sites, of which a fraction
p are occupied by particles. The particles satisfy the following rules:

1. The total number of particles is fixed, so that if a particle disappears

from one site it must reappear at another. (Equivalently, we could say
that the particle density p is constant.)
134 Chapter 5: The conserved-order-parameter Ising model

2. A lattice site can be occupied by at most one particle at any time. This
site exclusion rule has a similar effect to the hard-sphere repulsion
seen in real systems, which is the result primarily of Pauli exclusion.
3. If two particles occupy nearest-neighbour sites on the lattice, they feel
an attraction with a fixed energy e. This rule mimics the effect of the
attractive forces between molecules.
Rules 2 and 3 are a fairly poor approximation to the forces between real
molecules. For one thing, the model assumes that the repulsive and attrac-
tive forces between molecules act on the same length-scale, whereas in reality
the attractive forces are normally of longer range. Nonetheless the model
proves useful. This is in part because, as we mentioned above, we are often
interested more in the qualitative behaviour of the system than in simulating
it faithfully, but also because of the model's critical properties. As we will
see, the model defined above possesses a phase transition, a critical point at
which it switches from a homogeneous gas phase to a solid/vapour coexis-
tence phase. In the vicinity of this phase transition some properties of the
model become independent of the exact nature of the interactions between
molecules and, simple though it is, our lattice gas is in this region capable of
making quantitative predictions about real systems. This is another aspect
of the phenomenon of universality which was introduced in Section 4.1.
The first step in studying our lattice gas model is to derive a Hamiltonian
for it. To represent the state of the gas we define a set of variables <i, one
on each lattice site, such that <i is 1 if site i is occupied by a particle and
0 if the site is vacant. We use the notation <i to distinguish these variables
from the spins Si of the previous chapters, which took values of ±1.
Already, this notation ensures that Rule 2 above is obeyed. A site can
only be occupied or not; we cannot have two or more particles on the same
site. In order to ensure that Rule 1 is obeyed, we require that the total
number of ones on the lattice, which is the number of occupied sites, should
be a constant. We can express this mathematically as

It is Rule 3 above which specifies the Hamiltonian of our model. If two

particles are located on nearest-neighbour sites, they contribute an energy
—e to the energy of the whole system. In terms of our particle variables we
can write this as

where (ij) denotes pairs of spins i and j which are nearest neighbours, just
as in previous chapters. Now let us define a new set of variables
Chapter 5: The conserved- order-parameter Ising model 135

These new variables are precisely the Ising spins of previous chapters. The
variable Si takes the value +1 on a site occupied by a particle, and —1 on
an unoccupied site. Inverting (5.3) to get ci, = 1/2(si + 1) and substituting
into Equation (5.2) we then find

where z is the lattice coordination number introduced in Section 3.1 (equal

to the number of nearest neighbours of each site) . Making the same change
of variables in Equation (5.1) we get

and substituting this into Equation (5.4) we then find that

The second term is constant, since z, N and p all are. If we now define
J = e/4 our Hamiltonian becomes

The additive constant makes no difference to the expectation value (Q) of

any observable quantity Q, since it cancels out of Equation (1.7). And
apart from the constant, this Hamiltonian for our lattice gas is identical to
that of the Ising model, Equation (1.30), in zero magnetic field, just as we
claimed above. The sum in Equation (5.5) is just the total (instantaneous)
magnetization M of this model:

(See Equation (1.33).) Since both p and N are constant quantities, so also is
M, and for this reason we call this model the conserved-order-pararneter
Ising model, sometimes abbreviated to COP Ising model. (Recall that
the magnetization M is also called the order parameter of the Ising model—
see Section 3.7.1.) Throughout much of this chapter we will treat our lattice
gas using this Ising representation. This will allow us to make use of many
of the ideas we have developed in previous chapters to create algorithms for
simulating the model.
136 Chapter 5: The conserved-order-parameter Ising model

Unlike the Ising model studied in previous chapters, not all states of
the spins in the COP Ising model are allowed; only those for which the
constraint (5.5) is satisfied are allowed. This means that the sum over states
involved in calculating an expectation value (Equation (1.7)) is a sum over
only these allowed states. When we come to design a Monte Carlo algorithm
for this model we will need to take this constraint into account. A related
point is that the COP Ising model has two free parameters we can specify.
In the normal Ising model in zero magnetic field the only parameter we can
vary is the temperature. In the COP Ising model on the other hand, we
have to specify both the temperature and the average density of particles p,
which in the language of the Ising model is the density of up-pointing spins
or equivalently the magnetization.
From our investigations in Chapter 3 we know that in the ferromagnetic
case (J > 0), the normal Ising model has an average magnetization which is
zero above the critical temperature Tc but-non-zero below (see Figure 3.9, for
instance). Rearranging Equation (5.8) for p, this magnetization corresponds
to a preferred density of

where m is the magnetization per spin. In fact, m has two equilibrium values
below Tc, one positive and one negative, so there are really two preferred
densities for the model in this regime:

Suppose now that we fix p for the COP model somewhere in the range
between these two preferred densities: p- < p < p+. The system can then
arrange for the local density at every point on the lattice to take one or
other of the preferred values by phase separating into domains of these
two densities, and as we will see in Section 5.1 the COP model does exactly
this. When p is outside the range between /o_ and p+, it is still possible for
it to reach one of the preferred densities in some regions. For example, if
p < p- then the system has fewer up-pointing spins than it needs to reach
the preferred density, but it can still reach it in some portion of the lattice
by concentrating all its up-spins in local domains. This however would leave
the rest of the system starved of up-spins and even further from the preferred
density than it was before. It turns out that the energetic cost of doing this
is greater than the gain derived from forming the domains, so the system
prefers to be homogeneous.
Thus, when J > 0, our COP Ising model has two phases below the
critical temperature, one in which p_ < p < p+ and there is separation
into domains of high and low density, and one in which p lies outside this
range and the system is homogeneous. The absolute magnetization m of
Chapter 5: The conserved-order-parameter Ising model 137

FIGURE 5.1 Phase diagram of the COP Ising model on a square lat-
tice in two dimensions. Depending on the values of the temperature T
and density p, the system will either be homogeneous or will separate
into coexisting domains of the two preferred densities p+ and p-.

the normal Ising model gets smaller with increasing temperature, so that
the range of p within which there is phase separation in the COP model,
given by Equation (5.10), also gets smaller. Above Tc the range shrinks
to zero and there is no phase separation. This behaviour is depicted in
Figure 5.1, which shows the phase diagram for the two-dimensional COP
Ising model.1 Real fluid systems show a very similar phenomenon when
they phase separate on cooling. HgO at atmospheric pressure for example is
a gas at high temperatures, but passes on cooling into a coexistence region
in which it separates into distinct fractions of water vapour and liquid water.
This lends support to our earlier contention that the COP Ising model shows
behaviour qualitatively similar to that of real fluids.2
In this chapter we will show how the equilibrium properties of the COP
Ising model can be efficiently simulated on a computer and discuss two ap-
1
The line separating the two regimes, which is called the binodal, can be calculated
exactly from the known magnetization m = [1 — cosech2 2BJ|1/8 of the normal Ising
model in two dimensions, which was postulated by Onsager in 1949, though not proven
until Yang tackled the problem three years later (Yang 1952).
2
Note that the high-density phase of the COP Ising model is more like a solid than a
liquid however, since the "molecules" in the condensed phase of the model are arranged
on the regular grid imposed by the lattice.
138 Chapter 5: The conserved-order-parameter Ising model

plications of the model to the study of physical systems. In Section 5.1.1

we will use it to examine the behaviour of phase interfaces as temperature
is varied and in Section 5.3 we look at the problem of calculating the equi-
librium shapes of crystals. First however, we describe the standard Monte
Carlo algorithm used for simulating the model, the Kawasaki algorithm.

5.1 The Kawasaki algorithm

Neither the single-spin-flip algorithms of Chapter 3 nor the cluster algorithms
of Chapter 4 can be used for the simulation of the conserved-order-parameter
Ising model, because flipping either a single spin or a cluster of similarly
oriented spins would change the total magnetization, which is not allowed.
Instead, our Monte Carlo moves must change the values of a number of
spins, chosen in such a way that the total magnetization remains the same.
The simplest such algorithm is the Kawasaki algorithm (Kawasaki 1965),
which goes as follows. We choose at random a pair of adjacent spins on the
lattice. Rather than flipping these spins, our basic Monte Carlo move is to
exchange their values. In this way the total magnetization of the lattice will
always be preserved. To decide whether to exchange a given pair of spins,
we calculate the change in the energy A.E = Ev — E^ between the states u
and v of the system before and after, and accept or reject the move with the
Metropolis acceptance probability3

(See Equation (3.7).)

Clearly this algorithm conserves the value of the order parameter M,
but we still need to prove that it satisfies the dual criteria of ergodicity
and detailed balance, so that we know that it will sample states with their
correct Boltzmann probabilities. That the algorithm satisfies ergodicity can
by seen most easily by considering the lattice gas representation of the model.
In this representation our Monte Carlo move corresponds to the movement
of a single particle from one site to another adjacent one. However, any
configuration of the particles on a finite lattice can be reached in a finite
number of steps from any other by moving each particle individually to its
new position, and hence the algorithm is ergodic.
The demonstration of detailed balance is also very straightforward. On a
lattice with N sites and lattice coordination number z, there are 1/2zN pairs
3
In fact, Kawasaki originally proposed using the heat-bath acceptance probability,
Equation (4.44), to perform the simulation. This yields a correct algorithm but, as dis-
cussed in Section 4.5.1, the Metropolis acceptance ratio is always larger than the heat-bath
one and therefore gives a more efficient simulation, so most recent studies have used the
Metropolis choice.
5.1 The Kawasaki algorithm 139

of nearest-neighbour sites. The probability of selecting any particular pair

of spins at a given step of the algorithm is therefore g(n —» v) = 2/(zN).
The probability of selecting the same pair for the reverse move is exactly
the same. The ratio of the rates for the forward and reverse moves is then
required to satisfy Equation (3.3):

As we argued in Section 3.1, the most efficient way to satisfy this condition
is the choice given in Equation (5.11).
Implementing the Kawasaki algorithm is not complicated, but there are
one or two tricks worth noting. First, if we pick two spins which are pointing
in the same direction then clearly there is no point in exchanging their values,
since this would make no change to the state of the lattice. So it is worth
checking, before we calculate AE, whether the spins are indeed aligned with
one another. If they are, we can save ourselves some work by forgetting them
and going straight on to the next Monte Carlo step.
It is tempting, in fact, to think that we might improve the speed of
the algorithm by ignoring pairs of spins which are aligned and choosing
only amongst those pairs which are anti-aligned. This however would be a
mistake, because the number of such pairs can change when we make a move,
which means that the selection probabilities g(u —> v) and g(v —> u) for
moves in opposite directions would not be equal any more, and so would not
cancel out of Equation (5.12). Choosing our spins in this fashion would result
in an algorithm which does not generate states with the correct Boltzmann
probabilities.4
In theory calculating the energy difference A.E means calculating the
energies Eu and Eu of the system before and after an exchange and taking
their difference. As with the Metropolis algorithm however, most of the
spins on the lattice are the same in states u and v, and we can use this
fact to derive a formula for AE which does not involve summing over the
whole lattice. The derivation follows exactly the same lines as that for the
Metropolis algorithm in Section 3.1.1. We won't go through it in detail,5
but the end result is that

4
Actually, it is possible to create a correct algorithm in this way, but one has to be
quite crafty about it. And for equilibrium simulations there are, as we will shortly see,
better ways than this to improve the efficiency of our algorithm. For out-of-equilibrium
simulations, on the other hand, an approach which favours anti-parallel spin pairs can
prove useful. This point is discussed in Section 10.3.1. (See also Problem 5.1.)
5
The derivation appears at the end of the chapter as Problem 5.2.
140 Chapter 5: The conserved-order-parameter Ising model

FJGURE 5.2 Typical interface configurations at several temperatures.

From top left to bottom right the temperatures are T/TC=0.6, 0.7, 0.8,
and 0.9. The interface becomes fuzzier with increasing temperature
and at the same time the particle densities p- and p+ approach each
other.

Here k and k' are the two spins which we propose to exchange and the two
sums are carried out over all the nearest neighbours of each spin except the
two spins k and k' themselves. Notice that, like Equation (3.10) for the
Metropolis algorithm, this expression only involves the values of spins in the
initial state u and not in the final state v, which allows us to calculate the
change in energy without actually having to carry out the spin exchange.

5.1.1 Simulation of interfaces

As an example of the use of the Kawasaki algorithm, we show in Figure 5.2
a set of simulations of a two-dimensional system in the phase coexistence
regime in which the model separates into regions rich in particles and re-
gions rich in vacancies. In this case, we were particularly interested in the
behaviour of the interface between the two phases. In order to produce a
straight interface and to prevent it from wandering we have given the system
periodic boundary conditions only in the horizontal direction; at the top and
bottom boundaries of the system we have fixed the spins to point down and
up respectively so that the system divides into two domains with a clean
interface between them.
The simulations were performed at 50% particle density (or M = 0 in
Ising model terms) for a variety of different temperatures. As the figure
shows, the interface is quite smooth at low temperatures, but becomes in-
creasingly rough as the temperature of the simulation approaches Tc. A
typical quantity of interest in such simulations is the thickness of the in-
terface as a function of the temperature and system size. To quantify this
thickness we measure the average particle density p(y) as a function of the
5.2 More efficient algorithms 141

FIGURE 5.3 The average particle density p ( y ) as a function of y for

the four simulations shown in Figure 5.2.

coordinate y in the direction perpendicular to the interface. In Figure 5.3,

for example, we show the measured values of p ( y ) for the four temperatures
used in Figure 5.2. A common definition of the width of the interface is
the distance over which the particle density increases from p_ +1/10Apto
p- + Ap, where Ap = p+ - p_.
In fact, the Kawasaki algorithm is not a particularly efficient way of
simulating the equilibrium properties of the COP Ising model because the
particles in the model move diffusively around the lattice, which is a slow
way of reaching equilibrium. In the next section we develop a more efficient
algorithm for the model in which particles make non-local moves.

5.2 More efficient algorithms for the

COP Ising model
The speed of the Kawasaki algorithm is limited by its particular choice of
Monte Carlo move. Kawasaki spin-exchange moves can only move a particle
one lattice spacing at a time so that equilibration is by the diffusive motion
of particles, which can be a slow process if the particles need to travel a
long way. However, since we are not interested in the way in which we reach
equilibrium but only in the final result, there is no need to confine ourselves
to local Monte Carlo moves like this, and it turns out that we can do much
better by using non-local moves. The simplest non-local move would be one
in which we choose two lattice sites at random and exchange their spins,
142 Chapter 5: The conserved-order-parameter Ising model

again using a Metropolis-type acceptance ratio, Equation (5.11). Although

this algorithm is actually quite a good way of simulating the COP Ising
model, we can make it better still by a small change.
If we choose two spins at random there is a reasonable chance that they
will be pointing in the same direction, so that exchanging their values will
have no effect on the state of the system. For randomly chosen pairs the
probability of their being aligned is

which has a minimum value of1/2when p = 1/2. Thus we are always wasting
at least 50% of our moves doing nothing, and perhaps more, depending on
the particle density p. If instead of picking pairs at random we pick one
spin from the set of up-pointing spins and one from the set of down-pointing
ones and exchange their values (or alternatively, flip them both over, which
comes to the same thing) with a probability given by Equation (5.11), then
no time is wasted on aligned pairs. This gives us an immediate improvement
in efficiency by a factor of 1/(1 — p||), which is at least 2 and can become
arbitrarily large for p close to zero or one. The proof of ergodicity for this
algorithm follows exactly the same lines as for the Kawasaki algorithm, as
does the proof of detailed balance once we note that the selection probability
for every spin pair is the same, so that the factors g(u —> v) and g(v —> u)
cancel out of Equation (5.12) again.6
Implementation is a little more complex for this algorithm than it was for
the Kawasaki algorithm, since in order to pick an up-spin and a down-spin
we need to know where all the up- and down-spins are. Simply picking spins
at random and throwing them away if they don't have the desired direction
would not work—the resulting algorithm would be no more efficient than
the original one which we proposed. In order to achieve the full performance
gain of our new algorithm we must keep a list of all the up- and down-spins
and choose our pairs of spins at random from these lists. Luckily this is
quite simple to do. Since the number of up- and down-pointing spins does
not change during the simulation, two arrays of fixed length can store the
two lists, and when the values of two spins are exchanged, we also exchange
their entries in these lists. The computational overhead incurred in doing
this is relatively small,7 and the gain in efficiency of the algorithm certainly
justifies the extra work involved.
This non-local spin-exchange algorithm is already a huge improvement
on the Kawasaki algorithm. For example, we find that the equilibration of
6
Note that this algorithm obeys the condition of detailed balance perfectly well, even
though, as we pointed out in Section 5.1, the equivalent local algorithm, in which we
choose at random amongst only those pairs of nearest-neighbour spins which are anti-
aligned, does not.
7
See the sample program given in Appendix B.
5.2 More efficient algorithms 143

an interface simulation like the ones depicted in Figure 5.2 requires about
1/40 as many Monte Carlo steps with the new algorithm as it does with the
Kawasaki one. One reason for this is the non-diffusive nature of the particle
motion. Another is that the non-local update move always picks pairs of
spins which are anti-aligned. The Kawasaki algorithm, as we have pointed
out, sometimes picks pairs which are aligned and thereby wastes time. As it
turns out, in fact, the Kawasaki algorithm picks such aligned pairs almost
all of the time when we are in the phase coexistence regime, which makes
it quite inefficient. A glance once more at Figure 5.2 reveals the reason for
this: the Kawasaki algorithm only selects adjacent pairs of spins, but most
adjacent pairs of spins are pointing in the same direction when we are in
the coexistence regime. To be fair however, the non-local algorithm is more
complicated to program and in our implementation we find that a single step
requires about twice as much CPU time as in the Kawasaki case. Even in
terms of CPU time however, the new algorithm is still a factor of 20 faster
than the Kawasaki algorithm.
Our non-local algorithm is still far from perfect however. The main prob-
lem with it is the perennial one of the acceptance ratio. If the acceptance
ratio is low, we are wasting a large portion of our CPU time selecting pairs
and then failing to exchange their values. In the simulations of interfaces
described above, for example, we find that at T = 0.8TC the average ac-
ceptance ratio for the exchange of a pair of anti-aligned spins is only about
3%.
It would be satisfying if we could find an algorithm which only considered
the exchange of anti-aligned spin pairs but had a higher acceptance ratio
than this, perhaps even an acceptance ratio of one. It turns out that we
can achieve this goal by using the continuous time Monte Carlo method
described in Section 2.4.

5.2.1 A continuous time algorithm

The basic prescription for turning our non-local algorithm into a continuous
time one is to ignore all moves which do not change the state of the system
(which in this case means those which involve the exchange of two spins
which are pointing in the same direction) and choose between the remaining
moves in proportion to their mean rates P(u —> v). These rates are dictated
by the condition of detailed balance:
144 Chapter 5: The conserved-order-parameter Ising model

In order to derive a general expression for the energy change Ev — Eu it is

helpful to define the spin coordination number for site i

where <ij is the Kronecker <5-symbol, which is 1 when i = j and zero other-
wise. The spin coordination number is the number of nearest-neighbours of
site i which have spins pointing in the same direction as Si, i.e., the number
of satisfied bonds between the spin on site i and its neighbours. The change
in the total energy when we update a spin at site i is then just — 2 J times
the change in the number of satisfied bonds, or —2J(nv i - nu i )), where nui
and nvi are the values of ni in the states u and v. The energy change on
exchanging two spins i and j is

Although it is not immediately obvious, this in fact is the appropriate gener-

alization of Equation (5.13) to the case of non-local update moves. Plugging
this into Equation (5.15) and rearranging a little, we get

As we stressed in Section 2.3, detailed balance conditions such as this one

only tie down the ratio of the rates for forward and backward moves, and not
the rates themselves. But this equation does suggest a very simple choice
for the rates:

This choice is particularly elegant because it depends only on the initial state
of the lattice u and not on the final one, and also because it factorizes into
a product of two terms, one for each of the two spins involved. As we will
see in a moment, this simplifies the implementation of our algorithm.
Using this choice, our continuous time Monte Carlo algorithm is now as
follows. We choose an up-pointing spin i at random from all the possible
choices with probability proportional to e-2BJnui and a down-pointing spin j
with probability proportional to e- 2BJnui . The joint probability of choosing
the two is then given by Equation (5.19). Then we simply exchange the
values of the two spins. In order to ensure that detailed balance is preserved
we must also add an amount

to our time variable for each move we perform (see Equation (2.19)). Av-
erages over the measured values of observable quantities then become time
averages, with states weighted in proportion to the time At spent in them.
5.3 Equilibrium crystal shapes 145

In practice, implementation of the algorithm involves creating separate

lists of spins, divided according to whether they are pointing up or down,
and by their spin coordination number. Suppose there are mn up members
of the list of n-coordinated up-pointing spins, and mdown members of the
list of n-coordinated down-pointing spins. Making a move involves choosing
an up-pointing spin by first selecting at random one list of up-spins with
probability proportional to mn e- 2BJn and then choosing one of the spins in
that list uniformly at random. We also choose a down-pointing spin in the
same way from the lists of down-spins and then we exchange the two. To
calculate the value of At, we substitute Equation (5.19) into Equation (5.20)
to get

(to within a multiplicative constant).

To compare the efficiency of this continuous time Monte Carlo algorithm
with the previous two algorithms, we again turn to the simulation of an
interface in two dimensions. Simulating the same systems as before, we find
that the continuous time Monte Carlo algorithm requires about1/40as many
moves as our earlier non-local algorithm to bring the system to equilibrium,
and about1/1500as many moves as the Kawasaki algorithm. However, the
continuous time algorithm is quite complicated to implement, and involves
a lot of extra operations to keep track of the values of the sums appearing
in Equation (5.21).8 In our implementation each move of the continuous
time algorithm takes about 20 times as much CPU as the simpler non-
local algorithm and 40 times as much as the Kawasaki algorithm. Thus our
overall gain in computational efficiency is about a factor of two compared
with the non-local algorithm, and a factor of 40 compared with the Kawasaki
algorithm.

5.3 Equilibrium crystal shapes

In the investigations of phase interfaces in Section 5.1.1, we kept our inter-
faces more or less straight by using a 50 : 50 ratio of particles to vacancies
and by our choice of boundary conditions, with rows of fixed spins along the
top and bottom of the lattice. These choices were appropriate for studying
that particular problem, but the COP model behaves very differently if we
use other densities of particles and other types of boundary conditions. For
instance, on a two-dimensional lattice with periodic boundary conditions
and a relatively small density of one of the two spin states, we find that
8
Again, see the sample program given in Appendix B.
146 Chapter 5: The conserved-order-parameter Ising model

the preferred state of the model in the phase coexistence regime is one in
which most of the particles in the system coalesce into a single domain or
droplet which is usually approximately circular in shape. The reason is that
the interface between domains of up- and down-pointing spins is energeti-
cally costly—the total energy of the system increases by 2 J for every pair
of anti-aligned nearest-neighbour spins along the interface. In effect, there
is a surface energy or surface tension at the boundary of our droplet.9
The system can therefore reduce its energy by reducing the length of the
boundary. The lowest surface to area ratio in two dimensions is achieved
when the droplet is a circle,10 although, as we will see, it never actually
takes this shape in practice because of the effects of the lattice.
Crystals display similar behaviour as they crystallize, choosing a shape
which reduces their surface energy. In the limit of a large crystal this pre-
ferred shape is called the equilibrium crystal shape or ECS. In 1901
Wulff invented a geometrical construction for calculating equilibrium crystal
shapes from a knowledge of the way in which the surface tension varies with
the orientation of a surface. His construction shows that the ECS is indeed
a circle (or a sphere in three dimensions) if the surface tension is isotropic.
Because of the underlying crystal lattice, however, the surface tension is not
isotropic and for real crystals the ECS is at best only approximately circu-
lar. Unfortunately, the orientation dependence of the surface tension is only
known exactly in a very few cases, so that it is usually not possible to apply
the Wulff construction to calculate the ECS. Instead we turn to Monte Carlo
methods.
In order to perform a truly accurate calculation of an equilibrium crys-
tal shape we would need to simulate in detail the interactions between the
molecules in a solidifying solid. This however is not an easy thing to do.
So instead many people have turned to the conserved-order-parameter Ising
model as a simple model of the processes taking place. Like the real physi-
cal system, the COP Ising model shows "crystallization" in which particles
coalesce out of the "melt" onto a regular crystalline lattice, and it possesses
a surface tension which is orientation-dependent, giving rise to non-trivial
equilibrium crystal shapes. It is true that the details of the interactions be-
tween the particles in our Ising model are very different from those in the
true crystal, so we do not expect the model to give an accurate quantitative
prediction of a real ECS, but, as with our earlier simulations of interfaces,
the study of the COP Ising model can nonetheless shed light on the sort of
processes taking place when a crystal solidifies.
9
For simplicity we will use the three-dimensional term "surface tension" to refer to this
phenomenon in both two and three dimensions, although in two dimensions it is strictly
more correct to call it "line tension".
10
Strictly, this is only true if the density p of particles is sufficiently low or sufficiently
high. See Problem 5.3 for an exploration of this point.
5.3 Equilibrium crystal shapes 147

FIGURE 5.4 Typical droplet configurations at T/TC = 0.25 (left) and

T/TC = 0.5 (right). At low temperatures the boundary of the droplet
is quite sharp and the droplet's shape resembles a square. With in-
creasing temperature the boundary becomes fuzzier and the droplet's
shape becomes round.

In order to carry out a Monte Carlo simulation of an equilibrium crystal

shape we could start off by placing a certain fraction p of particles (i.e., up-
pointing spins) at random on a lattice and allowing them to move about
under the action of any one of the algorithms described in the earlier sections
of this chapter at a temperature T below Tc, until they coalesce into a single
domain. It turns out however, that it is a lot quicker to start them off in
a single domain (say a square on a square lattice) and "warm them up" to
temperature T. In Figure 5.4 we show two different droplet configurations
from simulations of this kind for a two-dimensional COP Ising model11 at
two different temperatures below Tc. As we can see, the droplet remains
rather square at low temperatures, but becomes rounder as T increases.
To get a more quantitative estimate of the ECS, we can run our simula-
tion for a longer time, record the shape of the droplet at intervals and then
take an average over the shapes found. Unfortunately, even if we start the
droplet at the centre of the lattice, it has a tendency to drift away during
the simulation, so in order to average the shapes correctly we translate them
first so that their centres of mass coincide.12 The average itself simply in-

11
We illustrate the method using a two-dimensional system for clarity. At the end
of this chapter we also give some results for three-dimensional systems. However, the
two-dimensional results are not purely academic. In fact, the two-dimensional COP Ising
model is quite a good approximation to the behaviour of adsorbed atoms on the surfaces'
of metals, and in certain temperature regimes one does indeed find droplets or islands of
adatoms which look very similar to the ones depicted in Figure 5.4. This point is discussed
further in Chapter 11.
12
In fact, our system has four-fold rotational symmetry and inversion symmetry on the
148 Chapter 5: The conserved-order-parameter Ising model

FIGURE 5.5 Equilibrium crystal shapes as a function of temperature

on a square lattice (left) and a hexagonal one (right). The outermost
droplet shapes correspond to inverse temperatures of BJ = 9.3 in each
case. Going inwards, the values of B for the other shapes are factors of
2, 3, 4, 5 and 6 lower. To make the figure clearer we have rescaled the
overall size of the droplets so that the different curves do not overlap.

volves taking the mean of the particle density over all our measurements as
a function of position. At the centre of mass itself this mean takes a value
close to p+ (see Equation (5.10)) and it remains roughly constant until we
approach the droplet interface, at which point it falls quickly towards p-.
We define the edge of the droplet to be the point at which the density is
equal to 1/2.
As an example of this kind of calculation we show in Figure 5.5 measure-
ments of the average ECS of droplets on square and triangular lattices in
two dimensions. In these calculations we used the continuous time Monte
Carlo algorithm of Section 5.2.1, which again proves significantly faster than
either the Kawasaki algorithm or the non-local algorithm we introduced in
Section 5.2.
We can also use the Monte Carlo method to study the ECS of three-
dimensional systems. (Real crystals are after all three-dimensional.) The
behaviour of the ECS is richer in three dimensions than in two. In two di-
mensions the sides of the droplet are flat at zero temperature, but become
rounded for all finite temperatures. In three dimensions the story is more
complicated. On a cubic lattice for instance, the ECS is a cube at T = 0,
just as we would expect. As we raise the temperature above zero, the corners
and edges of the cube become rounded, but the droplet still has flat facets.

square lattice (the symmetry group is C4), so we can reduce the errors on our average
by using each droplet configuration eight times over in each of its symmetry equivalent
orientations.
5.3 Equilibrium crystal shapes 149

FIGURE 5.6 Schematic depiction of the equilibrium crystal shape for

the COP Ising model on a cubic lattice at zero temperature (left) and
at a non-zero temperature below the roughening temperature. Above
the roughening temperature, the flat facets disappear.

Only when we reach a certain higher temperature, the so-called roughening

temperature TR, which is approximately half the critical temperature, do
these facets disappear. This disappearance is called the roughening tran-
sition of the COP Ising model. In Figure 5.6 we give a schematic drawing of
the ECS of a cubic system at zero temperature and at non-zero temperature
below the roughening temperature. Above the roughening temperature, the
droplet looks like a deformed sphere but has no flat surfaces.
The behaviour of equilibrium crystal shapes becomes richer still on more
complex lattices and with the introduction of next-nearest-neighbour inter-
actions. For example, Jayaprakash and Saam (1984) have studied the ECS
on a face-centred cubic (fcc) lattice using a COP Ising model with both
nearest- and next-nearest-neighbour interactions. In Figure 5.7 we show the
ECS of the fcc crystal at zero temperature with only nearest-neighbour ferro-
magnetic interactions, and the ECS when small ferromagnetic next-nearest-
neighbour interactions are also included. In the absence of next-nearest-
neighbour interactions, the sharp corners of the ECS disappear as soon as
the temperature becomes non-zero, but the facets persist up to a roughen-
ing temperature TR, just as they do in the cubic case. Again TR is about
half the critical temperature. In the presence of ferromagnetic next-nearest-
neighbour interactions, extra (110) facets appear which have a roughening
temperature different from that of the (111) facets. With anti-ferromagnetic
next-nearest-neighbour interactions, the corners disappear for all T > 0, but
the edges do not disappear until we reach the melting point Tc.
150 Chapter 5: The conserved-order-parameter Ising model

FIGURE 5.7 Equilibrium crystal shape of the COP Ising model

on a face-centred cubic lattice at zero temperature without next-
nearest-neighbour interactions (left) and after the introduction of
small ferromagnetic next-nearest-neighbour interactions (right). Af-
ter Jayaprakash and Saam (1984).

Problems

5.1 As we pointed out in Section 5.1, the variant of the Kawasaki algorithm
in which we choose only among the anti-aligned nearest-neighbour spin pairs
does not sample the Boltzmann distribution correctly. There is however a
correct generalization of the Kawasaki algorithm which favours anti-aligned
pairs and is more efficient than the standard algorithm when the density
of particles p is far from 1/2. In this variant, we choose at random a spin
of the minority type (up or down, particle or vacancy) and then choose
at random one of its neighbours, and exchange the values of the pair with
the Metropolis acceptance ratio, Equation (5.11). Prove that this algorithm
satisfies the conditions of ergodicity and detailed balance. Why is it more
efficient than the standard Kawasaki algorithm?
5.2 Derive Equation (5.13).
5.3 Consider a COP Ising system on an L x L square lattice in two dimen-
sions with a density of particles p. Calculate the total length of interface
in the system (in terms of number of unsatisfied bonds) if (a) the parti-
cles coalesce into a single droplet and (b) they form a band with straight
interfaces which stretches all the way across the system and wraps around
the boundary conditions. Hence show that the droplet is not the preferred
configuration of the system below Tc when1/4< p < 3/4.
6

Disordered spin models

In the previous few chapters of this book we have studied a variety of dif-
ferent Monte Carlo algorithms for simulating the Ising model under various
conditions. In Chapter 3 we looked at the Metropolis algorithm, as it ap-
plies to the Ising model, and in Chapter 4 we looked at a number of other
algorithms, most of which are designed to simulate the model more effi-
ciently in the critical region, the region near the phase transition between
paramagnetism and ferromagnetism. In the last chapter, we looked at a
slight variation on the Ising model theme, the conserved-order-parameter
Ising model, which can be used as a model of a gas, or of atoms diffusing on
a surface. As we have seen, for different regimes of temperature or different
variations of the model, different algorithms are appropriate. The trick is
to tailor the algorithm to the type of problem we wish to tackle. However,
all the algorithms we have seen so far eventually boil down to one thing:
they generate a series of states, a Markov chain, in which each state is de-
rived from the previous one in the chain, and attempt to contrive that each
should appear with a probability proportional to its Boltzrnann weight. In
this chapter, for the first time, we will come across systems for which an
approach of this kind doesn't work. The problem, as we will see, is that for
some systems, the so-called glassy systems, algorithms of this kind tend to
get stuck in small regions of the state space from which they cannot escape.
The reason for this is two-fold. First, the fact that each state is generated
from the previous one in the chain means that there is a sense in which
states are "close together". There are states which it is easy to get to from
the present one in a small number of moves, such as states which differ by
the flipping of just a few spins for a single-spin-flip algorithm, and there are
other states which you can only get to by making a large number of moves.
Even for algorithms such as the Swendsen-Wang algorithm of Section 4.4.1,
which can in principle get from any state to any other in a single move, some
152 Chapter 6: Disordered spin models

states are much more likely to be generated from a given starting state than
others, even though the states may have the same energy. The result is that,
for almost all algorithms, there are pairs of states between which the only
probable (or possible) routes are via a large number of intermediates. This
in itself would not be a problem—all of the algorithms we have described
for the Ising model have this property, and yet all of them work acceptably
well, at least in some temperature regimes. For the glassy systems we will
be interested in in this chapter however, it is a problem because the state
spaces of these systems contain metastable "basins" in which all the states
have relatively low energy, surrounded by states with much higher energy.
In order to escape from such a basin, our Monte Carlo algorithm must pass
through one of these states of higher energy. But if the algorithm samples
states according to their Boltzmann weights, then the chances that it will
ever make a move to one of these high-energy states is exponentially low, and
so, at least at low temperatures, the algorithm gets stranded in the basin.
We will have to wait a very long time indeed before it finds its way across
the "energy barrier" into the world outside.
In fact, the existence of metastable energy basins is not unique to glassy
models. For example, the normal Ising model of Chapters 3 and 4 also
possesses such basins. Below the critical temperature, the Ising model has a
spontaneous magnetization (see Section 3.7.1) so that a significant majority
of its spins point in one direction or the other. In order to invert this
spontaneous magnetization from (say) up to down, we must create a domain
of down-spins amongst our up-pointing majority and grow it until it fills the
entire system. It is not difficult to see that this implies that at some point we
must have at least two domain walls between up- and down-spins which are
of dimension at least the size L of the system. The cost of such a pair of walls
is at least 4JL d-1 , where d is the dimensionality of the system. This then is
the energy barrier which must be crossed in order to invert the magnetization
of the system. Since the probability of sampling a state with this energy is
a factor of exp(—4BJL d - 1 ) smaller than the chance of sampling a low-lying
state of the system, the time to cross this barrier becomes exponentially long
as the size of the system grows. We see an exactly similar exponential slowing
down with system size in glassy models as well, and in fact this behaviour
is often taken as definitive of a glassy system. What then is it that tells us
that the Ising model is not a glassy system? The answer is that the two
energy basins in the Ising model are symmetry equivalent—each state in
one of them corresponds to a state in the other which has exactly the same
spin configuration, except that each spin is inverted. This means that it
does not matter which basin we are in below the critical temperature—we
will get exactly the same answer for all measured properties of the system,
except for a possible symmetry operation (such as the change of the sign
of the average magnetization). By contrast, the basins in a glassy model
6.1 Glassy systems 153

are not related by any symmetry operations, so that making measurements

in just one of them does not normally give us a good idea of the typical
behaviour of the system. If we perform several different simulations of a
glassy system, it may get stuck in different energy basins each time and
give completely different answers for the measured properties of the model.
This phenomenon is called "ergodicity breaking" and we discuss it further
in Section 6.2 when we consider simulation techniques for glassy systems.
As we argue there, if we wish to gain a good picture of the behaviour of a
glassy model, we need to find an algorithm which will sample states from a
number of different basins, and this means finding one which does not get
stuck.
There are two common ways of tackling this problem. The first is to
use an algorithm which samples high energy states with greater than the
appropriate Boltzmann weight, making the system more likely to cross en-
ergy barriers. This technique is employed in the entropic sampling method,
which we describe in Section 6.3. The other alternative is to generate states
in a way which allows the system to jump to very different configurations in
a single step, rather than making it pass through a whole set of intermediate
states. In this way it is possible to skip over the high-energy barrier states
altogether. This idea is the foundation for the technique of simulated tem-
pering, which we discuss in Section 6.4. Before we come to the algorithms
however, let us introduce some models which exhibit glassy behaviour.

6.1 Glassy systems

Glassy systems have presented statistical physics with some of its tough-
est challenges. Many of the physics world's brightest minds have studied
these problems at various times, but there remain many secrets still to be
uncovered. The most familiar glassy system for most of us is glass itself,
although a physicist's definition of what constitutes a glass encompasses
many other systems, including amorphous substances, metallic glasses and,
as we shall see in this chapter, disordered spin models. The common factor
connecting these systems is some sort of randomness in their composition.
Ordinary window glass, for example, is not a solid like steel; it doesn't de-
rive its rigidity from a crystalline lattice. Instead its atoms are arranged in
a largely random fashion and they are, at least in principle, free to move
past one another just like the atoms of a liquid. The reason that they don't
is that, because of the nature of the interactions between them, there are
large energy barriers which the atoms have to cross in order to move, and
the probability of crossing such a barrier decreases exponentially with falling
temperature. If we raise the temperature of the system, we can increase this
probability, and indeed glass does flow as a liquid if you heat it up enough.
But at normal temperatures the time taken for the atoms in the glass to
154 Chapter 6: Disordered spin models

move is so long that, for all practical purposes (such as building houses),
we can consider it to be solid. The temperature at which the glass becomes
solid is known as the glass temperature, usually denoted Tg. In fact, it
is still a matter of debate whether this transition is a sharp one, like the
phase transitions we saw in the last few chapters, or whether it occurs over
a range of temperature even when the system is cooled infinitely slowly. For
our purposes however, it is enough to note that there are temperatures suf-
ficiently low that the dynamics becomes problematic, and others which are
high enough that it doesn't.
In this chapter we will not be considering real glass. Real glass is a
fantastically difficult system to study, and even after many decades of work
its properties are not at all well understood. So instead, in order to get a
handle on the basics of the problem, a number of simpler model systems
have been developed which show many of the same features but which are
mathematically easier to cope with. Here we will describe briefly two such,
both of them variations on the Ising model of the previous chapters.

6.1.1 The random-field Ising model

The random- field Ising model is a model consisting of Ising spins Sj = ±1
on a lattice. Its Hamiltonian differs from that of the normal Ising model by
the addition of a random field term. The full Hamiltonian looks like this:

Here, just as before, the notation (ij) means that the sum runs over pairs
of spins i, j which are nearest neighbours, and the variables hi are random
fields, local magnetic fields which each act on just one spin on the lattice,
and whose values are chosen at random. There are many ways in which the
random fields could be chosen. The simplest case, and the only one which
has been studied in any detail, is the case in which their values have mean
zero and in which the values on different sites are uncorrelated—they are
independent random variables. Variously they are chosen to have a Gaussian
distribution with some finite width a, or to have values randomly ±h where
h is a constant, or any of a variety of other possible alternatives. To a large
extent the interesting properties of the model are believed to be independent
of the exact choice of distribution (another consequence of the phenomenon
of universality discussed in Section 4.1). However, to be definite about it,
let us suppose that the fields hi are chosen from a Gaussian distribution:

The width a of the Gaussian is often called the "randomness" , since it mea-
sures how big the typical random fields are.
6.1 Glassy systems 155

Strictly speaking the random-field Ising model is not a true glassy system.
As discussed below, its slow equilibration arises as a direct result of the
onset of ferromagnetism below Tc, so that it doesn't really have a glass
temperature, only a critical temperature.1 However, for the purposes of
Monte Carlo simulation we may as well consider it in the same category as
the true glasses, since it presents all the same problems that true glasses
do. The model also has the nice property that it is particularly easy to
see how the large energy barriers arise which make simulation hard at low
temperatures.
Consider first the ordinary Ising model, familiar to us from Chapters 3
and 4 of this book. As we know, in two or more dimensions this model pos-
sesses a critical temperature Tc above which it is paramagnetic and below
which it is ferromagnetic, possessing some spontaneous, non-zero magnetiza-
tion, either up or down. Imagine doing a Metropolis Monte Carlo simulation
with single-spin-flip dynamics in which we cool the Ising model down quickly
from some high-temperature state (all spins random, for instance) to a tem-
perature below Tc. What we see is depicted in the frames of Figure 6.1.
Quite quickly there form domains of moderate size in which all the spins are
either up or down and as time progresses the smallest of these domains shrink
and vanish, closely followed by the next smallest, until eventually most of
the spins on the lattice are pointing in the same direction. The reason for
this behaviour is that the domains of spins possess a surface energy—there
is an energy cost to having a domain wall which increases with the length
of the wall, because the spins on either side of the wall are pointing in op-
posite directions. The system can therefore lower its energy by flipping the
spins around the edge of a domain to make it smaller (and its wall shorter).
Thus, the domains "evaporate", leaving us with most of the spins either up
or down.2
However, the story is different when we come to the random-field Ising
model. First of all, the random-field Ising model doesn't actually possess
a phase transition in two dimensions, so Figure 6.1 is not really valid in
this case. If we go to three dimensions it does have a transition and it is
ferromagnetic below its critical temperature Tc, but the physics of the model
is nevertheless very different from that of the normal Ising model. In the
random-field model domains still form in the ferromagnetic regime, and there
is still a surface energy associated with the domain walls, but it is no longer
always possible to shrink the domains to reduce this energy. For each spin
in a random-field Ising model, the random field acting on it means that the
1
Also unlike true glassy systems, it usually has a unique ground state and doesn't
possess a residual entropy in the limit T —> 0. However, this is all rather beside the point
for our purposes.
2
These and other processes involved in the equilibration of the normal Ising model are
discussed in greater detail in Chapter 10.
156 Chapter6:Disorderedspinmodels

FIGURE 6.1| When the normal Ising model is coded from an initial
high t e m p e r a t u r e state to a low temperature one (T = 1.2J in this
casej. we see domains of aligned spins f o r m i n g which one by oneevap-
orate, leaving the latice with most of i|ts spins pointing in the same
direction.

spin has a preferred direction. Furthermore. at occasional sites there will be

a very large local field /, pointing in one direction, up say. whirl] means that
the corresponding spin will really want, to point up and it will cost the system
a great deal of energy if it is pointing down. Suppose now that a domain
shrinks by moving its domain wall until one part of the wall encounters such
a spin. If we want, to move our wall beyond this point, we are going to have
to Hip this spin. Although in the long run this may he an advantageous
thing to do. in the short run it is a very unlikely event: the acceptance ratio
for flipping this spin contains a factor exp(-2B|hij), which is a very small
number if |h,| is large. We say that the domain wall is pinned by the local
field: it is prevented from moving by an energy barrier produced by the large
random field. Such energy barriers make the Metropolis simulation of the
random-field Ising model very time-consuming and severely constrain the
sixes of the systems we ran study. (Notice however, that this only applies
below T. As we pointed out above, the critical temperature plays the role
of the glass temperature for the random-field Ising model.)
You might well object to the argument we have given here, saying that the
problem only arises because we have chosen to do single-spin-flip dynamics.
What, if instead we flipped groups of spins at a time, as we did in the chistcr-
flipping algorithms of Chapter 47 This is a good point. However, as it. turns
out it doesn't make much difference. One might t h i n k that if we wen to
6.1 Glassy systems 157

flip, say, clusters of eight spins (in the three-dimensional case), we could get
around the problem because if one of the local fields in the cluster had a large
value in one direction, there is good chance that others would have opposite
values and cancel it out, so that the overall cost in energy of flipping the
spins in the cluster would be small. Unfortunately, this is not the case. The
overall energy change when we flip the spins in a cluster depends on the sum
Ehi of the local fields in the cluster, which is also a random variable.3 We
can repeat the argument we made above for this new variable to show that
if we flip groups of eight spins, the domain walls can still become pinned
at places where the sum of eight local fields is unusually large, and so the
acceptance ratio will still become exponentially small.
One possible way around this problem is to consider flipping clusters on
all different length-scales. If a certain region of spins is pinned because the
sum of the local fields is of unusually large magnitude, it may be that when
we consider that region as part of a larger one, the local fields cancel out
and the acceptance ratio becomes reasonable again. Or conversely, perhaps
it might help to break the pinned region up into smaller ones, some of which
could be quite easy to flip, even though the whole region is not. Newman and
Barkema (1996) came up with a cluster-flipping algorithm of this kind for
the random-field Ising model, based loosely on the Niedermayer algorithm
of Section 4.4.2. However, their algorithm is tailored very much to the
particular problems of the random-field model and does not work well for
other glassy spin models. In this chapter we want to concentrate instead on
universal algorithms which are good for a wide variety of systems.

6.1.2 Spin glasses

Another variation on the Ising model theme which shows glassy behaviour
is the Ising spin glass. An Ising spin glass is an Ising model in which the
value of the spin-spin interaction J varies randomly from bond to bond. In
general, to get glassy behaviour there must be both positive and negative
interactions in the system. If only positive ones are present, for example,
the model is not glassy. The simplest and best studied Ising spin glass is the
one described by the Hamiltonian

where the variables Jij are the random bond strengths. This model is
one particular instance of the general class of models known as Edwards—
3
In fact, the central limit theorem tells us that it will be a Gaussianly distributed
random variable, regardless of the distribution of the underlying random fields. Coupled
with renormalization group arguments it is this fact which tells us that the properties of
the model should not depend on the distribution we choose for the random fields.
158 Chapter 6: Disordered spin models

Anderson spin glasses (Edwards and Anderson 1975). Various choices for
J have been investigated. A common one is to choose Jij — ±1 randomly
for each bond on the lattice. Another is for the bond strengths to be un-
correlated Gaussian random variables with mean zero, just as our random
fields were in the last section.
It is less clear in the case of this spin glass than it was in the case of
the random-field model why there are energy barriers in the system—why
getting from one state to another may require you to go through intermediate
states with much higher energies. However, we can see that there can be
states with very different spin configurations which have similar low energies,
since we know that we can get from any state of the lattice to any other by
flipping one or more clusters of nearest-neighbour spins. Except under very
unusual circumstances, it should be possible to find a set of such clusters
for which the sum EJij of all the interactions around their surfaces adds
up to a number less than or close to zero. In this case, we can get from our
low-energy state to another with comparable or lower energy just by flipping
this set of clusters. However, if we now try to get from one of these low-
energy states to the other using, for example, the single-spin-flip Metropolis
algorithm, we get exactly the same problem as we did in the random-field
case. Getting from the first state to the second involves flipping in turn each
spin by which they differ and it is very likely that one or more of the spins
will be unwilling to flip, because the bonds joining it to its neighbours are
unusually strong. In effect, there is an energy barrier between the two states
and the time-scale for our Monte Carlo simulation to get from one side of the
barrier to the other will be exponentially long, which makes the simulation
of large, or even moderate-sized spin glass systems prohibitively slow. As
we pointed out before, we can always overcome the barriers in the system if
we make the temperature high enough. But when kT falls below the height
of the largest barriers in the system we lose ergodicity and things become
difficult. This is the glass transition which we spoke of in Section 6.1, which
occurs around the glass temperature Tg, and we will assume in this chapter
that it is in this low-temperature regime that we are interested in simulating
the model.

There is one more point which is worth making before we go on to talk

about algorithms: both the random-field Ising model and the Edwards-
Anderson spin glass exist in real life. They are not just theoretical inventions.
There are real magnetic substances which show the critical properties of each
of these systems, which makes studying the models worthwhile in its own
right, in addition to shedding light on other glassy systems. To readers
interested in learning more about glassy spin systems we recommend the
book Spin Glasses by Fischer and Hertz (1991), which gives a clear account
of both theoretical results and experimental data.
6.2 Simulation of glassy systems 159

6.2 Simulation of glassy systems

Before we get into the details of algorithms for the Monte Carlo simulation
of glassy systems, we need to consider exactly what it is we want to do
with our simulation. Real spin glasses are presumably passing continually
through large numbers of states, each of which appears with its appropriate
Boltzmann weight. If however, as we have argued above, these systems
require exponentially long times to get over the energy barriers posed by the
randomness in their Hamiltonians, then presumably this phenomenon will be
visible in their measured properties. The effect we are talking about is called
ergodicity breaking. As discussed in the introduction to the chapter, the
system fails to sample all states possessing the same energy with the same
probability, because it simply can't get to some of them during the course
of an experiment. There are energy barriers in the system so high that the
system is not likely to cross them in a minute, or a year, or a century. We can
observe the system in our laboratory for as long as we like and still find it in
the same basin of low energy states, never getting beyond the surrounding
energy barriers to sample other portions of its state space.
Thus we should not necessarily count it a failing of a Monte Carlo algo-
rithm if in simulating a glassy system it too gets stuck in an energy basin
and does not sample the whole of the state space. Perhaps this is exactly
what we want it to do in order to mimic the real system. However, there
are a number of problems with this interpretation. The first is that both
the nature of the energy barriers and the regions that a Monte Carlo algo-
rithm will sample depend on the particular dynamics of the algorithm. As
we pointed out in Section 6.1, cluster algorithms for the random-field Ising
model may be able to get over energy barriers which the Metropolis algo-
rithm cannot, for example. Thus the subset of states which get sampled, and
therefore the observed value of any particular quantity (like the magnetiza-
tion or the specific heat of the model), depend on the particular algorithm
we use. This is clearly unsatisfactory: there is no way the different answers
given by different algorithms can all agree with the results of our laboratory
experiments, and how are we to know which algorithm is right and which
is wrong? It is much better to find some observable property of our model
which is independent of the algorithm we use, so that we are free to choose
any algorithm we think will be efficient, without worrying about whether it
is the "right one".
Another problem concerns the particular values of the random interac-
tions in the Hamiltonian—the realization of the randomness, as it is com-
monly called. The measured properties of any finite system are clearly going
to depend on how we choose these values. For some models this variation
averages out as the size of the system becomes larger, although for some it
does not. (The system is then said to be non-self-averaging.) However,
160 Chapter 6: Disordered spin models

even in the cases where it does, it proves so hard to simulate glassy systems
that we rarely get around to systems large enough for this to be a factor.
As well as these problems, there is an additional one that a glassy system
is history dependent, which means that even for a given algorithm and a
given realization of the randomness the simulation can give different results
just because we start it in a different spin configuration, or with a different
random number seed (see Section 16.1.2). Depending on how we start the
simulation, the system can find its way into different energy basins, and
so give entirely different measurements of the magnetization or any other
parameter.
In order to avoid these various problems, calculations and simulations
of glassy systems tend to concentrate on average properties of the systems.
In particular we are usually interested in the values of quantities averaged
over many different realizations of the randomness, and in thermal averages
over the whole of phase space (to get around the problems of ergodicity
breaking and history dependence). In some sense this is rather unrealistic.
Real glassy systems are single realizations of the randomness which certainly
display both ergodicity breaking and history dependence. However, we can
cope with this by performing experiments on many different samples of a
spin glass (or one large sample, for systems which are self-averaging), or by
heating and cooling our samples to coax them into different basins of low
energy, and the advantages of having well-defined physical properties which
are independent of dynamics and starting conditions (and which therefore
allow us to compare simulation and experiment) are great enough to make
it worthwhile.4 As far as the simulation of glassy spin systems is concerned
then, what we want to find is an algorithm which can sample over the whole
of the state space without getting stuck in the metastable regions formed
by local basins of low energy. We will also want to perform our simulation
many times with different realizations of the randomness and average over
the results. This second step is trivial (although it can be time-consuming),
but the first—creation of the algorithm—is a problem which has puzzled
physicists for decades.

4
There are some glassy systems for which this is not the case. A good example is the
folding of proteins. Although at first it may not be obvious, the dynamics of this problem
is glassy in nature. But in proteins the realization of the randomness (which depends
on the sequence of amino acids), the starting conditions (which depend on the protein
translation mechanism, as well as the possible presence of "helper enzymes" which aid
the initial folding of the protein), and the kinetics of the folding process—the "algorithm"
which the protein uses to fold—are all very important in determining the conformation of
the protein. It would be quite wrong in this case to concentrate on properties which are
independent of these factors, since the measurement of interest is the final (folded) state
of the protein, rather than any thermally averaged quantity like an internal energy or a
specific heat.
6.3 The entropic sampling method 161

6.3 The entropic sampling method

The first algorithm we will study is the entropic sampling algorithm
invented by Lee (1993). The method is actually charmingly simple, although
getting it to work for any particular model can take some effort. The basic
idea, as we hinted at the beginning of this chapter, is to sample from a
distribution other than the Boltzmann distribution. Equation (2.2), which
we repeat here for convenience

tells us that we can in fact sample states from any probability distribution
pu and still get an estimate QM of the observable Q which we are interested
in, provided we divide out the sampling distribution and then multiply by
the Boltzmann weights e- BEu . In the algorithms we have seen so far in
this book, we chose the probabilities pu to be the Boltzmann weights, which
meant that everything cancelled out nicely in Equation (6.4) and we were
just left taking the average over our measurements Qui to get an estimate
of Q. This is a very convenient route to take in most cases but, as we have
argued above, it is doomed to failure in the case of glassy systems. So, as an
alternative, Lee proposed that we sample from a new distribution denned as
follows. Let p(E) dE be the number of states of our system in the interval
between E and E + dE. The quantity p(E) is the density of states for the
system, which we encountered previously in Section 4.5.3. In the entropic
sampling method, instead of sampling states with probability proportional
to e-BEE, we sample with probability proportional to [p(E)]- 1 , the reciprocal
of the density of states. In other words, states in ranges of E where there
are many states, so that the density of states is high, are sampled with
lower probability than those in ranges where there few states. (As discussed
below, the big problem with the method is knowing what the density of
states actually is for a given energy. However, for the moment let us assume
that, by some magical means, we have this information.)
Why do we do it this way? Well, consider now the probability of sampling
a state in a given small region of energy in any particular Monte Carlo step.
The number of states in our region is just p(E) dE, and we sample each of
them with a probability

where K is an U-independent normalizing constant given by

162 Chapter 6: Disordered spin models

which plays a similar role to the partition function in ordinary importance

sampling. (As with the partition function, we will see that we never actually
need to calculate K if we are only interested in measuring the magnetization
or the internal energy, or something like that.) Then the probability of
choosing a sample in this region on this step is just the product

In other words, we sample energy values with a completely flat distribution.

In any given step during a simulation the chances of picking a state with one
energy are the same as for any other energy. (Note that this is not the same
thing as picking every state with equal probability, which would produce
more samples in ranges of energy for which there are many states than it
would in those for which there are few.)
It is easy to see why this might give good results with glassy systems. The
problem with standard Boltzmann importance sampling in glassy systems
is that the states at the top of the energy barriers are very unlikely to be
sampled and so our chances of passing through those states to the other side
of the barrier are slim. With the entropic sampling technique on the other
hand, any energy is as likely as any other to be selected, so we cross barriers
easily. There is no Boltzmann weight making it hard to get over the barriers.
Implementation of the entropic sampling method is straightforward. We
simply employ the condition of detailed balance, Equation (2.14), except
that now, instead of putting in the Boltzmann weight for pu, we put in our
new probability, Equation (6.5), thus:

All the proofs of Chapter 2 concerning equilibrium distributions and the

condition of detailed balance apply just as well to this choice as to the more
conventional one. Thus, all we have to do to ensure states are chosen from
the distribution in Equation (6.5) is choose transition probabilities for states
to satisfy (6.8). Shortly we will give an explicit example of how this can be
done for the random-field Ising model.

6.3.1 Making measurements

Making measurements using the entropic sampling method is a straightfor-
ward application of Equation (6.4). Plugging Equation (6.5) into it gives
us
6.3 The entropic sampling method 163

There's bad news and good news about this equation. The bad news is
that for a given number of samples it doesn't give as accurate an answer
as normal importance sampling using Boltzmann weights. The reason is
that, since the entropic sampling method samples states of all energies, it
will certainly sample some states whose energies are high enough that the
factor e-BEui in this equation is tiny. These states will make a negligible
contribution to QM and therefore we are, in a sense, wasting CPU time
putting them in. On the other hand, these states were the very reason we
resorted to entropic sampling in the first place; they, or some of them at least,
are precisely the high-energy states at the top of the energy barriers which
we need to be able to reach in order to cross from one basin to another in
the state space. Thus there is really no escaping them—we have them there
for a good reason, even though they don't contribute any accuracy to our
final estimate of the observable Q. There can also be states for which p(E)
is very small, and these also make a small contribution to QM- Whether
this is a problem or not depends on the form of the density of states.
And how about the good news? Well, to understand this take another
look at Equations (6.5) and (6.9). Notice that the sampling probability pu is
independent of temperature. This means that the sample of states which the
algorithm chooses does not depend on what temperature we are interested
in. The temperature only enters the calculation in Equation (6.9), where we
reweight our samples to get an answer. However, we can apply this equation
after our simulation is finished and all the samples have been taken. In
other words, simply by entering different values of B into Equation (6.9), we
can calculate the value of Q for any temperature we please from the same
set of samples. We only have to run the simulation once, and we get data
for the entire temperature range from zero to infinity. This makes up for
the decreased accuracy of each estimate, because we are usually willing to
perform a longer simulation to recover the lost accuracy if we know that
we will only have to perform one such simulation, rather than one for every
temperature we are interested in.

6.3.2 Internal energy and specific heat

The internal energy and specific heat are special cases in entropic sampling
calculations, because they are functions only of the energy E. This means
that, given the density of states p ( E ) , we can calculate the two of them from
164 Chapter 6: Disordered spin models

where we have used Equation (1.19) (with k — 1) to calculate the spe-

cific heat. Notice that these equations don't involve the samples from our
simulations—they are exact expressions for these quantities. In other words,
we don't even need to perform the simulation to measure U and C! This
should raise a few eyebrows around the table. Clearly something is suspi-
cious here. You never get something for nothing. The point is that p ( E )
contains enough information to calculate the internal energy and the specific
heat, and so obviously it is a complicated thing to calculate. Except for the
most primitive systems, it's not given by some simple expression which we
can write down easily. We have to perform a whole Monte Carlo simulation,
or more often several, just in order to calculate p(E). And this is the real
problem with the entropic sampling method. In order to use the method we
need to know what the density of states is. But if we knew that, we wouldn't
even have to perform the simulation, as the equations above show. So, how
do we proceed?

6.3.3 Implementing the entropic sampling method

The basic idea in implementing the entropic sampling method is to calculate
the density of states at the same time as we perform the simulation itself,
using an iterative method. We start off with some crude guess at the density
of states—uniform in E, say. We perform a simulation using this guess and
make a histogram of the energies of the sampled states. If we had the density
of states correct, this histogram would be entirely flat (see Equation (6.7)),
but in practice of course it won't be, because our density of states was a poor
approximation to the true answer. Based on the histogram however, we can
make a better guess at the density of states, and then we repeat the whole
simulation. We keep on doing this until we have a nice flat histogram. When
we are all done we are left with both a good estimate of the density of states
of the system and a set of samples—the ones from the last iteration—which
were sampled using that estimate and which we can use in Equation (6.9)
to estimate any quantities of interest. In detail, here is how the calculation
goes.
Let us call our initial guess for the density of states p 1 ( E ) . This can be
a fairly poor estimate of the true p(E). It doesn't matter. We will improve
it as we run the algorithm. Now we use this guess to perform an entropic
sampling calculation by feeding it into the detailed balance condition, Equa-
tion (6.8). This gives us a set of states which are sampled with probability
pu = [ K p 1 ( E u ) ] - 1 , where K is an unknown constant. We make a histogram
h1(E) of the energies of these states. The number of states in a certain bin of
that histogram is proportional to the number of states of the system which
fall in the region of energy it covers multiplied by the probability pu with
6.3 The entropic sampling method 165

which we sampled each of them. In other words

to within a multiplicative constant. Rearranging for p ( E ) , we get

There are a number of reasons why in practice this expression gives a poor
result for the density of states (see below), but in most cases it is at least
a better estimate than the one we started off with. So we can use this new
estimate— let's call it P2(E)—as the starting point for another simulation,
and repeat the process over and over until we are satisfied with the results.
In general, the density of states at the (n + l) th step is related to that at the
nth by

Simple though it appears in theory, there are several practical problems

with this procedure. First there is the question of the dynamic range of
p ( E ) . For most systems one finds that the density of states has a very large
dynamic range; its value can vary over hundreds of orders of magnitude.
Computers are poor at dealing with numbers like this because of numerical
inaccuracies, so almost always one deals instead with the logarithm of the
density of states. Defining the quantity S ( E ) to be

Equation (6.14) becomes

S(E) is known as the microcanonical entropy. It is the log of the number

of states which are accessible to the system if it is restricted to states with
energy in some small interval close to E. In fact, when the entropic sampling
algorithm was originally presented by Lee, it was entirely expressed in terms
of this entropy, hence the name "entropic sampling". In terms of S(E), the
probability pu of sampling a particular state u, is proportional to e-s(E)u).
Although this obscures the connection to the density of states somewhat, it
does make clear the analogy between this method and ordinary importance
sampling — here the entropy is playing the role which energy plays in the
previous algorithms we have considered.
Although it solves our problems with manipulating numbers with a large
dynamic range, Equation (6.16) also introduces a small problem. Given that
we take a finite number of samples in our simulation, it is possible for one or
more of the bins in the histogram h(E) to contain no samples, which makes
166 Chapter 6: Disordered spin models

the term log h(E) infinite. A simple way around this is simply to leave the
value of S(E) untouched in this case. In other words, the actual algorithm

A more serious problem with the entropic sampling method is its rate of
convergence, which in many cases is extremely poor indeed. It is clear that
if, as we have claimed, the density of states does have a very large dynamic
range, and if we start off by approximating it with a flat distribution, then
there are inevitably going to be parts of the function which are overestimated
by many orders of magnitude, relative to other parts. Bearing in mind
that the magnitude of the function h(E) varies between its most and least
populated bins by at most a factor of the number of samples taken in one
iteration of the calculation, we can see that it could take many such iterations
to arrive at the true functional form for p(E). There are sometimes a few
tricks one can play to get around this problem, but by and large the method
simply is slow to converge, and this is its primary shortcoming.

6.3.4 An example: the random-field Ising model

So far we have discussed the entropic sampling method in general terms.
In this section we will apply it to a particular problem, the random-field
Ising model of Section 6.1.1. We will see that the algorithm does indeed
overcome the problems of lack of ergodicity in the model, crossing energy
barriers easily, but that it does so at the expense of slow convergence, which
limits its applicability to rather small lattices.
Each step of our entropic sampling algorithm for the random-field Ising
model involves first selecting a new state of the lattice v given the state u we
are in at the moment, with some selection probability g(u —» v). We then
accept or reject that state with an acceptance ratio A(u —> v) such that the
condition of detailed balance is obeyed thus:

We note that states u and v with similar energies are likely to have similar
values of p(E), which makes it possible for both of the acceptance ratios in
this equation to be close to one. In other words, it is a good idea to choose
moves which take us to states with energies close to the energy of the current
state. As with the algorithms of Chapter 3, a simple way to achieve this is
to use single-spin-flip dynamics. (Other choices are possible, but this one
will do fine for now.) In other words, our new state v is generated by taking
the present state u and flipping just one spin, chosen at random. Each of
the N possible such states are generated with equal probability 1/N, and all
6.3 The entropic sampling method 167

FIGURE 6.2 The logarithm S(E) of the density of states of the three-
dimensional random-field Ising model on an 8 x 8 x 8 cubic lattice with
random fields ±h with h = 2.0. The curves show the best estimate of
S(E) at intervals of about 20 iterations, with the top curve being the
final converged result. The entire calculation took about 150 iterations.

the other states of the lattice are generated with probability zero. Then the
selection probabilities g(u —> v) and g(v — u) in Equation (6.18) drop out
and we are left with

which can be most efficiently satisfied by choosing

This then defines the algorithm. We take our first estimate of the den-
sity of states, start flipping spins and accepting the flips according to this
acceptance ratio. When we have accumulated enough samples to make a
reasonable histogram we stop, recalculate p(E) from Equation (6.14) (or al-
ternatively Equation (6.17)) and then repeat the whole process. In practice
a good criterion for telling when to finish a particular iteration is to count
the average number of samples in each non-empty bin. (It is normal for
many of them to be empty, especially in the early stages of the calculation.)
When this number reaches a certain predetermined level, the iteration ends
and you recalculate p(E). In practice, quite small numbers of samples give
perfectly adequate results—ten or so per bin is a reasonable figure. The
reason is that it is more important to get through a large number of iter-
168 Chapter 6: Disordered spin models

FIGURE 6.3 The magnetization m of our 8 x 8 x 8 random-field Ising

model with random fields ±h with h — 2.0 calculated using the entropic
sampling method.

ations, so as to find a decent approximation to the density of states, than

it is to get great accuracy on any particular iteration. Usually, when you
have converged to a stable estimate of p(E), you should do one last, longer
simulation using that estimate of p(E) to get a large set of samples which
can be used for calculating the values of observable quantities.
There are a variety of tricks one can use to speed up the convergence of
the algorithm, such as using bins of different sizes in different portions of the
energy scale, or starting off with larger bins and making them smaller as the
calculation progresses. Here, however, we apply the algorithm in its simplest
form, just as we described it above. In Figure 6.2 we show a series of curves
of the logarithm S(E) of the density of states of a random-field Ising model
on an 8 x 8 x 8 cubic lattice taken at intervals of about 20 iterations. We
can see that on later iterations the algorithm samples over a wider range of
energies, as our approximation to the density of states becomes better, until,
after about 150 iterations, the curve stops changing. At this point we stop
iterating and sample one more, larger set of states for use in making estimates
of other properties of the model. In Figure 6.3 we show our estimate of
the magnetization of the system using Equation (6.9). Although we have
not done it here, we could now use the bootstrap resampling technique of
Section 3.4.3 to calculate the errors on the calculation.
This however is not quite the end of the calculation. As we pointed out
in Section 6.2, we still have to average our calculation over the randomness,
which means performing the whole simulation many times over with different
6.4 Simulated tempering 169

random fields. Note that this averaging will also contribute an error to our
value for the magnetization (or any other quantity). Ideally we should divide
the available CPU time between our many simulations in such a way that the
statistical errors introduced by each individual run are of the same order of
magnitude as those introduced by averaging over the randomness. It would
be a waste of CPU time to perform a simulation long enough to reduce the
sampling error to a level where it was swamped by variations due to the
randomness. And conversely it would be a waste to perform so many runs
that the average over the realizations of the randomness was known much
more accurately than the statistical error in the individual measurements.

6.4 Simulated tempering

A different approach to the simulation of glassy systems is the simulated
tempering method invented by Marinari and Parisi (1992). We will look
in particular at the variation they refer to as parallel tempering, which is
the simplest and most general form of simulated tempering.5 This method
is, like the entropic sampling scheme of Section 6.3, quite simple in concept,
and unlike entropic sampling it does not require us to evaluate the density of
states or any other quantity iteratively. On the other hand, it does require
us to perform more than one simulation to get an answer—the simulations
are performed concurrently, rather than one after another as with entropic
sampling—and it only gives us the properties of the system at a finite number
of temperatures, rather than at every temperature. The method does have
the advantage that it can be implemented in a very straightforward fashion
on a parallel computer. On balance, like so many things, it's horses for
courses. You have to decide which is the best algorithm for the problem
in hand. However, simulated tempering has had a lot of success in the
simulation of spin glasses. At the end of this section we give an example of
its application to an Ising spin glass.

6.4.1 The method

The basic idea behind the simulated tempering method is to perform several
different simulations simultaneously on the same system (with the same re-
alization of the randomness), but at different temperatures. Every so often,
one swaps the states of the system in two of the simulations with a certain
probability which is chosen so that the states of each system still follow the
Boltzmann distribution at the appropriate temperature. By swapping the
states, we mean that one sets the values of the spins (or other variables)
5
This in turn is a variation on the general method known as the multicanonical
ensemble, which is itself a subset of umbrella sampling. See, for example, Berg (1993).
170 Chapter 6: Disordered spin models

in each of the two simulations to those in the other. The result is that the
higher-temperature simulation helps the lower-temperature one across the
energy barriers in the system. The higher-temperature one crosses barriers
with relative ease, and when it gets to the other side, we swap the states
of the two models, thereby "carrying" the lower-temperature model across
a barrier which it otherwise would not have been able to cross. We now
describe the algorithm in detail, for the simplest case in which we do just
two simulations of the system at the same time.
Consider a glassy system, the random-field Ising model of the last section,
for example, or the Ising spin glass described by the Hamiltonian (6.3). The
system has a temperature—Tc in the case of the random-field model, or the
glass temperature Tg in the spin glass case—below which glassy behaviour
sets in and simulation becomes difficult. If we are interested in measuring
properties of the system at some temperature Tlow below this transition,
we can do so by performing, simultaneously, two simulations, one at TlOW
and another at a higher temperature Thigh, which is above the transition.
By definition, the higher-temperature simulation will not show ergodicity
breaking, and we assume therefore that it can sample uniformly over the
state space of the model with reasonable ease. The lower-temperature one
on the other hand will probably get stuck in some basin of low energies and
be unable to get out. Our algorithm then is as follows. At each time step we
do one of two things. On the majority of time steps, we simply do one step in
the simulation of each of the two systems. For example, with our spin models
we could do one single-spin-flip Metropolis Monte Carlo step, exactly as in
Chapter 3. However, every so often (exactly how often is discussed below)
instead of doing this we calculate the difference in energies of the current
states of the two simulations, A.E = .Ehigh — Elow, and we swap the values
of every spin in the two with an acceptance probability

The first step in understanding why this algorithm works is to prove that it
satisfies ergodicity and detailed balance.
Proving ergodicity is straightforward. We already know that if we simu-
late a single system using the Metropolis algorithm we achieve ergodicity. If
we therefore follow the state of one of our two systems until a swap occurs,
and then follow the other and so on, it is clear that we can reach any state
in a finite number of moves. However, if one system can reach any state in
a finite number of moves, then so by symmetry can the other, and we are
guaranteed ergodicity. The same argument also applies if we use an algo-
rithm other than the Metropolis algorithm for the individual steps of the
two simulations.
Detailed balance is a little more tricky. To prove it, let us consider the
6.4 Simulated tempering 171

joint probability puv that the low-temperature system is in state u and the
high-temperature one in state v. We want the equilibrium value of this
probability to reflect the desired Boltzmann distribution of states in both
systems. In other words, we would like to have

where Zlow and Zhigh are the partition functions of the two systems. The
condition of detailed balance, Equation (2.12), tells us that we can achieve
this if we ensure that the transition probabilities P(uv —> u'v') and P(u'v' —>
uv) satisfy

We have three kinds of moves in our algorithm—normal Monte Carlo moves

on either of the two systems, and the swap moves—and we need to prove
that Equation (6.23) is satisfied for each of them. The normal Monte Carlo
moves are easy. Consider for example a move in which the low-temperature
system goes from state u to u' while the high-temperature one stays in state
v. Setting v' = v in Equation (6.23), we get

which is just the normal detailed balance condition for a single simulation.
Thus any Monte Carlo move which satisfies this condition, such as the single-
spin-flip Metropolis one, will correctly preserve detailed balance. The proof
that ordinary Monte Carlo steps on the high-temperature system also satisfy
Equation (6.23) is identical.
The swap moves are only a little more complicated. In these moves we
are swapping the states of the two systems, so u' = v and v' — u. Thus our
equation becomes

where AE = E v — Eu. The transition rate P(uv — v u ) is, as discussed in

Section 2.3, just the product of the selection probability g(uv —> vu) for the
swap move and the acceptance ratio A(uv —> vu) for that move. If we make
the selection probability a constant, for example by attempting a swap at
regular intervals throughout the simulation, then the selection probabilities
cancel out of the equation and we are left with
172 Chapter 6: Disordered spin models

It takes only a moment to verify that the acceptance ratio given in Equa-
tion (6.21) satisfies this condition.
Thus each of the three types of move in the algorithm satisfies detailed
balance, and so, therefore, does the entire algorithm. All the proofs of Chap-
ter 2 then apply to the equilibration of the algorithm and at equilibrium we
know that any joint state uv of the combined systems will appear with the
probability given in Equation (6.22). Thus, each state in each of the simu-
lations appears with exactly its correct Boltzmann weight, so we can make
measurements in tempering simulations in the normal fashion—we sample
the observable of interest at intervals throughout the simulation (after wait-
ing a suitable time for equilibration) and take the mean of those samples.
The reason why the method gets us over energy barriers is intuitively
clear. Since the high-temperature simulation is performed at a temperature
above the glass transition of the system, it shows no ergodicity breaking, and
can find its way about the state space of the system on a time-scale similar to
that of a simulation of a normal, non-glassy system. If we start off both our
simulations in a deep energy basin then the low-temperature one will remain
stuck there, while the high-temperature one moves over the surrounding en-
ergy barriers and into other regions of state space. Now suppose we attempt
to swap the states of the two simulations. Equation (6.21) says that if the
swap would increase the energy of the low-temperature simulation by a great
deal then it is unlikely to be accepted. On the other hand, if, as it will from
time to time, the high-temperature system finds its way into a region of low
energy—another basin—then the move will quite likely be accepted, and we
will perform the swap. Thus the low-temperature system is transported in
one move to another energy basin, and the high-temperature one finds itself
back in the basin that it started in. Now the process repeats, and over a long
simulation the low-temperature simulation is moved repeatedly to new en-
ergy basins. Thus the simulated tempering algorithm effectively overcomes
the problems of barrier crossing which make simulation of glassy systems so
hard and allows us to sample a significant fraction of our state space, while
still sampling with the correct Boltzmann weights for a temperature below
the glass transition.
One question which remains to be settled is how often we should perform
the swap moves. It is clearly not a good idea to perform them too often: if
we swap the states of our two simulations, and then immediately swap them
back again, it is very likely that the low-temperature one will be dumped
back in the basin that it only just escaped from, which defeats the point of
the exercise. On the other hand, we want to perform swaps as often as is
practical, since otherwise we waste time doing the high-temperature simu-
lation and not making use of the results. (The only reason we perform the
high-temperature simulation is to help us in performing the low-temperature
one; if we were actually interested in simulating the model above the glass
6.4 Simulated tempering 173

temperature then we could just use a normal Monte Carlo algorithm—there

are no particular problems with simulations above Tg.) Basically, we want
the high-temperature simulation to move away from the basin it is in im-
mediately following a swap, cross a barrier and find another basin. One
criterion for choosing how long we should wait before the next swap is there-
fore to follow the energy of the high-temperature simulation until it has
passed through values significantly different from the initial value. But we
already have a way of determining the time-scale for this to happen; we
calculate the energy autocorrelation function:

(See Equation (3.21).) As we showed in Section 3.3, such an autocorrelation

function measures the extent to which the values of the energy are correlated
at times t apart. And as we showed in Section 3.3.2, all such autocorrelations
have the same long-time behaviour, decaying as exp(—t/T), where T is the
correlation time.6 We can extract r from a semi-logarithmic plot of XE
against t, just as we did in Figure 3.6, or calculate the integrated correlation
time using Equation (3.20). Our tempering algorithm should then attempt
one swap move approximately every r sweeps of the lattice, and the rest of
the time perform normal Monte Carlo moves on each of the two simulations
separately.7
One further point, which is important when it comes to implementing
the simulated tempering algorithm, is that it is usually rather inefficient to
actually interchange the values of all the spins in the two systems when a
swap move is accepted. In a system of a million spins, such an operation
could use a significant amount of CPU time. So instead what one normally
does is to interchange the temperatures at which the simulations are carried
out, leaving the spin states the same. This of course is entirely equivalent to
6
At shorter times, autocorrelation functions of different quantities behave differently
because of different values of the constants 6i in Equation (3.35). Thus if, for example,
you calculate the correlation time using the integral formula (3.20), you may get a dif-
ferent result using the energy autocorrelation from what you would get using, say, the
magnetization. For this reason, some people define different correlation times TE, TM,
and so on for different quantities. Strictly however, it should not matter which you use if
you do the calculation correctly.
7
In fact, if the mean acceptance ratio A for the swap moves is low, we may wish to
attempt them more often than this. Strictly, we should attempt swaps every AT sweeps, in
order that the rate at which they are actually performed should be equal to the correlation
time.
174 Chapter 6: Disordered spin models

interchanging the spin states and leaving the temperatures unchanged, and
is much faster.8

6.4.2 Variations
A number of variations are possible on the basic scheme described above.
One common one is to perform the basic Metropolis or other Monte Carlo
steps on the two systems at different rates. We have to wait about one corre-
lation time of the high-temperature system between swap moves, but there
is no reason why it should be optimal to perform the same number of moves
on the low-temperature system during this time. In particular, the basins
which the low-temperature system finds itself in may be very small, which
means that it does not take very many moves to sample them thoroughly,
and performing any more is a waste of computer resources. In this case it
is desirable to perform a smaller number of moves in the low-temperature
system than in the high. For example we might perform one Monte Carlo
step on the low-temperature system for every two in the high-temperature
one. An extreme example of this problem is when the low-temperature sys-
tem is at T = 0, or close to it. In this case, the low-temperature system will
simply sink to the lowest energy state in the local basin and then stay there,
unmoving, until a swap move occurs and moves it to another basin. Clearly,
once the local minimum of energy has been found there is no point in ex-
pending any more time on the low-temperature system, since we know that
all moves are going to be rejected. So we can save time by simply forgetting
the low-temperature system and simulating the high-temperature one until
one correlation time has passed, and then attempting a swap. This is not a
very likely scenario. We are not often interested in the behaviour of glassy
systems at absolute zero. But it serves to illustrate the point.
Another common variation on the algorithm is to simulate at more than
just two temperatures. There is in many cases a distinct advantage to adding
extra simulations at temperatures intermediate between the two discussed so
far. The reason is that, as pointed out in Section 1.2.1, the range of energies
sampled by a system at a given temperature is usually quite small, and
decreases with increasing system size as 1/\/N. However, as Equation (6.21)
indicates, for the swap moves in the simulated tempering algorithm to work,
the two states to be swapped must be of comparable energies—the state of
the high-temperature system must be a viable state at the lower temperature
in order to be accepted. In effect, this means that the ranges of energy
sampled by the simulations at the two different temperatures must overlap.
As system sizes get larger and the ranges get smaller, this becomes less and
8
An alternative in programming languages such as Pascal and C which provide pointers
is to interchange the values of pointers to the spin arrays, leaving the arrays themselves
unchanged.
6.4 Simulated tempering 175

FIGURE 6.4 The

probability of sampling
states of particular energy
for simulations at three
different temperatures. The
areas of overlap between
the three distributions
represent the states in
which a swap is likely to be
accepted. As the figure
shows, including a
simulation at a temperature
intermediate between two
others can greatly increase
the probability of swaps
taking place.

less likely, unless the temperatures of the two are very close together. We
can get around this problem by adding one or more extra simulations at
temperatures in between the first two. As Figure 6.4 shows, a new middle
simulation can sample states over a range of energies which permits it to
overlap with the ranges of both the other simulations and so to swap states
with them easily. The middle simulation (or simulations) effectively acts as
a "conveyor" of states between the simulations at the highest and lowest
temperatures. Generalization of the algorithm to more than two simulations
is very straightforward. Each simulation attempts to swap states with the
one at the next highest temperature at regular intervals determined by the
correlation time of the hotter of the two. The acceptance ratios are exactly
as in Equation (6.21). Of course, the more simulations you do at once, the
more computer time the method demands, which again places limits on the
size of the system you can study. However, the method correctly samples
the Boltzmann distribution at all of the temperatures simulated, and so
gives results at as many temperatures as there are simulations, so the extra
computer time is by no means wasted. It does not give results for the entire
continuum of temperatures in the range simulated, as the entropic sampling
method does. However, it is possible to interpolate between temperatures
using the "multiple histogram method" described in Section 8.2, which gives
results of accuracy comparable to entropic sampling.9
Another slant on the method is to implement it on a parallel computer.
The algorithm parallelizes very nicely, since the individual simulations can
9
In fact, as we will see in Section 8.2.1, the histogram interpolation method gives accu-
rate interpolation only between simulations which sample overlapping sets of states. Since
this is also precisely the requirement for the simulated tempering method, the histogram
method almost always works well with results from simulated tempering calculations.
176 Chapter 6: Disordered spin models

be done on separate processors, and every so often they make a decision

about whether a swap is in order. If it is, then rather than communicating
the values of all the spin variables on the two lattices to each other, the
two processors simply swap the temperatures at which they are performing
their simulations, so that the previously high-temperature lattice becomes
the new low-temperature one, and vice versa. Even on a computer with slow
inter-processor communications, this algorithm can show speedups close to
linear in the number of processors used. We discuss parallel Monte Carlo
simulation in more detail in Chapter 14.
Hukushima and Nemoto (1996) have applied the parallel tempering tech-
nique to the three-dimensional Edwards-Anderson Ising spin glass described
in Section 6.1.2, with nearest-neighbour spin interactions chosen to have
strengths Jij = ±1 randomly. In their calculation they used a 2 : 1 ratio of
single-spin update moves and exchange moves in which the temperatures of
adjacent simulations are swapped (although their measured values for the
correlation times of the simulation suggest that a higher ratio might have
been more efficient). They also performed Monte Carlo steps at each tem-
perature at the same rate. The entire calculation consisted of systems at 32
different temperatures which were simulated simultaneously using multispin
coding techniques similar to those discussed in Chapter 15.10 The run was
repeated for ten different realizations of the randomness and for lattices of
up to 16 x 16 x 16 spins. The calculation appears to work very well. The ac-
ceptance ratio of the individual single-spin Monte Carlo moves is measured
to be in the vicinity of 50% or higher, depending on the temperature and
the system size. The autocorrelation functions for the simulations below the
glass transition are found to fall off roughly speaking exponentially, which is
unusual for glassy systems; usually the autocorrelations fall off slower than
this. This exponential fall-off is a good sign for the rapid equilibration of
the algorithm.
In Figure 6.5 we reproduce Hukushima and Nemoto's measurements of
the correlation time as a function of temperature. The transition to the
glassy phase is clearly visible in this figure as a sharp increase in the value
of T with falling temperature. However, and this is the crucial point, the
correlation time does not continue to increase sharply below this transition.
It goes up a little further with falling T, but not enough to make simulations
difficult at lower temperatures. Although Hukushima and Nemoto did not
extend their calculation to experimentally measurable quantities such as the
specific heat of the spin glass, these results do indicate that the parallel

10
This explains why Monte Carlo moves were carried out on all systems at the same
rate, since the multispin coding method requires it. It is possible that an algorithm which
updated different systems at different rates could make more efficient use of CPU time,
but the speed advantage of using multispin coding is a significant one, so one should not
assume this.
6.4 Simulated tempering 177

FIGURE 6.5 The correlation time of the parallel tempering algorithm

applied to the Edwards-Anderson Ising spin glass on a 12 x 12 x 12
cubic lattice. After Hukushima and Nemoto (1996).

tempering method is successful at overcoming the problems of Monte Carlo

simulation in these systems.

Problems
6.1 Consider a simple system with only three states, such that one state
forms an energy barrier between the other two thus:

Imagine performing a Monte Carlo simulation of this system, starting in

state 1 with energy E1. If the system can only reach state 2 by passing
through the intermediate barrier state, show that it takes at least e-Bl
Monte Carlo steps to make a transition to state 2, where B1 = EB — E1 is
the height of the energy barrier for the transition 1 -» 2.
6.2 In Section 6.1.2 we described a version of the Edwards-Anderson spin
glass in which adjacent pairs (ij) of Ising spins interact with strengths Jij
which are randomly ± 1. One particular choice of interaction constants which
178 Chapter 6: Disordered spin models

fits this description, proposed by Mattis (1976), is to let Jij = EiEi, where
£i = ±1 are random constants defined on the sites of the lattice. Show that
this choice of Jij does not give a glassy model. Show further, however, that
if we just choose Jij = ±1 at random, the chances of coincidentally making
the Mattis choice go down exponentially with increasing system size.
6.3 Calculate the density of states for a one-dimensional Ising model with
N sites and periodic boundary conditions. (Hint: you may want to refer
to the solution of the model in Problem 1.4.) Use this to calculate the ap-
propriate acceptance ratio for a single-spin-flip entropic sampling algorithm
for the model. (If you feel like it, you could write a program to implement
this algorithm and check that it does indeed sample all energies with equal
probability.)
6.4 In Section 6.4.2 we explained that in order for the parallel tempering
algorithm to work there needs to be significant overlap of the energy ranges
sampled by the different simulations. How does the number of simulations
necessary to satisfy this requirement vary with the size of the system being
simulated?
6.5 Write a program to apply the simulated tempering algorithm to the
random-field Ising model in three dimensions. (Hint: the simplest approach
is probably just to use a single-spin-flip Metropolis algorithm for the individ-
ual simulations. Try the calculation on a relatively small system at first—say
4 x 4 x 4—so that you don't have to perform too many simulations at once.)
7
Ice models

Most of the models we have studied in the preceding chapters of this book
have been variations of the Ising model. Although Ising models are the most
important and best-studied class of models in statistical mechanics, it is
useful for us to study other classes as well, since there are many concepts
in the design of Monte Carlo algorithms which only arise when we look at
other models. In this chapter we introduce the so-called ice models, which,
as the name suggests, model some of the thermodynamic properties of ice,
though they do so only in a rather primitive fashion. Ice models are similar
to Ising models in that the microscopic variables making up the model are
discrete quantities having just two possible values, positioned on a lattice.
However, unlike the models of the previous chapters, these variables are now
located on the bonds of the lattice, rather than the sites, and, as we shall
see, this, in combination with some other features of ice models, makes for
some interesting challenges in the design of Monte Carlo algorithms.

7.1 Real ice and ice models

Ice, the solid form of H2O, is a very common substance in our surround-
ings and it is therefore not surprising that a large amount of research has
been devoted to understanding its behaviour. Ice has occupied a particu-
larly prominent position in the literature on computer simulation because
its building blocks, water molecules, are small enough that, even in the early
days of computers, they could already be modelled quite accurately using
numerical methods. Especially at the end of the 1960s and the beginning
of the 1970s, interest in ice research was strong, and many conferences and
workshops have been devoted purely to the study of ice.
By the end of the nineteenth century, it was well known that snowflakes
often show a hexagonal symmetry, a fact which hinted at the underlying
180 Chapter 7: Ice models

FIGURE 7.1 The structure of the oxygen atoms and the hydrogen
bonds between them in hexagonal ice Ih (left) and cubic ice Ic (right).

structure of ice, and in the early years of the twentieth century Bragg and
others started experimenting with X-ray diffraction to try to determine this
structure. The crucial breakthrough was made by Barnes (1929), who was
the first to map the structure now known as hexagonal ice or Ih, which
is the normal form of ice at atmospheric pressure. The arrangement of the
oxygen atoms in hexagonal ice is shown on the left-hand side of Figure 7.1.
Since X-rays are scattered primarily by the electron distribution in a crystal,
the experimental signal measured in scattering studies is mostly due to the
oxygen atoms, and it is difficult to detect the small contribution from the
electron cloud around the hydrogen atoms (protons). However, since the X-
ray results show no evidence of any superlattice lines, we can conclude that
the protons are not arranged in a unit cell which is larger than that of the
oxygens. Given that the unit cell of the oxygens contains only four oxygen
atoms, this does not leave room for a very large number of different proton
arrangements, and Barnes suggested the most probable arrangement to be
one in which each proton is located exactly half-way along the line joining
the centres of two adjacent oxygens.
Barnes' conjecture has not stood the test of time however. Later and
more sensitive scattering experiments indicated clearly that protons are not
shared equally between two oxygen atoms, but that each proton stays close to
one oxygen atom only. Furthermore, two and only two protons are associated
with each oxygen, so that the integrity of the water molecules as structural
units is preserved. Building on these experimental results, Bernal and Fowler
in 1933 proposed a number of alternative proton arrangements. They were
however unable to find any periodic arrangement which had a repeat size as
small as the measured unit cell of the oxygen structure; all their proposed
structures had a larger unit cell, in direct opposition to earlier experimen-
tal findings. This apparent contradiction ultimately led Bernal, Fowler and
7.1 Real ice and ice models 181

FIGURE 7.2 The phase diagram of ice. Dotted lines indicate first-
order phase boundaries dividing pairs of phases each of which can
exist metastably in the region of stability of the other.

others to conclude that the protons in ice cannot in fact be arranged peri-
odically at all, but must instead be disordered. In their paper, Bernal and
Fowler wrote: "It is quite conceivable and even likely that at temperatures
just below the melting point the molecular arrangement is still partially or
even largely irregular, though preserving at every point tetrahedral coordi-
nation and balanced dipoles. In that case ice would be crystalline only in
the positions of its molecules but glass-like in their orientation."
Since then, it has been shown that ice can assume a large number of other
stable structures at different temperatures and pressures. On the right-hand
side of Figure 7.1, for example, we show the oxygen structure of cubic ice
(I c ), which is a metastable structure which exists in approximately the same
temperature and pressure regimes as hexagonal ice. The many different
ice structures all have one important feature in common: they obtain their
strength from the existence of hydrogen bonds between the oxygen atoms—
four hydrogen bonds per oxygen. A phase diagram of ice is sketched in
Figure 7.2. This figure may well be incomplete. It includes the most widely
accepted phases known at the time of the writing of this book, but a number
of others have been tentatively identified in the literature, and some of these
may well have undergone more thorough experimental verification by the
182 Chapter 7: Ice models

time you read this. For example, it has recently been suggested that at
very low temperatures ice IH becomes a metastable phase, and that given
enough time it will transform into another phase, called ice XI. Also at
low temperatures it has been suggested that ice VI, which is tetragonal,
transforms into an orthorhombic phase called ice VI'. Most transitions that
occur under a lowering of the temperature involve only an ordering in the
proton arrangement, while the oxygen structure stays unaltered. This is true
for the transition from ice VII to ice VIII, from ice II to ice IX, and from ice I
and VI to ice XI and VI' respectively if the latter exist. These transitions
are very difficult to observe experimentally, since the proton configuration
becomes frozen below about 100 K and some trickery has to be employed if
equilibrium is ever to be reached.1

7.1.1 Arrangement of the protons

The protons in ice are located between pairs of nearest-neighbour oxygen
atoms, forming hydrogen bonds. As we now know, the potential energy of
such a proton has two minima as a function of position along the line joining
the two oxygens. In hexagonal ice the distance between neighbouring oxygen
atoms is about 2.75 A, and the two most energetically favourable positions
for the intervening hydrogen atom are about 1 A away from the centre of each
of the oxygens. Each proton must thus choose between two positions about
0.75 A apart. Although, as discussed in Section 7.1, the protons' choice of
positions does not show long-range order, it is not completely random either,
since each oxygen is normally associated with only two protons. Bernal and
Fowler (1933) and Pauling (1935) proposed that the protons are arranged
on the bonds of the lattice formed by the oxygen atoms according to two
rules:
1. There is precisely one hydrogen atom on each hydrogen bond.
2. There are precisely two hydrogen atoms near each oxygen atom.
These two constraints are known as the ice rules. In real ice, the ice rules are
sometimes violated. In violation of the first rule, it can sometimes happen
that a hydrogen bond is populated either by zero or by two protons. These
violations are known as Bjerrum L and D defects, respectively. They are
energetically highly unfavourable, and therefore occur rarely. It has been
estimated that already at —10 °C there is only about one such defect per
five million bonds, and the concentration decays rapidly with decreasing
1
In fact there are other crystalline structures besides ice which have four hydrogen
bonds per molecule, and some of these are easier to study experimentally than ice itself.
KH2PO4 for instance, is a particularly popular alternative. It may turn out that experi-
ments on these alternative ice-like compounds will yield the first observations of some of
the more exotic phases proposed.
7.1 Real ice and ice models 183

temperature. The second ice rule is violated if either one or three protons
are located near an oxygen atom, a situation which we call an ionic defect.
Ionic defects cost even more energy than Bjerrum defects and are therefore
even more scarce.
In this chapter we study the class of models known as ice models, which
are models which obey the ice rules exactly. The low frequency with which
the ice rules are violated makes these models rather a good description of
the behaviour of the protons in real ice. As we will see however, although
models based on the rules are easily constructed, it is by no means straight-
forward to determine their properties. It took over thirty years from the first
formulation of the ice rules before an exact solution to even the simplest ice
model was found, and most ice models are not solved to this date. Instead,
therefore, researchers have turned to computer simulation, and in this chap-
ter we study the problem of designing an efficient Monte Carlo algorithm
for an ice model, and give a selection of results to demonstrate the kind of
insight we can gain from our simulations.

7.1.2 Residual entropy of ice

Many systems have a unique ground state—just one state in which the en-
ergy of the system is at a minimum—so that the entropy, which is loosely the
logarithm of the number of states available to the system at a given temper-
ature, is zero in the limit of zero temperature. Sometimes a system may have
several degenerate ground states, such as the Ising model of Section 1.2.2 for
instance, which has two. But even in this case, the zero-temperature entropy
per site is still zero in the limit of large system size. (This is the reasoning be-
hind the third law of thermodynamics, which we invoked in Equation (1.12)
in order to fix the value of the integration constant.) Ice however is different,
because of the many possible configurations of the protons discussed in the
last section. To a good approximation, every such configuration has the same
energy as every other, so there are as many different ground states of the
system as there are configurations of the protons. This number increases
exponentially with the size of the system, which means that even in the
thermodynamic limit the entropy per site is finite as the temperature of the
system tends to zero. This zero-temperature entropy is known as the resid-
ual entropy of the ice. Giauque and Stout (1936) measured the residual
entropy of hexagonal ice IH at 10 K to be 5 = 0.82 ± 0.05 cal K-1 mole-1.
The first serious attempt at estimating the residual entropy of ice theoret-
ically was made by Linus Pauling (1935), who gave the following argument.
If we ignore the first ice rule and allow a hydrogen bond to be either empty
or doubly occupied, but we enforce the second ice rule and only allow exactly
two protons to be near each oxygen atom, then there are six possible states
per oxygen atom. Thus the number of states that obey the second ice rule
184 Chapter 7: Ice models

is 6N, where N is the number of oxygen atoms. This is not a good estimate
of the number of ground states of the system however; ignoring the first ice
rule introduces a big error, since only a small fraction of these 6N states
do not violate the first ice rule. This is easy to see, since in any one of the
states, the probability for any hydrogen bond to be occupied by exactly one
proton is only 1/2, and if any single bond is either doubly occupied, or not
occupied at all, that state should be disallowed as a possible ground state
of the system. However, this error should be easy to correct for. First note
that there are 2N hydrogen bonds on any ice lattice, since each oxygen has
four bonds and each bond is shared between two oxygens. Therefore, if the
probability of any one bond being correctly occupied by a single proton is
|, then the probability of all of them being so occupied is 2 - 2 N . Thus, we
estimate the number of states obeying both ice rules to be 6N/22N and so
the residual entropy is

This value agrees well with experimental values, and for a long time it was
believed to be an exact answer. As we now show however, this is not the
case.
To investigate Pauling's argument in more detail, we will look at the
simplest model system obeying the ice rules, square ice.2 In square ice,
the oxygens are arranged on the vertices of a square grid—the simplest
lattice with the required coordination number of four—and each oxygen
has a hydrogen bond with its neighbours to the left, right, up and down,
represented by the lines of the grid. Commonly, an arrow is drawn on each
bond to represent the state of the corresponding proton: the arrow points
2
The name "square ice" is used specifically to refer to the ice model on a square
lattice in which all configurations are assigned the same energy. In Section 7.6 we will
study a number of other ice models, such as the KDP and F models, in which different
configurations are assigned different energies. Although these models are also ice models
and are also defined on a square lattice, they are not also called square ice. This is
somewhat confusing, but since the terminology is widely used we will follow convention
and use it here too.
7.1 Real ice and ice models 185

FIGURE 7.4 The 82 different ways in which the six types of vertices
can be combined on a small 2 x 2 segment of a larger lattice. All of
the 82 configurations can be transformed into one of the four shown
here by rotation or reflection, or a combination of the two.

towards the end of the bond nearest the proton. The second ice rule then
requires that each vertex have exactly two arrows pointing towards it, and
two pointing away. This allows for exactly six types of vertices, as we pointed
out above, and has led to the alternative name six-vertex models being
applied to ice models, a name which you may well run across in the literature
from time to time. The six vertices are illustrated in Figure 7.3.
Let us now zoom in on a small piece of the lattice, containing only four
sites arranged in a square (see Figure 7.4). The arrows around any one
of these four vertices can take any of the six allowed configurations, giving
a total of 64 possible states overall. However, four of the bonds in this
small piece of lattice are shared between two sites, so that choosing the
directions of the arrows around one vertex affects the possible directions at
the neighbouring vertices. In the language of Pauling's argument, we can
correctly assign two protons to each of the four vertices, which is equivalent
to drawing two arrows pointing in towards each one and two pointing out,
but that does not guarantee that there will be only one arrow on each bond.
In fact there is only a 50% chance that any given bond will have exactly
one arrow on it, and thus only a fraction 2-4 of the possible arrangements
of the arrows correctly obey the first ice rule. Thus we expect to find a
total of 6 4 /2 4 = 81 ways to arrange the arrows. However, if we count
the possible configurations explicitly we find that there are in fact 82 of
them, as Figure 7.4 demonstrates. This is a strong indication that Pauling's
reasoning is not correct. In fact there is a flaw in his argument, which is
that it assumes—incorrectly—that the probabilities for different hydrogen
bonds to be singly occupied are independent of each other.
Although this argument demonstrates that Pauling's formula for the en-
tropy is only approximately correct, it does not tell us how to put the formula
right, and in fact a general answer to this problem still escapes us. However,
in 1967, Lieb gave the solution for square ice, employing a rather lengthy
argument involving transfer matrices. For the details of Lieb's derivation
the interested reader is referred to his paper (Lieb 1967). Here we just quote
186 Chapter 7: Ice models

his5 result:

Structures other than square ice are expected to have entropies differing
slightly from this figure. Although we don't have an exact solution for any
three-dimensional case, some very accurate estimates have been made using
series expansions. For instance, Nagle (1966) obtained the figure

for the entropy of hexagonal ice Ih- When converted into the units used in
the experiments, this comes to 5 = 0.8154 ± 0.0002 cal K-1 mole- 1 , which
is in excellent agreement with the experimental result of Giauque and Stout
quoted earlier. Note also that Pauling's estimate is only a few tenths of a
per cent different. At the time of the writing of this book the accuracy of
even the most recent experiments is insufficient to prove him wrong.

7.1.3 Three-colour models

In the next section we will start to look at ways of simulating ice models
using Monte Carlo methods. An important result about square ice which
will help us in the design of an algorithm was given by Lenard (1961) who
demonstrated that the configurations of the arrows on a square lattice can
be mapped onto the configurations of a lattice of the same size in which the
squares or plaquets between the bonds are coloured using three different
colours, with the restriction that no two nearest-neighbour plaquets have the
same colour. It is actually not very difficult to demonstrate this equivalence.
Given a suitable colouring of the plaquets we can work out the corresponding
configuration of arrows using the procedure illustrated in Figure 7.5, in which
the three colours are represented by the numbers 1, 2 and 3. The rule is
that we imagine ourselves standing on one of the squares of the lattice and
looking towards one of the adjacent ones. If the number in the adjacent
square is one higher (modulo three) than the number in the square we are
standing on, we draw an arrow on the intervening bond pointing to the right.
Otherwise we draw an arrow to the left. The procedure is then repeated for
every other bond on the lattice.
Clearly the resulting configuration of arrows obeys the first ice rule; since
neighbouring plaquets must have different colours the prescription above will
place one and only one arrow on every bond. The second ice rule requires
that each vertex has two ingoing and two outgoing arrows. If we walk from
square to square in four steps around a vertex, then each time we cross a
bond separating two squares the colour either increases or decreases by one,
7.2 Monte Carlo algorithms for square ice 187

FIGURE 7.5 A
three-colouring of a square
lattice and the
corresponding configuration
of the arrows in square ice.

modulo three. The only way to get back to the colour we started with when
we have gone all the way around is if we increase twice and decrease twice.
This means that the vertex we walk around must have two ingoing and
two outgoing arrows, exactly as we desire. Thus each configuration of the
three-colour model corresponds to a unique correct configuration of square
ice.
We can also reverse the process, transforming an ice model configuration
into a three-colouring. We are free to choose the colour of one square on
the lattice as we wish, but once that one is fixed, the arrows on the bonds
separating that square from each of its neighbours uniquely determine the
colour of the neighbouring squares, and, by repeated application of the rule
given above, the colour of all the rest of the squares in the lattice. Thus,
the number of ways in which the squares of the lattice can be coloured is
exactly the number of configurations of the ice model on the same lattice,
except for a factor of three.

7.2 Monte Carlo algorithms for square ice

Having introduced the physics of ice models, we now look at how we can
simulate these models using a Monte Carlo method and what results we
can get from such a simulation. We will start with square ice, which is the
simplest case and also the easiest to visualize. Many of the properties of
square ice are known exactly from Lieb's solution of the model. However, it
is a good first step to reproduce these known results using a Monte Carlo
method, in the same way as it was a good first step in Chapter 3 to study
188 Chapter 7: Ice models

the two-dimensional Ising model, for which we also have an exact solution.
In the later sections of this chapter we will develop algorithms for more
complicated ice model variations.
As with the Ising model, the first step in designing a Monte Carlo algo-
rithm is to choose a set of moves which will take us from one configuration of
our ice model to another. In the case of the ordinary Ising model the obvious
Monte Carlo move was just to flip a single spin. Unfortunately, there is no
such obvious move for an ice model. We cannot simply reverse an arrow, or
change the configuration of arrows around a vertex in an ice model, since
that would affect the configuration of arrows at all the neighbouring vertices
and we would surely end up in a state that violated the ice rules. So what
elementary move can we devise which will take us from one configuration
that obeys the ice rules to another? As we will see, there are a number
of candidates, and of course it is part of our goal here to explore all the
possibilities to see how we can make algorithms that are as efficient as pos-
sible. We begin, however, as we did with the Ising model, by describing the
standard algorithm for this problem, due to Rahman and Stillinger (1972),
which involves reversing the arrows around loops on the lattice.

7.2.1 The standard ice model algorithm

It is clear that one possible move which takes us from an allowed configu-
ration of an ice model to another is the reversal of all the arrows in a loop
chosen such that all arrows point in the same direction around the loop.
Such a loop has one arrow pointing in and one pointing out of each partici-
pating vertex, so that the reversal of all of them preserves the number of
arrows going in and out of each vertex. How do we find a loop of this kind?
The most straightforward method is illustrated in Figure 7.6. Starting with
a correct configuration of the model (a), we choose a single vertex at random
from the lattice. We then choose at random one of the two outgoing arrows
at this vertex and reverse it (b). (We could just as well choose an ingoing
arrow—either is fine.) This creates violations of the second ice rule—ionic
defects—at the initial vertex (which now has only one outgoing arrow instead
of two) and at a new vertex at the other end of the reversed arrow (which
now has three). We can set this new vertex straight by choosing randomly
one of the other two outgoing arrows (not the one we just reversed) and
reversing that, so that it is pointing inwards. We do this in part (c) of the
figure. This fixes one vertex, but creates a new defect at the other end of the
reversed arrow, which we can get rid of by reversing still a third arrow (d),
and so on. Each reversal sets one vertex to rights but corrupts another. The
process ends when our string of arrows finally finds its way back to the point
at which we started (e). At this point there is one vertex which has one too
few outgoing arrows, and reversing an arrow between this vertex and our
7.2 Monte Carlo algorithms for square ice 189

FIGURE 7.6 Flipping arrows one by one along a line across the lattice
allows us to change the configuration and still satisfy the ice rules. The
only problems are at the ends of the line, but this is fixed if the two
ends eventually meet one another forming a closed loop.

wandering defect fixes the arrows around both. The net result is that we
have reversed all of the arrows lying around a closed loop on the lattice, and
the final configuration will obey the ice rules as long as the initial one did.
In the figure we have illustrated the case of the smallest possible loop,
which on the square lattice involves the reversal of just four arrows. However,
loops generated by the algorithm above can be much longer than this. By
making a random choice at each vertex between the two possible arrows that
we could reverse, we generate a species of random walk across the lattice,
and even on a finite lattice this walk can take an arbitrarily long time to
return to its starting point. For this reason we will refer to this algorithm
as the "long loop algorithm". Long loops are not necessarily a bad thing; on
the finite lattices we use in our Monte Carlo simulations we are guaranteed
that the walk will always return eventually, and although longer loops take
longer to generate they also flip a larger number of arrows, which allows the
system to decorrelate quicker.

7.2.2 Ergodicity
We have now specified a move that will take us from one correct configuration
of the arrows to another, and our proposed Monte Carlo algorithm for square
190 Chapter 7: Ice models

FIGURE 7.7 The difference between any two configurations of an ice

model can be decomposed into a number of loops, which are allowed
to wrap around the periodic boundaries. We can go from one config-
uration to the other by reversing the arrows around these loops.

ice is simply to carry out a large number of such moves, one after another.
However, we still need to demonstrate that the algorithm satisfies the criteria
of ergodicity and detailed balance.
First, consider ergodicity, whose proof is illustrated in Figure 7.7. The
figure shows how the difference between two configurations of the model
on a finite lattice can be decomposed into the flips of arrows around a finite
number of loops. We can show that this is possible for any two configurations
by the following argument. Each of the vertices in Figure 7.3 differs from each
of the others by the reversal of an even number of arrows. (You can convince
yourself of this simply by looking at the figure, although it follows directly
from the ice rules as well.) Thus, if we take two different configurations of
the model on a particular lattice and imagine drawing lines along the bonds
on which the arrows differ, we are guaranteed that there will be an even
number of such lines meeting at each vertex. Thus these lines form a set of
(possibly intersecting) loops covering a subset of the vertices on the lattice.
It is not difficult to show that these loops can be chosen so that the arrows
around each one all point in the same direction. Since the reversals of the
arrows around these loops are precisely our Monte Carlo moves, and since
there are a finite number of such loops, it follows that we can get from any
configuration to any other in a finite number of steps, and thus that our
algorithm is ergodic. Note that it is important to allow the loops to pass
through the periodic boundary conditions for this to work.4

4
It is not too hard to show that the loops which wrap around the periodic boundary
conditions change the polarization, Equation (7.14), of the system, whereas the ones which
don't conserve polarization. Thus, if we didn't allow the loops to wrap around in this way
the polarization would never change and ergodicity would not be satisfied.
7.3 An alternative algorithm 191

7.2.3 Detailed balance

In square ice, all states of the system have the same energy, which means
that the condition of detailed balance, Equation (2.14), takes the simple
form

In other words, the rate for the move from u, to v should be the same as that
from v to u. In the long loop algorithm, our Monte Carlo move consists of
choosing a starting site 5o and reversing a loop of arrows starting at that
site and ending, m steps later, at the same site Sm = SQ. The probability
of selecting any particular site as the starting site is l/N, where N is the
number of sites on the lattice. The probability of making a particular choice
from the two possible outgoing arrows at each step around the loop is |
for each step, so that the probability that we chose a certain sequence of
steps is equal to 2- m , and the probability of performing the entire move is
1/N2- m . For the reverse move, in which the same loop of arrows is flipped
back again to take us from state v back to state u, the exact same arguments
apply, again giving us a probability of 1/N2-m for making the move. (The
only difference is that for the reverse move we follow the loop in the reverse
direction.) Thus the forward and backward rates are indeed the same and
detailed balance is observed. This, in combination with the demonstration
of ergodicity above, ensures that our algorithm will sample all states of the
model with the correct (equal) probabilities.

7.3 An alternative algorithm

As we pointed out in Section 7.2.1, the algorithm presented above can gen-
erate arbitrarily long loops even on a finite lattice. It is not clear, as we
said, that this is necessarily a problem—we can imagine reasons why longer
loops might either help or hinder the rapid equilibration of the system. In
Section 7.5, however, we give some simulation results which show clearly
that the long loop algorithm is inefficient on large lattices precisely because
of the size of the loops it generates. To get around this problem, Rahman
and Stillinger (1972) proposed another algorithm which also reverses the ar-
rows around a closed loop of bonds, but which generates shorter loops. For
obvious reasons we call this the "short loop algorithm". Here we describe a
slightly refined version of the algorithm due to Yanagawa and Nagle (1979).
In the short loop algorithm we choose a starting site So at random from
the lattice and reverse one of the outgoing arrows at that vertex, thereby
creating two defects, just as we did in the long loop case. We then reverse
further arrows so that one of the defects wanders around the lattice ran-
domly, as before. However, rather than waiting until the two defects find
192 Chapter 7: Ice models

FIGURE 7.8 A typical

path followed by the
wandering defect in the
short loop algorithm.

each other again, we now continue only until the wandering defect encoun-
ters any site which it has encountered before in its path around the lattice.
If we call this site Sm, then Sm = Sl with 0 < l < m. From this point, we
retrace our steps backwards down the old path of the defect, until we reach
S0 again, reversing all the arrows along the way. The process is illustrated
in Figure 7.8. The net result is that we reverse all the arrows along the path
from site SQ to 5; twice (which means that they are the same before and
after the move), and all the arrows in the loop from Si to Sm once. Since the
wandering defect only needs to find any one of the sites on its previous path
in order to close the loop, we are guaranteed that the length of its walk will
never exceed N steps where N is the number of vertices on the lattice, and
in practice the typical length is much shorter than this. (In fact, the number
of steps tends to a finite limit as the lattice becomes large—see Section 7.5.)
The proof of ergodicity for the short loop algorithm is identical to that
for the long loop case: the difference between any two states on a finite
lattice can be reduced to the reversal of the spins around a finite number of
loops. Since the algorithm has a finite chance of reversing each such loop, it
can connect any two states in a finite number of moves.
The proof of detailed balance is also similar to that for the long loop
algorithm. Consider again a move which takes us from state u. to state v.
The move consists of choosing a starting site SQ at random, then a path
P = {S0 . . . Si} in which the arrows are left untouched, followed by a loop
L — ( S l ; . . . Sm} in which we reverse the arrows. (Remember that the last
site in the loop Sm is necessarily the same as the first Si.) The probability
that we choose So as the starting point is l/N, where N is the number of
sites on the lattice. After that we have a choice of two directions at each step
along the starting path and around the loop, so that the probability that we
end up taking the path P is equal to 2~' and the probability that we follow
the loop L is 2- (m-1) After the loop reaches site Sm = Si, we do not have
any more free choices. The probability that we move from a configuration u
7.4 Algorithms for the three-colour model 193

to configuration v by following a particular path P and loop L is thus

For the reverse move, the probability of starting at S0 is again l/N, and
the probability of following the same path P as before to site S; is 2-l again.
However, we cannot now follow the same loop L from Si to Sm as we did
before, since the arrows along the loop are reversed from what they were in
state u. On the other hand, we can follow the loop in the reverse direction,
and this again has probability 2 - ( m - l ) Thus we have

exactly as before. This demonstrates detailed balance for the algorithm and,
in combination with the demonstration of ergodicity, ensures that all possible
states will be sampled with equal probability.

7.4 Algorithms for the three-colour model

We now have two Monte Carlo algorithms which correctly sample the states
of the square ice model, and since, as we showed in Section 7.1.3, the states of
this model can be mapped onto the states of the three-colour lattice model,
we can use the same algorithms to study the three-colour model. In this
section however, we explore the other side of the same question: is there a
natural Monte Carlo algorithm for the three-colour model which could then
be used to sample the states of the ice model? It turns out that there is, and
this algorithm provides not only an efficient way of simulating the square ice
model in which all states have the same energy, but will also prove useful
when we get onto the models of Section 7.6 in which different states are
assigned different energies.5
In the three-colour representation of square ice, the degrees of freedom—
the colours—are located on the plaquets of the lattice, rather than on the
bonds, and, as we showed earlier, the ice rules translate into the demand
that nearest-neighbour squares have different colours. Just as in the arrow
representation, there is no obvious update move which will take us from
state to state. Although there are some states in which the colour of a single
square can be changed from one value to another without violating the ice
rules, there are also states in which no such moves are possible, and therefore
5
The algorithms described in this section are due to Wang et al. (1990), although they
were not originally conceived as algorithms for ice models. Wang et al. were studying
anti-ferromagnetic Potts models, but it turns out that the q = 3 Potts antiferromagnet at
T = 0 is identical to the three-colour representation of square ice. This point is explored
further in Problem 7.2.
194 Chapter 7: Ice models

single-plaquet moves of this kind cannot reach these states and so do not
lead to an ergodic dynamics. Again then, we must resort to more complex
moves. One possibility is to look for clusters of nearest-neighbour plaquets
of only two colours, call them A and B, entirely surrounded by plaquets
of the third colour C. A move which exchanges the two colours A and B
in such a cluster but leaves the rest of the lattice untouched will result in
a new configuration which still has an allowed arrangement of colours, and
this suggests the following cluster-type algorithm for square ice:
1. We choose a plaquet at random from the lattice as the seed square for
the cluster. Suppose this plaquet has colour A.
2. We choose another colour B # A at random from the two other possi-
bilities.
3. Starting from our seed square, we form a cluster by adding all nearest-
neighbour squares which have either colour A or colour B. We keep
doing this until no more such nearest neighbours exist.
4. The colours A and B of all sites in the cluster are exchanged.
There are a couple of points to notice about this algorithm. First, the
cluster possesses no nearest neighbours of either colour A or colour B and
therefore all its nearest neighbours must be of the third colour, C. In the
simplest case, the seed square has no neighbours of colour B at all, in which
case the cluster consists of only the one plaquet. It is crucial to the working of
the algorithm that such moves should be possible. If we had chosen instead
to seed our cluster by picking two neighbouring plaquets and forming a
cluster with their colours, single-plaquet moves would not be possible and
we would find that the algorithm satisfied neither ergodicity nor detailed
balance. Second, notice also that within the boundary of colour C, the
cluster of As and Bs must form a checkerboard pattern, since no two As or
Bs can be neighbours.
We now want to show that the algorithm above satisfies the conditions
of ergodicity and detailed balance. In this case it turns out that detailed
balance is the easier to prove. Consider once more a Monte Carlo move
which takes us from a state u, to a state v, and suppose that this move
involves a cluster of m squares. The probability of choosing our seed square
in this cluster is m/N, where N is the total number of plaquets on the
lattice. The probability that we then choose a particular colour B as the
other colour for the cluster is 1/2, and after that there are no more choices:
the algorithm specifies exactly how the cluster should be grown from here
on. Thus the total probability for the move from u to v is m/(2N). Exactly
the same argument applies for the reverse move from v to u with the same
values of m and N, and hence the rates for forward and reverse moves are
the same. Thus detailed balance is obeyed.
7.4 Algorithms for the three-colour model 195

FIGURE 7.9 A checkerboard domain consisting of only two colours

(in this case colours 2 and 3) entirely surrounded by the third t'olour
(1 in this case) can be grown by exchanging the two colours in a clusster
horde-ring it (1 and 2).

The proof of ergodicity is a little trickier. It. involves two .steps. First,
we show that from any configuration we can evolve; via a finite: sequence of
reversible; moves to a checkerboard colouring (a configuration in which one of
the three colours is absent). Then we show that, all checkerboard colourings
are connected through reversible moves.
Any configuration of the lattice can be broken down into a number of
checkerboard regions consisting of only two colours, surrounded by plaquets
of the third colour. This is always true since any plaquct. which doesn't
belong to .such a region can be regarded as being the sole member of a
checkerboard of one. Under the dynamics of our proposed Monte Carlo
algorithm these checkerboard domains can grow or shrink. Consider for ex-
ample a domain of colours A and B. which is necessarily entirely surrounded
by plaquets of 1 the t h i r d colour C. We can form a cluster at the boundary of
the domain out of plaquets of colour C and one of the other two colours, and
by swapping the colours in this cluster we can increase the size of our AB
domain. (In order to make this work it may be necessary first, to exchange
the colours A and D in the AB domain.) By repeating this process we can
take a single cluster of one checkerboard pattern and grow it. until it covers
the entire lattice, leaving the lattice, in a checkerboard state. This process is
illustrated in Figure 7.9. (As the figure show's, it is possible for moves of this
type to leave the occasional odd plaquet in the middle of the checkerboard
region. However, these can easily bo removed by a. Monte Carlo step which
lakes t h i s single plaquet as its cluster and changes its colour. If such singlo-
plaquet moves were not allowed, then the algorithm would not, be ergodic,
a.s we maintained above.)
There arc six possible checkerboard colourings in all,6 and from any one
6)
Hoar in mind that the checkerboard with colour A on the even silcs and 11 B I ho the
196 Chapter 7: Ice models

of them the others can easily be reached, since on a checkerboard the colour
of any square can be changed on its own without changing any other squares.
Thus for example we can get from a checkerboard of colours A and B to one
of A and C by changing all the Bs to Cs one by one. All other combinations
can be reached by a similar process.
Since we can get from any state to a checkerboard colouring and from
any checkerboard to any other, all via reversible moves, it follows that our
algorithm can get from any state to any other in a finite number of moves.
In other words, it is ergodic.
The algorithm presented above, a single-cluster algorithm, resembles in
spirit the Wolff algorithm for the Ising model which we studied in Section 4.2.
It is also possible to construct a multi-cluster algorithm for the three-colour
model, similar to the Swendsen-Wang algorithm of Section 4.4.1. In this
algorithm we start by choosing at random a pair of colours A and B. Then
we construct all clusters of nearest-neighbour spins made out of these two
colours, and for each cluster we decide at random with 50% probability
whether to exchange the two colours or not. This algorithm satisfies ergod-
icity for the same reason the single-cluster algorithm did—each move in our
single-cluster algorithm is also a valid move in the multi-cluster version, so
we can apply exactly the same arguments about checkerboard domains to
prove ergodicity. The algorithm also satisfies detailed balance: the proba-
bility of selecting a particular two out of the three colours for a move is |,
and the probability of exchanging the colours in a particular set of clusters
is 2- n , where n is the number of clusters. The probability for the reverse
move is exactly the same, and hence detailed balance is upheld.

7.5 Comparison of algorithms for square ice

In the previous sections, we have described four algorithms for the simulation
of square ice: the long loop algorithm, the short loop algorithm, the single-
cluster three-colour algorithm, and the full-lattice three-colour algorithm.
In this section we consider these algorithms one by one and compare their
efficiency.
The first algorithm we looked at, the long loop algorithm of Section 7.2.1,
involved the creation of a pair of ionic defects, one of which diffuses around
the lattice until it recombines with the first, in the process reversing all
the arrows along the path of its diffusion. To assess the efficiency of this
algorithm, we first measure the average number of steps which the wandering
defect takes before it recombines, as a function of the system size L. For an
ordinary random walker on a square lattice, this number scales as L2. In the
case of the wandering defect however, we find that it scales instead as L1-67—

sites is distinct from the one in which the colours are reversed.
7.5 Comparison of algorithms for square ice 197

FIGURE 7.10 The mean length (m) of loops in the long loop algorithm
as a function of system size L. We find that (m) ~ L 1 - 66 5±0-002

see Figure 7.10.7 The amount of CPU time required per step in our algorithm
increases linearly with the size of the loop, and hence we expect the CPU
time per Monte Carlo step also to increase with system size as L1-67. This is
not necessarily a problem; since longer loops reverse more arrows as well as
taking more CPU time it is unclear whether longer is better in this case, or
worse. To answer this question we need to consider the correlation time T of
the algorithm. This, however, presents a new problem. In order to calculate
T we first need to calculate an autocorrelation (see Section 3.3.1), but what
quantity do we calculate the autocorrelation for? In the case of the Ising
model in Chapter 3 we calculated the autocorrelation of the magnetization,
but the square ice model does not have a magnetization. We might consider
calculating the autocorrelation of the internal energy, but all states of the
square ice model have the same energy, so the energy autocorrelation would
always be zero.
In this case, we have chosen to measure a quantity psym which we define
to be the density of the symmetric vertices, numbers 5 and 6 in Figure 7.3.
We calculate the autocorrelation of this quantity using Equation (3.21) and
then fit the resulting function to an exponential to find the correlation time,
as in Figure 3.6. The results are shown in Figure 7.11. As we can see, when
we measure time in Monte Carlo steps we find a correlation time which

7
In fact, it is known that the loop size scales exactly as L5/3. This result follows from
calculations using the so-called Coulomb gas representation of the square ice model. See
Saleur (1991).
198 Chapter 7: Ice models

FIGURE 7.11 The correlation time in Monte Carlo steps of the long
loop algorithm as a function of system size L. The best fit straight
line gives rsteps ~ La68±0.03.

increases as a power law with the dimension L of the system:

As in Section 3.3.1, the quantity we are really interested in is the correlation

time in "sweeps" of the lattice, which in this case means arrow flips per bond
on the lattice. This is easily calculated however. On average, each Monte
Carlo step corresponds to (m)/(2L 2 ) sweeps on our two-dimensional lattice
where (m) is the mean number of arrows around a loop. This means that
the correlation time varies with L as

The correlation time measures the amount of computer effort we have to

invest, per unit area of the lattice, in order to generate an independent con-
figuration of the arrows, and the exponent 0.35 appearing here is a measure
of how quickly this correlation time increases with increasing lattice size.
The value 0.35 is a reasonably small one—the correlation time is increas-
ing only rather slowly with system size—but as we will shortly see, some of
our other algorithms for square ice do better still, possessing exponents not
measurably different from zero.8
8
It may strike the reader that the power-law variation of the correlation time with
system size seen here is reminiscent of the way in which the correlation time of the Ising
7.5 Comparison of algorithms for square ice 199

FIGURE 7.12 The correlation time rsteps of the short loop algorithm
measured in Monte Carlo steps as a function of system size. The best
fit straight line gives Tsteps ~ L2-00±0.01

The short loop algorithm of Section 7.3 also involves creating a pair of
defects and having one of them diffuse around. Recall however that in this
case the wandering defect only has to find any of the sites which it has
previously visited in order to close the loop and finish the Monte Carlo step.
If the diffusion were a normal random walk then this process would generate
loops of finite average length. Although the diffusion of defects in square ice
is not a true random walk, it turns out once more that the behaviour of the
system is qualitatively the same as if it were. Prom simulations using the
short loop algorithm we find that the average number of steps per move is
(m) ~ 13.1, independent of the lattice size, for a sufficiently large lattice.
The correlation time measured in Monte Carlo steps Tsteps, for the same
observable psym as above, increases as L2, as shown in Figure 7.12. Since
the mean number of steps in a loop is independent of L, the correlation time
per unit area therefore goes as

Thus the correlation time of the short loop algorithm does not increase at
model varied with system size at the critical temperature in the algorithms studied in
Chapter 4. Yet the square ice model has no temperature parameter and therefore pre-
sumably cannot have a phase transition. In fact, it turns out that, in a certain technical
sense, the square ice model is at a phase transition, and the exponent 0.35 measured here
is precisely the dynamic exponent z of our algorithm at this transition (see Section 4.1).
A discussion of this point is given by Baxter (1982).
200 Chapter 7: Ice models

all with system size. This is the best behaviour we could hope for in our
algorithm, and so the short loop algorithm is in a sense optimal.
Our third algorithm was the single-cluster three-colour algorithm which
we developed in Section 7.1.3. For this algorithm each Monte Carlo step
corresponds to (n)/L2 sweeps of the lattice, where (n) is the average cluster
size. Like the average loop length in the long loop algorithm, (n) scales up
with increasing lattice size, and from our simulations we find that

The correlation time per Monte Carlo step is measured to go as

and hence the correlation time in steps per site goes as

The large value of the exponent appearing here indicates that the single-
cluster algorithm would be a poor algorithm for studying square ice on large
lattices.
Our last algorithm, the full-lattice three-colour algorithm, also described
in Section 7.1.3, generates clusters in a way similar to the single-cluster
algorithm, but rather than generating only one cluster per Monte Carlo
step, it covers the whole lattice with them. For this algorithm we find
numerically that the correlation time Tsteps measured in Monte Carlo steps is
approximately constant as a function of lattice size. Since each Monte Carlo
step updates sites over the entire lattice, one step corresponds to a constant
number of sweeps of the lattice on average, and hence the correlation time
in moves per site goes as

Thus, like the short loop algorithm, this algorithm possesses optimal scaling
as lattice size increases.
Comparing the four algorithms, clearly the most efficient ones for large
systems are the short loop algorithm and the full-lattice three-colour algo-
rithm. In both other algorithms, the computer time required per site to
generate an independent configuration of the lattice increases with system
size. The larger impact of the larger loops in the long loop algorithm for
instance does not compensate for the extra effort invested generating them.
Between the short loop algorithm and the full-lattice three-colour algorithm
it is harder to decide the winner since both have the same scaling of CPU
requirements with system size. The best thing to do in this case is simply
try them both out. As far as we can tell, the loop algorithm is slightly faster
(maybe 10% or 20%), but on the other hand the three-colour algorithm is
considerably more straightforward to program. It's a close race.
7.6 Energetic ice models 201

7.6 Energetic ice models

An interesting extension of the ice models discussed so far in this chapter
is to assign different energies to the different configurations of vertices, in
much the same way as we assign different energies to different spin config-
urations in the Ising models of previous chapters. There are a number of
different ways in which the energies can be assigned. One common one was
introduced by Slater (1941) who studied a model in which vertices 1 and 2
in Figure 7.3 are favoured by giving them an energy — e, while all the others
are given energy zero. Slater suggested that this model might provide an
approximate representation of the behaviour of the protons in the compound
potassium dihydrogen phosphate (KH^PC^), also known as KDP, which we
mentioned in a footnote earlier in the chapter. KDP has a four-fold coor-
dinated arrangement of hydrogen bonds as ice does, but appears to favour
some arrangements of the hydrogens over others. Because of its use as a
model of KDP, Slater's model is usually referred to as the KDP model.
Since it is possible to form a domain on a square lattice consisting only of
type 1 vertices or only of type 2, the KDP model has two degenerate ground
states in which the lattice is entirely covered with vertices of one of these
two types, and the model displays a phase transition, similar to that seen in
the Ising model (Section 3.7.1), from a high-temperature phase in which the
two appear with equal probability to a low-temperature one in which one or
the other dominates. A suitable order parameter to describe this transition
(see Section 3.7.1) is the polarization or average direction of the arrows:

where the vector fij is a unit vector in the direction of the iih arrow. In
an infinite system the polarization is zero above the critical temperature
of the phase transition Tc, and non-zero below it with a direction either
upwards and to the right, or downwards and to the left. The factor of 1/2
in Equation (7.14) is included so that the magnitude of P approaches unity
asT 0.
Another widely studied energetic ice model is the so-called F model
introduced by Rys (1963). In this model the symmetric vertices, numbers 5
and 6 in Figure 7.3, are favoured by giving them a lower energy —e, while
all the others are given energy zero. This model has a ground state in which
vertices 5 and 6 alternate in a checkerboard pattern across the lattice. There
are again two possible such ground states, depending in this case on which
type of vertex falls on the even sites of the lattice and which on the odd, and
as we lower the temperature there is a phase transition to one or other of
these states from a high-temperature phase in which vertices 5 and 6 fall on
even and odd sites with equal probability. Since neither symmetric vertex
202 Chapter 7: Ice models

possesses any net polarization, the value of P, Equation (7.14), is zero in

the thermodynamic limit for the F model, regardless of temperature. One
can however define an anti-ferroelectric order parameter which does become
non-zero in the low-temperature phase (see Lieb 1967).
The F model and the KDP model are the best known of the energetic
ice models, but there are many other possible choices of energies for the six
vertex configurations, many of which have been investigated at one time or
another. A number of them are discussed by Lieb and Wu (1970). If in
addition to the six configurations appearing in Figure 7.3 two more config-
urations are allowed, the ones with four ingoing or four outgoing arrows,
we end up with another popular class of models, known as eight-vertex
models. The properties of at least one eight-vertex model have been solved
exactly (Baxter 1971).

7.6.1 Loop algorithms for energetic ice models

In Section 7.5 we developed a variety of elementary moves for sampling the
states of ice models on square lattices, and showed how these could be used to
create Monte Carlo algorithms for the square ice model, in which all states
have the same energy. We can use the same sets of elementary moves to
create Monte Carlo algorithms for energetic ice models as well. Here we give
examples of algorithms for the particular case of the F model, but the same
ideas can easily be adapted for use with the KDP model or other energetic
ice models. The Hamiltonian of the F model is given by

where Vi is the type of the vertex at site i, represented using the numbering
scheme from Figure 7.3. Interest in the F model has primarily focused on
its behaviour close to the phase transition, which as Lieb (1967) has shown
takes place at Tc = e/ log 2. Most of the developments here will be directed
at finding an algorithm which performs well in this region, which means
both finding an efficient way of sampling states of the system with their
correct Boltzmann probabilities, and also tackling the critical slowing down
problems which we typically run into in the vicinity of a phase transition
(see Section 3.7.2).
The simplest way to create a correct algorithm for the F model is to
generate possible moves, such as the loop or cluster moves of the previous
sections, and then employ a Metropolis-type scheme in which instead of
accepting every move generated by the algorithm, we accept them with a
probability A(p, —> v) which depends on the energy difference &E = Ev -E^
7.6 Energetic ice models 203

FIGURE 7.13
(a) Symmetric vertices
become non-symmetric if a
loop passes through them.
(b) Non-symmetric vertices
stay non-symmetric if the
loop goes straight through,
but (c) become symmetric
if the loop makes a turn.

between the states u and v of the system before and after the move thus:

(See Section 3.1.)

Let us first consider algorithms in which the proposed moves involve
reversing the directions of the arrows around a loop on the lattice, as in the
long and short loop algorithms of Sections 7.2.1 and 7.3. To calculate the
energy change AE resulting from such a move, we could simply measure the
total energy of the lattice before and after the move and take the difference
of the two. This, however, is wasteful, since most of the vertices on the
lattice are unchanged between the two states, so that their contributions to
the Hamiltonian, Equation (7.15), cancel out. As we did in Section 3.1.1
with the Ising model, we can use this observation to derive a formula for
calculating AS which avoids performing sums over the whole lattice.
First, notice that the only vertices which change type (and hence en-
ergy) when we perform our Monte Carlo move are those which the loop
passes through. Furthermore, as we show in Figure 7.13, a symmetric ver-
tex (type 5 or 6) always becomes non-symmetric if the loop passes through
it, thereby increasing the total energy. For non-symmetric vertices the sit-
uation is slightly more complicated. If the loop passes straight through a
non-symmetric vertex, the vertex remains non-symmetric and its energy is
unchanged. On the other hand, if the loop makes a turn as it passes through
a non-symmetric vertex, the vertex becomes symmetric and the energy de-
creases. Thus, given a particular loop, we can calculate AE by counting the
number m of symmetric vertices which the loop passes through and the num-
ber n of non-symmetric vertices in which it makes a 90° turn, and applying
the formula

The density of symmetric vertices in the F model increases with decreas-

ing temperature, which means that the average number of symmetric vertices
through which a loop passes grows as we go to lower temperatures. Since
204 Chapter 7: Ice models

FIGURE 7.14 The correlation time rsteps of the short loop algorithm
for the F model measured in Monte Carlo steps, as a function of system
size. The best fit straight line gives Tsteps ~ L 2 - 00±0 - 09 .

each such vertex adds an amount e to AE, it is clear that the energy cost
of making a move will increase with the length of the loop, especially at low
temperatures. Large values of AE mean low acceptance ratios, which are
wasteful of computer time, and this implies that the short loop version of
our F model algorithm should be more efficient than the long loop one.
In Figure 7.14 we show results from a simulation of the F model using
the short loop algorithm at the critical temperature. The figure shows the
correlation time rsteps of the algorithm measured in Monte Carlo steps, and
the best fit to these data gives us

As with square ice, the number of sites updated by a single Monte Carlo
step tends to a constant for large lattices, so that the correlation time in
steps per site is

As with the Ising model calculations of Chapter 4, the scaling of r with the
system size gives us a measure of the dynamic exponent of our algorithm
(see Section 4.2). In the present case, all indications are that our short loop
algorithm has a zero dynamic exponent, at least to the accuracy with which
we can measure it. This is the best value we could hope for. It implies
that the CPU time taken by the algorithm goes up only as fast as the size
of the lattice we are simulating, and no faster. However, it turns out that
7.6 Energetic ice models 205

the algorithm is still quite inefficient because it has a low acceptance ratio,
which means that much of the CPU time is being wasted proposing moves
which are never carried out. For example, at Tc the acceptance ratio of the
algorithm is 36%, so that nearly two thirds of the computational effort is
wasted.
How can we increase the acceptance ratio of our Monte Carlo algorithm?
One way is to modify the algorithm to generate moves that are less likely
to cost energy and therefore more likely to be accepted. For example, if we
could encourage the loop to make turns in non-symmetric vertices, we would
on average end up with a lower final energy, since the reversal of the arrows
around the loop will create more symmetric vertices. Unfortunately, it turns
out to be rather complicated to formulate a correct algorithm along these
lines, and the expression for the acceptance ratio becomes quite tedious.
There is however an elegant alternative, which is to employ a three-colour
algorithm of the type discussed in Section 7.4.

7.6.2 Cluster algorithms for energetic ice models

The equivalent of a symmetric vertex in the three-colour representation of
the F model is a group of four squares around a vertex in which both of the
diagonally opposing pairs share the same colour. In non-symmetric vertices
only one of these two diagonal pairs share the same colour. Making use of this
observation we can write the Hamiltonian of the F model, Equation (7.15),
in the form

where the summation runs over all pairs of next-nearest-neighbour squares

[i, j], and a is the colour of square i. We see therefore that it is energetically
favourable to have pairs of next-nearest-neighbour squares with the same
colour. We can make use of this observation to create an efficient algorithm
for simulating the F model. In this algorithm, as in the algorithms for square
ice discussed in Section 7.4, we build clusters of nearest-neighbour plaquets
of two colours. But now in addition we also add to the cluster some next-
nearest-neighbour plaquets as well. In detail the algorithm is as follows:
1. We choose a plaquet at random from the lattice as the seed square for
the cluster. Suppose that this plaquet has colour A.

2. We choose another colour B # A at random from the two other possi-

bilities.

3. Starting from our seed square, we form a cluster by adding all nearest-
neighbour squares which have either colour A or colour B, and in
206 Chapter 7: Ice models

addition we now also add to the cluster the squares which are next-
nearest neighbours of some square i which is already in the cluster,
provided they have the same colour as square i. However, we make this
latter addition with a temperature-dependent probability Padd < 1,
whose value we calculate below in order to satisfy the condition of
detailed balance. We go on adding squares to the cluster in this way
until every possible addition has been considered.
4. The colours A and B of all sites in the cluster are exchanged.
It is straightforward to prove ergodicity for this algorithm. Since our
three-colour algorithm for square ice was ergodic (see Section 7.4), and since
each move in the square ice algorithm is also a possible move in our F model
algorithm (as long as Padd < 1)> the result follows immediately.
Detailed balance is a little more tricky. As before, we consider two states
u, and v which differ by the exchange of colours in a single cluster of m
squares. The probability of choosing the seed square to be in this cluster
is m/N and the probability of choosing a particular colour B as the other
colour for the cluster is1/2,just as in the square ice case. However, we now
also have a factor of Padd for every square which we add to the cluster which
is only a next-nearest neighbour of another and not a nearest neighbour.
And we have a factor of 1 — Padd for every such site which we could have
added but didn't. Thus the overall probability of making the move from u
to v is

The expression for log P(y —» u) is identical except for the exchange of the
labels u, and v. Thus the logarithm of the ratio of the probabilities for the
forward and reverse moves is

The energy difference AE between states u, and v is equal to e times the

change in the number of identically coloured next-nearest-neighbour squares
7.6 Euergetic ice models 207

fIGURE 7.15 Sample coiiligurHl.ions of the F model for increasing B.

White square's denote vertices of type 5 and 6 on even and odd lattice
sites rrspodivdy, and liliick verliees the reverse. All other vertices
are denoted hy grey squares. The temperatures are. on the lop row,
B/Bc 0.8. and 0.9: and on the- bottom row. B/B, - 1.0, 1.1, and
1.2,

(see Equation (7.20)). The only contribution in this sum comes from nearest-
nea rest-neighbour pairs i,j| such] that i belongs to the fluster and j dons
not, since all other pairs contribute the same amount to the Harniltonian in
state u, a.s in state v. Thus

In order to satisfy the condition of detailed balance we want the ratio of

the rates P(u. -+ v) and P(v — u) to be equal to the ratio exp( BAE)
of the Boltzraanri weights of the two states. Comparing Equations (7.23)
and (7.24), we see that this can be arranged by set.ting los(l -Padct) = -Be
or9

We can also make a full-lattice version of this algorithm in exactly the

same way as we did for the square ice caso. We choose two colours A and D
at random and create clusters all over the lattice from these two, using the

9Notice the similarity between this rosull and Equation (4.13) for the Wolff algorithm.
Our cluster algorithm for the three-colour model and the Wolff algorithm for the Ising
model have more in common than just a philosophical similarity.
208 Chapter 7: Ice models

FIGURE 7.16 The average area covered by the largest cluster of sym-
metric vertices in the F model as a function of inverse temperature B
for a variety of different system sizes.

method above. The proofs of ergodicity and detailed balance for the full-
lattice version of the algorithm follow from the single-cluster version just as
in the case of the square ice model.
So how do these cluster algorithms perform? In Figure 7.15 we show some
results from simulations of the F model with e = 1 and varying temperatures
using the full-lattice version of the algorithm described above. In this figure
we have coloured areas of the two low-energy domains (checkerboards of
symmetric vertices) in black and white—type 5 vertices on even lattice sites
and type 6 vertices on odd lattice sites are black, while type 5 vertices on
odd lattice sites and type 6 vertices on even lattice sites are white. All other
vertices are in grey. The phase transition is clearly visible in the figure as a
change from a state in which black and white appear with equal frequency
to one in which one or the other dominates.
One observable in which we can detect the change in behaviour at the
phase transition is the fraction of the system covered by the largest cluster of
symmetric vertices (the black and white areas in Figure 7.15). In Figure 7.16
we have plotted this fraction as a function of the inverse temperature B for
a number of different lattice sizes L with e = 1. For large (3 (i.e., low
temperature) the largest cluster percolates (see Section 4.3) and covers a
sizeable fraction of the system. For smaller values the cluster only covers
a small fraction of the system and its size is independent of the size of the
lattice, so that the fraction of the total system size which it covers gets
smaller as L increases. The transition between these two regimes can be
7.6 Energetic ice models 209

seen in Figure 7.16, although it is only really clear for the larger system sizes
(L = 400 and above). The critical temperature appears to be somewhere in
the range between B = 0.65 and 0.75, which agrees with Lieb's exact figure
of Bc — log 2 = 0.693. In Section 8.3 we will show how the technique of
finite size scaling can be used to make more accurate estimates of critical
temperatures from Monte Carlo data.
More extensive simulations (Barkema and Newman 1998) indicate that
the single-cluster three-colour algorithm for the F model is actually rather
poor at simulating the model near Tc. The measured dynamic exponent is
about z — 1.3, making it the worst of the algorithms we have looked at in
this chapter. The full-lattice algorithm on the other hand is much better;
there is no measurable increase in the correlation time in number of lattice
sweeps with system size at Tc. The best estimate of the dynamic exponent
is z = 0.005 ± 0.022. Since this algorithm has an acceptance ratio of unity
and is in addition relatively straightforward to program, it would clearly be
the algorithm of choice for studying the critical properties of the F model.

Problems
7.1 We can extend the square ice model to three dimensions by placing
arrows on the bonds of a cubic lattice and requiring that exactly three arrows
enter and leave each vertex. Using Pauling's argument (Section 7.1.2), make
an estimate of the residual entropy per site of this model.
7.2 In the ground states of the q = 3 Potts model with anti-ferromagnetic
(J < 0) nearest-neighbour interactions, no two adjacent spins may take the
same value. This means that the set of ground states is the same as the set
of states of the three-colour model described in Section 7.1.3, or equivalently
the square ice model. What kind of Potts model is equivalent to the F model
of Section 7.6?
7.3 Design a Monte Carlo algorithm to simulate the eight-vertex model
described at the beginning of Section 7.6, in the version where all vertices
have the same energy.
8

Analysing Monte Carlo data

In the preceding chapters of this book we have looked at Monte Carlo al-
gorithms for measuring the equilibrium properties of a variety of different
models. The next few chapters are devoted to an examination of Monte
Carlo methods for the study of out-of-equilibrium systems. But before we
embark on that particular endeavour, we are going to take a look at some
techniques for the analysis of data from equilibrium simulations. There are
no new Monte Carlo algorithms in this chapter, but it does describe sev-
eral methods of data analysis which can significantly improve the quality of
the results we extract from the raw data spit out by the algorithms of the
previous chapters.
In Chapter 3 we discussed a number of basic techniques for extracting
estimates of quantities of interest from Monte Carlo data, and for calculating
the errors on these estimates. We covered such topics as the measurement
of the equilibration and correlation times, and the calculation of the values
of directly measurable quantities such as internal energy, as well as ones
which can only be measured indirectly, such as specific heat or entropy. We
looked at error estimation techniques like blocking and bootstrapping, and
at the calculation of correlation functions and autocorrelations. Most of the
methods we discussed are essentially direct applications of ideas common
to all data analysis; we deal with our Monte Carlo data very much as an
experimentalist would deal with data from an experiment on a real physical
system. In this chapter, by contrast, we will examine a number of data anal-
ysis techniques which are peculiar to Monte Carlo methods. In Sections 8.1
and 8.2 we look at the "histogram method" of Ferrenberg and Swendsen, in
both its single and multiple histogram incarnations. The single histogram
method allows us to take a single Monte Carlo simulation performed at some
particular temperature and extrapolate the results to give predictions of ob-
servable quantities (internal energy, for instance) at other temperatures. The
8.1 The single histogram method 211

multiple histogram method allows us to interpolate between several different

simulations performed at different temperatures. Both methods can also be
generalized to allow extrapolation or interpolation in parameters other than
the temperature, such as magnetic field in the case of a spin model.
In Sections 8.3 and 8.4 we discuss two techniques which are important
for the study of critical phenomena using Monte Carlo methods. In Sec-
tion 8.3 we look at "finite size scaling" which allows us to calculate critical
exponents, critical temperatures and other critical properties by observing
the way in which our simulation results vary as we change the size of the
system. We have already seen a demonstration of one form of this tech-
nique in the calculation of the dynamic exponents for various Ising model
algorithms in Chapter 4. In Section 8.4 we look at "Monte Carlo renor-
malization group" techniques which provide an alternative, and sometimes
superior way of measuring critical properties.

8.1 The single histogram method

The single histogram method (sometimes just called the "histogram
method") is a technique which allows us to perform a single Monte Carlo
simulation at some specified temperature and extrapolate the results to other
nearby temperatures. Clearly this could save us a great deal of CPU time
compared with the alternative of performing a number of different simula-
tions over a range of temperatures to extract the same information. The
method is based on an idea put forward by Valleau and Card (1972). The
version in common use today, which is the one we present here, is due to
Ferrenberg and Swendsen (1988). In essence it is extremely simple.
Equation (2.2), which we repeat here for convenience, defines the way in
which we calculate the estimator of a quantity Q from M measurements Qui
made during the course of a Monte Carlo simulation:

In most of the algorithms we have seen so far, the probabilities pui with
which the individual states are sampled once the simulation reaches equilib-
rium were chosen to be the Boltzmann weights for the temperature we are
interested in.1 Suppose however, that the pui are instead the Boltzmann
probabilities for another temperature Bo = 1/kT0—one close to, but not
exactly equal to the temperature we are interested in:

1 An exception is the entropic sampling method of Section 6.3, which samples states in
inverse proportion to the density of states.
212 Chapter 8: Analysing Monte Carlo data

where ZQ is the partition function at temperature TQ. Substituting this into

Equation (8.1), we get

This is the fundamental equation of the histogram method, in its simplest

form. It allows us to take a series of measurements Qw of the observable
Q, made during a Monte Carlo run at inverse temperature Bo, and extract
from them an estimate of the thermal average of Q at inverse temperature B.
Note that the energies Eui appearing in the equation are the total energies
of the states ui, and not energies per spin. (If you use energies per spin in
this formula, it will give completely incorrect results, a point worth taking
note of, since our Monte Carlo codes often calculate energy per spin.)
As an example of the application of the histogram method, we show in
Figure 8.1 the internal energy of the two-dimensional normal Ising model
on a 32 x 32 square lattice with J = 1 simulated for one million steps
of the Swendsen-Wang cluster algorithm (Section 4.4.1). The simulation
was performed at the known critical temperature of the 2D Ising model
Bc =1/2log(l + /2)- We have calculated the internal energy per spin u at BC
directly from the output of this simulation (the large dot in the figure), and
then extrapolated to other nearby temperatures using the histogram method
(solid line). We have also performed a number of further simulations over a
range of temperatures to measure the internal energy directly. These results
are shown as the open circles in the figure. As we can see, the extrapolation
agrees well with the true result, until we get well away from TO; extrapolating
too far from the temperature of the original simulations gives poor results
with the histogram method.
The errors on our extrapolation of the internal energy can be calculated
by any of the methods discussed in Section 3.4. We treat the extrapolated
values no differently from the way we would treat directly measured ones.
However, as Figure 8.1 makes clear, there is another, rather poorly regulated
source of error here: the failure of the extrapolation as we move too far away
from the temperature at which the original simulation was performed. The
obvious way of dealing with this error is to confine ourselves to the region
in which the extrapolation is good. But how do we estimate the limits of
this region? In Figure 8.1 we have performed a set of extra simulations
to check our extrapolation, but this was only for illustrative purposes. In
general, it would defeat the point of performing the extrapolation to check it
against direct calculations. However, it turns out that there is another, quite
straightforward way to calculate the limits of validity of the extrapolation
directly from the results of our single simulation at TQ.
Still considering the case of the internal energy for the moment, the mea-
surements Qnt in Equation (8.3) are simply measurements Eui of the total
8.1 The single histogram method 213

FIGURE 8.1 Illustration of the working of the histogram extrapolation

method for a 32 x 32 two-dimensional Ising model with J = 1. A single
simulation was performed at the critical temperature of the model
(large dot) and the results were extrapolated to nearby temperatures
(solid line). The dashed vertical lines represent the temperature range
over which the extrapolation is expected to remain accurate and the
open circles are the results of extra simulations performed to check the
accuracy of the method.

energy (i.e., the Hamiltonian) of the system. We can rewrite the equation
in the rorm

where the sum now runs over all possible energies E of the states of our
32 x 32 Ising model (i.e., E = -2048J, -2044J, . . . 2048J) and N(E) is the
number of times that states of energy E occurred during the Monte Carlo
run. N(E) is thus a histogram of the energies of the states sampled, and in
fact in their original exposition Ferrenberg and Swendsen wrote the entire
development of their method in terms of histograms like this, which is where
the name "histogram method" comes from. However, although we will use
the histogram here to show what the limits of the extrapolation should be, it
is not necessary to use it to perform calculations using the histogram method;
Equation (8.3) is all that is necessary. The main reason why one might
want to use a histogram is because the direct application of Equation (8.3)
normally requires us to store all the measurements Qui made during the
simulation. For a long simulation this means storing a large amount of data,
whereas the histogram by contrast is fairly small, and furthermore does not
grow in size with the length of the simulation. However, these days (in
214 Chapter 8: Analysing Monte Carlo data

contrast to the situation in 1988 when Ferrenberg and Swendsen published

their original paper on the histogram method) disk storage space is cheap,
and finding enough to store the results of a simulation is rarely a problem.
Furthermore, while it is fine to use a histogram for models such as the Ising
model, it is less satisfactory for models which have continuous energy spectra,
such as the XY and Heisenberg models of Section 4.5.3. For models such as
these, construction of a histogram means approximating our Monte Carlo
data by lumping nearby energies into the same bin in the histogram. For
models such as these, storing all the data and using Equation (8.3) is clearly
a better course.
Returning to the question of the extrapolation range, we can regard
Equation (8.4) as a weighted average over the energies E thus:

with properly normalized weights W(E) which depend on the temperature

difference B — Bo:

Note that W(E) is proportional to N(E) at the temperature B = fa at

which the original simulation was performed. In Figure 8.2 we have plotted
W(E) as a function of energy for a variety of different values of B — fa for
our 32 x 32 Ising model. This figure demonstrates in a graphical fashion how
the histogram method works, and also shows why it eventually breaks down
when 0 strays too far from fa. In effect, the histogram method attempts to
estimate what the histogram of energies would be for a simulation carried out
at temperature T, based on the histogram measured at TO, by reweighting
the bins of the histogram with exponential factors which depend on the
difference of temperatures. However, as we know from Section 1.2.1, the
range of energies sampled by a typical Monte Carlo calculation is rather
small. If we stray too far from the centre of this range we will find that
the bins of the histogram are empty. And in the tails of the histogram the
bins will contain very few samples, which means that the fractional sampling
error in the number of samples will be large. Thus, attempting to calculate
a reweighted histogram too far away from the temperature TO of the original
simulation will either result in a histogram with large statistical errors, or
worse, one with no samples in its bins. This problem is clearly visible in
Figure 8.2 as we increase the separation of B and fa, and is particularly
noticeable in the rightmost curve.
The question then is, what is the largest temperature difference AT =
T — TO which we can extrapolate over and still get reliable results from the
histogram method? The answer is that the middle of the distribution W(E),
8.1 The single histogram method 215

FIGURE 8.2 The weight function W(E) as a function of E for the two-
dimensional Ising model on a 32 x 32 lattice. The original simulation
was performed at the critical temperature Tc = 2.269 with J = 1 and
the curves shown are (left to right) for T = Tc, 2.3, 2.4 and 2.6.

which is approximately given by the internal energy U — (E), Equation (8.5),

should fall within the range over which N(E) is significantly greater than 1.
If we represent this range by the standard deviation UE of N(E), then our
criterion is

The square 2E of the width of the histogram is proportional to the total

specific heat C at temperature TO (see Equation (1.19)), so we can also
write our criterion entirely in terms of the thermodynarnic variables U and
C thus:

(Once again, we have set the Boltzmann constant k — 1 for simplicity.) If

we further make the approximation that

then the distance AT which we can reliably extrapolate away from TO is

given by
216 Chapter 8: Analysing Monte Carlo data

In fact, for simulations in which we take a large number of samples— a million

is not atypical —this is quite a conservative estimate. It is quite possible
that we will get reasonable results as much as 2 AT or more away from T0.
However, Equation (8.10) provides a good rule of thumb to guide us in our
work.
In the case of our 32 x 32 Ising model calculation, we performed our
simulation at the critical temperature TQ =TC = 2.269. At this temperature
we find that the specific heat is about C(T0) = 1.89 x 103. Applying Equa-
tion (8.10), this gives us AT = 0.052. In this case our simulation was quite a
large one, producing a million samples, so it is probably safe to extrapolate
2AT from the central temperature. (Assuming normally distributed sam-
ples, going two standard deviations oE away from the mean sample energy
still leaves 5% of the samples in the region around the peak of the reweighted
histogram. For a million sample run 5% is 50 000 samples, which should be
plenty to give a reasonable estimate of u.) We have marked these limits with
the vertical dashed lines in Figure 8.1, and, as we can see, these do indeed
represent a fair estimate of the region in which the extrapolated results are
in agreement with the direct measurements.
The case we have discussed here of the measurement of the internal en-
ergy is a particularly simple one. Both the histogram and the Boltzmann
weight are functions of the same variable E, which makes the equations es-
pecially simple. However, the application of the histogram method to other
variables is not difficult: the fundamental Equation (8.3) applies perfectly
well to any other observable, such as magnetization for example, and per-
forming the extrapolation just involves the application of this equation. Fur-
thermore, the arguments given here for the limits of the extrapolation still
apply: the width of the energy distribution of the sampled states still gives
an estimate of the temperature range over which we can reliably extrapo-
late. So Equation (8.10) still applies. The only change occurs if we wish to
perform the extrapolation using an actual histogram, as in Equation (8.4).
In this case, the correct generalization is

where N(E, Q) is a two-dimensional histogram of energy and the observable

Q. In the case of an Ising model, for example, N(E, M) would be the
number of times during the Monte Carlo run that a state with energy E and
magnetization M appeared. Unfortunately, this two-dimensional histogram
may have many millions of bins for a large system, making it impractical to
calculate. What's more, a separate histogram has to be constructed for each
observable we wish to measure. For these reasons, as well as for those given
earlier, it is normally better just to apply Equation (8.3) directly, and this
is the course of action we would usually recommend.
8.1 The single histogram method 217

8.1.1 Implementation
The single histogram method is usually very simple to implement, as the ex-
ample given in the last section demonstrates. However, there is one problem
which crops up, particularly with simulations of large systems, which can
make direct implementation of the method problematic. Recall that the en-
ergies appearing in Equation (8.3) are total energies of the system simulated,
which means that they increase as the volume of the simulated system. For
larger systems therefore, it is not unusual for the exponentials to overflow
or underflow the range of reals which the computer can represent (which is
about 10+300 on most modern computers). There are a couple of tricks we
can use in this situation.
Since the properties of our system are independent of where we set the
origin of measured energies, we can add or subtract any constant EQ from
all energies Eu and still get the same answer for the expectation of any
observable quantity. (Quantities which depend directly on the energy will
of course be shifted by an amount corresponding to EQ, but this is easy to
correct for.) Thus we can reduce the probability of the exponentials causing
overflows or underflows by subtracting the mean energy EQ = (E) from all
energies before performing the histogram calculation. The range of energies
sampled by the calculation increases only as VN, where N is the size of
the system, so by using this trick we should be able to simulate significantly
larger systems before overflow occurs. Often this is sufficient to remove the
problem for all system sizes of interest. For very large systems however, it
may not be enough, in which case we can use another trick, similar to the
one we used for the density of states in the entropic sampling method (see
Section 6.3.3). Instead of calculating the terms in Equation (8.3) directly,
we calculate their logarithms, which have a much smaller dynamic range
and will never overflow the limits of the computer's accuracy. Evaluating
the equation then requires us to calculate a sum of quantities for which we
know only the logarithms. Moreover, we want to do this without taking the
exponential of these logarithms, since we are using the logarithms precisely
because the exponentials are expected to overflow the numerical limits of
our computer. We can get around this problem using the following trick.
Suppose l1 and l2 are the logarithms of two numbers x1 and 0:2, and that
l1 > l2. Then the logarithm of the sum of x1 and x2 is

The exponential inside the logarithm is, by hypothesis, less than one, so the
expression can be safely evaluated without risk of overflow. In the case where
l1 < 12 we can use the same expression but with l1 and l2 swapped around.
Most computers provide a library function which will evaluate log(l + x) ac-
218 Chapter 8: Analysing Monte Carlo data

curately, even for very small x (which is often the case with Equation (8.12)),
and if such a function is available we advise you to use it. (In C, for example,
it is usually called loglpO.)
Using Equation (8.12) requires more computational effort than perform-
ing the simple sums involved in Equation (8.3) and it can slow down the
calculation considerably. However, the time taken is usually still small com-
pared with the time invested in performing the Monte Carlo simulation itself,
so this is not normally an issue of any importance.
Another slight problem is that some observables, such as energy or mag-
netization, may have negative values, which means that we cannot take the
logarithms of the terms in the denominator of (8.3). Normally, however,
there is a way around this problem. In the case of the energy for instance,
since we are at liberty to shift its value by any constant amount EQ, we can
simply shift the energies by an amount big enough to make them all positive.
In the case of the magnetization, we normally work with the absolute value
anyway, so sign problems do not arise. If there is no other alternative, we
can always represent the absolute magnitude of a quantity using a logarithm
and store the sign of the quantity in a separate variable.

8.1.2 Extrapolating in other variables

We can also use the histogram method to extrapolate in variables other than
the temperature. In particular, if we can write the Hamiltonian in the form

then we can perform an extrapolation in any of the variables J(k). Here,

the J(k) are "coupling constants" which give a scale to the energies in the
Hamiltonian (such as the parameter J appearing in the Ising Hamiltonian),
and the E(k) are dimensionless functions of the spins or other degrees of
freedom in the model we are studying. For example, in a uniform external
magnetic field, the Hamiltonian of the Ising model is

which is of the form given in Equation (8.13) with

8.2 The multiple histogram method 219

We can extrapolate in any of the variables J(k) using a simple general-

ization of Equation (8.3). First, we rewrite Equation (8.1) for the estimator
of Q as

Suppose we wish to calculate QM at some point in the parameter space

represented by the values {J(k)}, but our Monte Carlo run was actually
performed at some nearby point [Jg }. Then the sampling probabilities
pui are given by

Substituting this into Equation (8.17), we then get

This is the appropriate generalization of Equation (8.3) for extrapolation in

a number of variables. In order to use this equation, we need to perform
a Monte Carlo simulation of our system at a particular point {J(k)} in the
parameter space and record the value of each of the energy terms E(k) for
each sample we take. Note that it is not adequate to record only the total
energy Eui of each state as we did before.

8.2 The multiple histogram method

If we want to estimate our observable Q over a larger range of temperatures
than the range allowed by the single histogram method (see Equation (8.10)),
then we need to perform simulations at more than one temperature. (Again,
we will for the moment restrict our discussion to variations in temperature,
but the techniques we introduce in this section can be generalized to other
parameters in a straightforward fashion.) If these simulations sample sets
of states with overlapping ranges of energy, then the ranges over which we
can extrapolate the results of each individual simulation will overlap, and
so we should in theory be able to employ the extrapolation method intro-
duced in the last section to calculate the value of any observable over the
entire temperature range spanned by our simulations. However, we can do
better than this. It is clear, for instance, that at the extreme ends of the
extrapolation range of the single histogram method, the accuracy of the ex-
trapolation decreases. In the case of several simulations with overlapping
ranges however, the upper end of one simulation's range is the lower end of
another's. Although both extrapolations may be rather poor in this region,
220 Chapter 8: Analysing Monte Carlo data

one feels that it ought to be possible to combine the estimates from the two
simulations to give a better estimate of (Q). Indeed, since every simulation
gives an estimate (however poor) of the value of (Q) at every temperature,
we should be able to combine all of these estimates in some fashion (presum-
ably giving greater weight to ones which are more accurate) to give the best
possible figure for (Q) given our several simulations. This in essence is the
idea behind the multiple histogram method, first proposed by Ferren-
berg and Swendsen in 1989. The multiple histogram method is in fact not
particularly closely related to the single histogram method of Section 8.1,
and it is probably better to regard it as an entirely new technique, rather
than an extension of the ideas of the last section.
There are a variety of ways in which we might reasonably combine esti-
mates of an observable derived from several different Monte Carlo calcula-
tions. The most obvious approach is to take some kind of weighted average
of the single histogram extrapolations from each of our simulations. It turns
out, however, that this approach is rather error-prone and does not give good
results except when the quality of our Monte Carlo data is very high. Here
we describe an alternative prescription which concentrates instead on the
evaluation of a best estimate for the density of states. From this estimate,
we can then derive the value of any other observables we are interested in.
As we did in the last section, we will start off by considering the observable
E—the internal energy—which is the simplest case. In Section 8.2.2 we give
the appropriate generalization to other quantities.
For a Monte Carlo simulation with normal Boltzmann importance sam-
pling, the probability p(E) of generating a state with energy E on any one
time-sten is

where p ( E ) is the (energy) density of states—the number of states of the

system2 with energy E—and Z is the partition function (neither of which
we usually know). If we perform a Monte Carlo simulation at inverse tem-
perature B and make n independent measurements of the total energy E of
the system, then we can make an estimate of p(E) thus:

where the histogram N(E) is the number of times out of n that the system
was measured to have energy E. Equation (8.20) then tells us that the
2
We are assuming here that the system has discrete energies, as the Ising model for
example does. If it has a continuous spectrum of energies, as in the Heisenberg model
for example, then p(E) is replaced by p(E) dE, the number of states in an interval dE,
and the following equations are modified appropriately. As it turns out however, the final
equations for the multiple histogram interpolation in the continuous case are exactly the
same as for the discrete case considered here.
8.2 The multiple histogram method 221

FIGURE 8.3 Histograms N(E) of energies measured for a two-

dimensional Ising model on a 32 x 32 square lattice with J = 1 in
five runs of 100 000 Monte Carlo steps each using the Swendsen-Wang
algorithm. The temperatures of the runs are (left to right) T = 1.8,
2.0, 2.2, 2.4 and 2.6.

density of states is given by

Now suppose we perform a number of different simulations at a number of

inverse temperatures Bi, giving a number of different estimates of the density
of states:

Since p(E) is a single function which depends only on the system we are
studying, and not on the temperature, each of these estimates pi(E) is an
estimate of the same function. Now we ask ourselves, "What is the best
estimate we can make of the true density of states, given these many differ-
ent estimates from our different simulations?" To make the point clearer,
look at Figure 8.3, in which we have plotted the histograms Ni(E) of ener-
gies measured in five simulations of a two-dimensional Ising model at five
different temperatures. As we can see, the simulations sample different but
overlapping ranges of energy. Clearly Equation (8.23) will give a fairly good
measure of the density of states in a region where the corresponding histo-
gram Ni(E) has many samples. But in other regions where it has few (or
none at all) it will give a very poor estimate. What we want to do is form
222 Chapter 8: Analysing Monte Carlo data

a weighted average over the estimates pt(E) to get a good estimate over
the whole range of energies covered by our histograms. This average should
give more weight to individual estimates in regions where the corresponding
histograms have more samples.
The standard way to perform such a weighted average is as follows. If we
have a number of measurements Xi of a quantity x, each of which has some
associated standard error o1, then the best estimate of x is3

In other words, we take a weighted average in which we weight each mea-

surement with the inverse of its variance about the true value.4 It turns out
that the variances o2(E) on our estimates pi(E) of the density of states are
proportional to N - 1 ( E ) , so that to get the best estimate of p(E) we simply
weight each individual estimate according to the number of samples in the
corresponding histogram at that energy. Although this result is satisfyingly
intuitive, its proof is quite subtle.
Assuming that our measurements of the energy of the system are in-
dependent, the error ANi(E) on the number of samples in each bin of a
histogram should be simply Poissonian. In other words

In fact, and this turns out to be an important point, the true error
is a function of the average histogram Ni(E) at temperature Bi, taken over
many runs.5

3
This assumes that the errors are normally distributed. As we will see, the errors on our
histograms are Poissonian, but it is a reasonable assumption to approximate Poissonian
errors as Gaussian in this case.
4
It is in fact not too difficult to prove this formula. Writing x as a weighted average
over the measurements, with weights Wi thus:

we can then calculate the difference between this estimate and the true value x, which
we don't know. Then we square this quantity and minimize, so as to make x as close
as possible to the true value. Making the assumption that the errors oi in the different
measurements are all independent random variables, we can then show that the best
estimate is achieved when Wi = 1/r?.
5
Similarly, we can make an estimate of the standard deviation of a quantity x by mak-
ing a number of measurements Xi and calculating the standard deviation of the sample.
However, the true standard deviation is only given by taking an infinite number of such
measurements.
8.2 The multiple histogram method 223

To clarify what we mean here, imagine making a very large number of sim-
ulations all at inverse temperature ft, taking n, measurements of E in each,
forming a histogram of each run, and then averaging the histograms bin by
bin. The square root of these average bins would then give us the correct
estimate of the error ANi (E) on any one histogram. The reason that this is
important is that Ni(E) is related to p(E) thus (see Equation (8.23)):

where p(E) is the exact density of states. In other words, if we were to do an

infinite number of simulations at Bi, then we could in principle calculate the
true density of states for all energies from the results. Of course, we cannot
do this, but Equation (8.27) will allow us to simplify our equations for the
multiple histogram method considerably.
The Poissonian variation in Ni(E) is the only source of error in Equa-
tion (8.23), so the error 0j on pi(E) is

where we have used Equation (8.27). Recalling (Equation (8.24)) that the
weights in our weighted average over the pi(E) are 1/o5 i this shows, as
we contended above, that the best estimate of the true p(E) is arrived at
by weighting each pi(E) in proportion to the number of samples in the
corresponding histogram at that energy.6 Performing the weighted average,
our best estimate of p(E) is thus

where we have used Equation (8.27) again to get rid of the quantities Ni(E),
whose values we don't know.
Unfortunately however, we are not finished yet. This expression is still of
little use to us, because it contains the partition functions Zj of the system
at each of the simulated temperatures Bj on the right-hand side. These are
6
Strictly, it's the ideal histogram Ni(E), not the measured one.
224 Chapter 8: Analysing Monte Carlo data

also quantities which we don't know. We get around this by noting that the
partition function itself is given by

Implementing the multiple histogram method involves solving this equation

iteratively for the partition functions Zk at each of the inverse temperatures
Bk used in the simulations. We make some initial estimate of the values
of the Zk, plug them into this equation and arrive at a different, better
estimate. Repeating this process many times, we eventually converge on a
"fixed point" of the equations, which gives the correct values for the partition
functions. Given these values, we can then calculate the partition function
at any other temperature from a simple generalization of (8.31):

Combining this with Equation (8.30) we can then get an estimate of, for
instance, the internal energy:

Note that, just as with the single histogram method, the energies E appear-
ing in all of these formulae are total energies, not energies per spin. If we
use energies per spin the method will give erroneous results.
The multiple histogram method is undoubtedly quite a complicated tech-
nique, but in practice it gives excellent results. As an example, consider
Figure 8.4. Here we have taken the five Ising simulations which produced
the histograms in Figure 8.3 and calculated the internal energy for each one
by a direct average over the measured energies. These five measurements are
represented by the five large dots. Then we have used the five histograms
to evaluate the partition function at each of the five temperatures by iter-
ating Equation (8.31) until it converges to a stable fixed point. Then we
have calculated the internal energy over the entire range of temperatures
using Equations (8.32) and (8.33). The results are shown as the solid line in
the figure. As we can see, the line passes neatly through each of the large
dots, and interpolates smoothly between them. Finally, we have performed
a number of further simulations at temperatures intermediate between the
first simulations, as a check of the histogram interpolation. From these we
8.2 The multiple histogram method 225

FIGURE 8.4 Illustration of the working of the multiple histogram

method for our 32 x 32 two-dimensional Ising model. The five large
dots are direct measurements of the internal energy at five tempera-
tures. The solid line is the histogram interpolation between these five
values. The open circles are the results of extra simulations performed
to check the accuracy of the interpolation.

have made direct measurements of the internal energy which we show as the
open circles on the figure.
We can also calculate the errors on our interpolated results by applying
any of the methods described in Section 3.4. For example, we could repeat
the entire histogram procedure several times over with bootstrap resampled
data sets (Section 3.4.3) drawn from the data produced by the simulations,
and calculate the variance of the interpolated results over all repetitions. In
fact, in the case of the calculation shown in Figure 8.4, the error on u is
smaller than the width of the line, so there isn't much point in our including
it on the graph.
As the figure shows, the histogram interpolation approximates extremely
well the true value of the internal energy in the regions between the five initial
simulations. This is the power of the multiple histogram method: it allows
us to perform a small number of simulations at different temperatures and
interpolate between them to get a good estimate of an observable over the
entire range,7 thereby saving us the effort of performing more simulations at
intermediate temperatures. The amount of CPU time involved in performing

7
Actually, the method also allows us to extrapolate a short distance outside the range
sampled by the simulations—it extrapolates well over the same range as the single his-
togram method (see Equation (8.10)).
226 Chapter 8: Analysing Monte Carlo data

the iteration of Equation (8.31) is small compared with the amount needed
to perform most Monte Carlo simulations, especially on large systems, so the
method can save us a lot of time when we want to measure some quantity
over a large range of temperatures.

8.2.1 Implementation
Before moving on to other topics, we should say a few words on how you
actually implement the multiple histogram method. First, how widely spaced
should our Monte Carlo simulations be to allow accurate interpolation using
the multiple histogram method? Well, the range over which any one of
our estimates pi(E) of the density of states is valid is the range over which
the corresponding histogram Ni(E) is significantly greater than one. Thus,
the linear combination used to estimate p(E) will only give good results over
the entire temperature range if the histograms from the different simulations
overlap, just as we suggested they should earlier. As in the case of the single
histogram method, we can write a criterion for this overlap in terms of the
standard deviations of the samples in the histograms, or in terms of the
specific heat. A simple version, which works perfectly well in most cases, is
just to double the temperature range allowed by Equation (8.10) and make
this the temperature separation of adjacent simulations.
The complicated part of the histogram calculation is the iteration of
Equation (8.31) to calculate the partition functions Zk. There are a number
of tricks which are useful here. The main problem is that the values of
the partition functions can become very large or very small—recall that the
partition function is exponentially dependent on the total energy E of the
states of the system. We can alleviate this problem somewhat by normalizing
the partition functions. Notice that Equation (8.31) remains unchanged if
we multiply all the Zk by the same normalization factor A. Furthermore,
any such normalization will cancel out of Equation (8.33) when we come to
calculate U. It makes sense to normalize the partition functions by some
factor which reduces the chances of their either over- or under-flowing the
numerical range of the computer (about 10±300). A simple way to achieve
this is to set A equal to one over the geometric mean of the largest and
smallest partition functions at each iteration:

This makes the normalized values of Ziarge and Zsmall reciprocals of one
another, and therefore equally far away from the limits of precision of the
machine.
It is not unusual however, for the ratio Zlarge/Zsmall to exceed even the
600 orders of magnitude over which a typical computer can represent real
8.2 The multiple histogram method 227

numbers accurately, in which case the trick above will not be sufficient and
at least one of our partition functions will pass outside the allowed range,
causing the histogram method to fail. This is particularly common with
large system sizes, since the value of the partition function increases expo-
nentially with the volume of the system simulated. In this case, we can use
the same trick as we did in the single histogram method and work with the
logarithms of the partition functions. (The partition function is always pos-
itive, so there is no danger of our trying to take the logarithm of a negative
number.) To evaluate the sums in Equations (8.31), (8.32) and (8.33) we
use Equation (8.12).
Another issue is the question of what the starting values of the Zk should
be, and how many iterations we need to perform to calculate their final
value. The starting values are in fact not particularly important. The only
crucial point is that they should be greater than zero. In the calculations
for Figure 8.4 we used starting values of Zk = 1 for all k. If we were
performing the calculation using the logarithms of the partition functions,
then the equivalent starting values of the logarithms would be zero. As
for the number of iterations we should use, we can estimate this from the
amount by which the partition functions change on each iteration. In the
calculations presented here, we gauged this by calculating the quantity

where Z™ is the value of Zk at the mth iteration. When this quantity falls
below some predefined target value e2 we know that the fractional change
per iteration in the most quickly changing of the Zk is less than e. In
our calculations we used a value of e = 10-7. (Strictly, this gives us no
guarantees about the accuracy of our results, since we have no information
about the speed with which the iteration converges. In practice however,
it converges very fast—exponentially in fact—and the criterion above gives
perfectly good results.)
A further point worth noting is that, as with the single histogram method,
it is not necessary to express all the formulae in terms of actual histograms
N(E). In fact, it is often more convenient to work with the raw data them-
selves. We can rewrite the fundamental iterative relation, Equation (8.31),
as follows:
228 Chapter 8: Analysing Monte Carlo data

where the sum over s is over all states sampled during the ith simulation,
and Eia is the total energy of such a state. Equation (8.32) can similarly be
rewritten

and Equation (8.33) as

As with the single histogram method, these forms of the equations are also
better if we are studying systems with continuous energy spectra, since in
that case the construction of a histogram necessarily entails throwing away
some of the information from our Monte Carlo simulation. The equations
above by contrast make use of all the available information and so will in
general give a more accurate answer for U .

8.2.2 Interpolating other variables

The multiple histogram method can easily be extended to provide interpo-
lation of quantities other than the internal energy. If we wish to interpolate
between measurements of an observable Q, for instance, we would still iter-
ate Equation (8.36) (or equivalently Equation (8.31)) to calculate the par-
tition functions for each of the temperatures simulated and then use Equa-
tion (8.37) (or (8.32)) to calculate Z for all intervening temperatures. Then
the expectation of Q is given by the appropriate generalization of (8.38):

It is possible to make a similar generalization of Equation (8.33) for U to

other quantities, but, as with the single histogram method, this involves
constructing a two-dimensional histogram, which takes up a lot of space, as
well as being inappropriate for systems with continuous energy spectra. For
these reasons we recommend using (8.39) directly in most cases.
It is also possible to extend the multiple histogram method to give inter-
polation in other variables, such as the external magnetic field in an Ising
model for example. The developments are straightforward, and we leave the
details to the interested reader.
8.3 Finite size scaling 229

8.3 Finite size scaling

A surprisingly large fraction of the published papers on Monte Carlo calcula-

tions, and indeed statistical physics papers in general, deal with critical phe-
nomena. As discussed in Section 3.7.1, critical phenomena are phenomena
seen when a system is close to a phase transition, in particular, a continuous
phase transition. Although it might seem that the critical region is only
one small portion of a system's parameter space and not deserving of all the
attention it has received, there are a number of reasons why we should be
interested in it.
First, critical phenomena are intrinsically interesting; some systems dis-
play quite unusual behaviour in the vicinity of a phase transition. Examples
are the onset of ferromagnetism at the Curie point of a ferromagnet, or the
optical effect known as critical opalescence, which causes large fluctua-
tions in the refractive index of critical mixtures of certain liquids such as
methanol and hexane.
Second, phase transitions are interesting because of the phenomenon of
universality, which we discussed briefly in Section 4.1. Universality means
that the values of critical exponents for a model (as well as a number of
other measurable quantities) are independent of most of the parameters of
the model, such as the interaction energy J between spins in the Ising model
for example, or the topology of the lattice. Only fairly gross properties of
the system, such as the dimensionality d of the lattice, or the number of
dimensions of the order parameter, affect the critical exponents. This means
that the values of the exponents fall into a number of discrete universality
classes, and every model which falls in a particular universality class will
have the same values for these exponents. This in turn means that we can
measure their values using some simple model for which the calculation is
relatively easy, and still get an answer that applies to a far more complicated
real-world system which just happens to fall in the same class. As an exam-
ple, the phase transition of a liquid/vapour system at its tri-critical point
is believed to be in the same universality class as the ordinary Ising model,
and indeed the measured critical exponents of the two agree quite well.
A third reason for the large amount of interest which critical phenomena
have attracted, and one which should not be ignored, is that studying them,
either experimentally or theoretically, has proved to be quite difficult. And
if there's one thing scientists like, it's a challenge.
All of these points and more have been discussed at great length else-
where and it is outside the scope of this book to discuss critical phenomena
much more thoroughly than we already have. The interested reader is re-
ferred to one of the many texts on the subject. However, one aspect of
the area which does concern us is the calculation of critical exponents using
Monte Carlo techniques, and it is to this subject that the remainder of this
230 Chapter 8: Analysing Monte Carlo data

chapter is devoted. In this section we study the most widely used technique
for extracting the values of exponents, finite size scaling. In Section 8.4
we study "Monte Carlo renormalization group" techniques, which are more
complex but can in some cases give better answers.

8.3.1 Direct measurement of critical exponents

In Section 4.1 we defined a number of critical exponents which govern the
singular behaviour of various quantities close to the critical temperature Tc.
For convenience, we repeat those definitions here. If we define the reduced
temperature t as a measure of our distance from the critical temperature:

then in the thermodynamic limit (i.e., infinite system size) the behaviour of
the correlation length £ in the critical region is given by

where v is a critical exponent. For specific models we can usually define

other exponents also. For example, in the normal Ising model we can define
exponents 7 and a which govern singularities in the magnetic susceptibility
and specific heat thus:

Also, although we didn't mention it in Chapter 4, we can define an exponent

B which governs the behaviour of the magnetization:

This equation is only useful below the critical temperature however, since m
is zero for T > Tc.
How should we go about measuring these critical exponents? The most
obvious approach is the direct one, simply to fit the data from our Monte
Carlo simulations to the suggested asymptotic forms. For example, in Fig-
ure 8.5 we show a number of measurements of the magnetic susceptibility of
a 1000 x 1000 two-dimensional Ising model below its critical temperature,
made using the Swendsen-Wang cluster algorithm of Section 4.4.1. We have
plotted them on logarithmic scales against the values of the reduced temper-
ature t and, as the figure shows, they tend to what appears to be a straight
line as we approach the critical temperature at t = 0. The slope of this line
should give us the value of the critical exponent 7 defined in Equation (8.42).
8.3 Finite size scaling 231

FIGURE 8.5 Monte Carlo results for the magnetic susceptibility x of

a 1000 x 1000 Ising model on a square lattice as a function of the
absolute reduced temperature |t|. Fitting the results to a straight line
gives a figure of 7 = 1.76±0.02 for the corresponding critical exponent
(see Equation (8.42)).

Fitting a straight line to the last twenty or so points, as shown in the fig-
ure, gives us a value of 7 = 1.76 ± 0.02, which compares very well with the
known exact result 7 = |. We could probably improve on this value still
further by using the multiple histogram method of Section 8.2 to interpolate
between the points in the figure. However, there is in fact little point in
doing this, because this direct method of measuring exponents turns out to
have a number of problems which make it unsuitable for general use. One
problem is already evident in Figure 8.5. The simple power-law form of
the susceptibility is only followed closely when we are very near the critical
temperature. Away from Tc the line in the figure is no longer straight. In
order to perform a fit to the data, we need to estimate where the critical
region ends, and the value we get for the exponent 7 varies depending on
this estimate. This makes the error on 7 difficult to estimate. Furthermore,
some systems, such as the random-field Ising model of Section 6.1.1, show
two different values of their critical exponents. The real one is only seen
if you get sufficiently close to the critical temperature. Further away the
system appears to behave according to Equation (8.42), or the equivalent
for the exponent of interest, but with the wrong value of the exponent. Such
"cross-over" effects are very difficult to allow for if we don't know where the
cross-over actually takes place.
Another problem is that in order to calculate the reduced temperature t
we need to know the value of the critical temperature (see Equation (8.40)).
232 Chapter 8: Analysing Monte Carlo data

In general we don't know this value, which makes it difficult to perform the
fit. It is possible to guess Tc and then vary the guess to make the line in
Figure 8.5 as close to straight as possible. However, this process is highly
susceptible to error. The curvature which is already present in the line as
we move away from Tc can be particularly misleading when we are trying
to gauge the straightness of the line, and it also turns out that rather small
miscalculations in the value of Tc can lead to large errors in the measured
critical exponent.
There are also other reasons for avoiding the direct method of measuring
exponents. It requires simulations of rather high accuracy to give reasonable
results, and it requires us to work with large systems to avoid problems with
"finite size effects" (see below). In short, the method is to be avoided. In its
place another technique has been developed which circumvents all of these
problems: finite size scaling.

8.3.2 The finite size scaling method

The finite size scaling method is a way of extracting values for critical expo-
nents by observing how measured quantities vary as the size L of the system
studied changes. In fact, we saw a simple version of finite size scaling in ac-
tion in Chapter 4, where we used it to calculate the dynamic exponent of a
number of different algorithms for simulating the Ising model by measuring
the correlation time T for systems of a variety of different sizes. However, the
techniques we used for those calculations required that we perform simula-
tions exactly at the critical temperature of the model, which in turn requires
us to know Tc. In the case of the Ising model we know Tc in two dimensions
from the exact solution of the model. In some other cases we may be able
to apply a method such as the invaded cluster algorithm of Section 4.4.4 to
calculate Tc. However, in most cases we do not know Tc, which means that
the simple method of Chapter 4 will not work. We now describe a more
sophisticated version of the finite size scaling technique which not only does
not require us to know Tc, but in fact returns a value of Tc itself, as well as
giving us estimates of the critical exponents. We illustrate the technique for
the case of the susceptibility exponent 7.
We begin, as we did in Section 4.1, by expressing the quantity of interest
in terms of the correlation length £ of the system. In this case the quantity of
interest is the magnetic susceptibility. Eliminating \t\ from Equations (8.41)
and (8.42) we get

in the vicinity of the phase transition. Now, consider what happens in a

system of finite size L, such as we use in our Monte Carlo simulations. In
finite systems, as depicted in Figure 4.1, the correlation length is cut off as
it approaches the system size, so that the susceptibility x will also be cut
8.3 Finite size scaling 233

off; in systems of finite size the susceptibility never actually diverges. We

can express this cut-off mathematically as follows. If we continue to denote
by £ the value which the correlation length would have in an infinite system
at temperature t, then the cut-off takes place when £ > L. As long as £ < L
the value of x should be the same as that for the infinite system. We can
express this by writing

where Xo is a dimensionless function of a single variable which has the prop-

erties

and

The precise way in which the susceptibility gets cut off close to Tc is contained
in the functional form of Xo- It is this function which we will measure in our
Monte Carlo simulations.
Equation (8.46) in fact contains all the information we need about the
behaviour of our system with varying system size. However, it is not in a very
useful form, since it still contains the variable &, the correlation length at
temperature t in the infinite system, which we don't know. For this reason
it is both conventional and convenient to reorganize the equation a little.
Defining a new dimensionless function X thus:

and making use of Equation (8.41), we get

In fact, to be strictly correct, we should have two equations such as this, one
for positive and one for negative values of t with different functions Xi since
the behaviour of x is not symmetric on the two sides of the phase transition.
However, we can easily combine these two equations into one by extending
the definition of x(x) to negative values of x. Then we can write

This is the basic equation for the finite size behaviour of the magnetic sus-
ceptibility. It tells us how the susceptibility should vary with system size L
for finite systems close to the critical temperature. Note that we have de-
rived this equation for the susceptibility per spin as defined in Section 1.2.2.
If we were to use the extensive susceptibility, the leading power of L would
be LT/v+d instead of just Ly/v, where d is the dimensionality of the sys-
tem. It is very important to recognize this distinction if you want to get the
234 Chapter 8: Analysing Monte Carlo data

correct answers for exponents using the finite size scaling method. All the
equations given in this section are correct for intensive quantities but need
to be modified if you are going to use extensive ones.8
Equation (8.51) contains the unknown function x(x) which we call the
scaling function for the susceptibility. Although the scaling function is
unknown, there are certain things we do know about it. Equation (8.48)
tells us that

In other words, x is finite at the origin, which in this case means close to
the critical temperature. Another important point is that, by design, all
the L-dependence of x is displayed explicitly in Equation (8.51); the scaling
function does not contain any extra hidden dependence on L which is not
accounted for. In other words, if we measure x(x) we should get the same
result regardless of the size of the system. It is this last fact that allows us
to use Equation (8.51) to calculate the exponents 7 and v and the value of
the critical temperature.
Suppose we perform a set of Monte Carlo calculations of the system of
interest for a variety of different system sizes L over a range of temperatures
close to where we believe the critical temperature to be. (With this method
we do not need to be exactly at the critical temperature, only in the rough
vicinity. We can estimate where this region is by, for example, looking for
the tell-tale peak in the magnetic susceptibility or the specific heat—see
Figure 3.10.) For each system size, we measure the magnetic susceptibility
XL(i) at a set of temperatures t. We can now rearrange Equation (8.51) thus

to get an estimate of the scaling function x for several different values of the
scaling variable

for each system size. Since the scaling function is supposed to be the same
for all system sizes, these estimates should coincide with one another—they
should all fall on the same curve if we plot them together on one graph.
However—and this is the crucial point—this will only happen if we use the
correct values of the exponents 7 and v in Equation (8.53). Also, although
it's not immediately obvious from the equation, we must use the correct
value of the critical temperature Tc, which enters in the calculation of the
reduced temperature t through Equation (8.40). The idea behind finite size
scaling therefore is to calculate x(x) for eacn °f our different system sizes,
8
The reader might be interested to work out where in the preceding derivation the
extra powers of L would come in if we were to use the extensive susceptibility.
8.3 Finite size scaling 235

FIGURE 8.6 Data collapse of magnetic susceptibility data for the two
dimensional Ising model. The points are taken from Monte Carlo mea-
surements of the susceptibility for five different sizes of system as indi-
cated. From this collapse we find 7 = 1.76, v = 1.00 and Tc = 2.27J.
Notice that the collapse fails once we get sufficiently far away from the
critical temperature (t = 0).

and then vary the exponents 7 and v and the critical temperature until the
resulting curves all fall or collapse on top of one another. An example of
such a calculation is shown for the two-dimensional Ising model in Figure 8.6.
Here we performed simulations around the critical temperature for square
systems of size L = 10, 20, 50, 100 and 200. The best data collapse is
obtained when 7 = 1.76 ± 0.01, v = 1.00 ± 0.05 and TC/J = 2.27 ± 0.01.
These values are in good agreement with the exact known values of 7 = |,
v = 1 and Tc — 2.269J. (The error bars are quite rough here, calculated
by estimating the region over which the collapse appears optimal. Error
estimation is discussed in more detail in the following section.)
This method can easily be extended to quantities other than the suscep-
tibility. For the Ising model for example, we can derive scaling equations
similar to (8.51) for the specific heat and the magnetization by arguments
closely similar to the ones given above. The results are:

Performing data collapses using these equations yields values for a and (3,
as well as values for v and Tc again. (If we perform collapses for a num-
ber of different quantities, we can use the several values of v and Tc which
236 Chapter 8: Analysing Monte Carlo data

we get as a consistency check on the different calculations.) Note the dif-

ferent sign in (8.56), which arises from the definition of the exponent B in
Equation (8.44).

8.3.3 Difficulties with the finite size scaling method

Although the basic finite size scaling method outlined in the last section
often works extremely well, there are nonetheless a number of problems
with the method as described. How, for instance, are we to assess the errors
on our critical exponents? In the example above, we gauged by eye when
the various curves best fit one another and took our values for the critical
exponents and critical temperature at that point. The errors were estimated
by judging (again by eye) the range of values of the exponents over which the
collapse appears equally good. When the collapse begins to look significantly
poorer, we have reached the limits of the acceptable values of the exponents.
A more thorough method of error estimation is to use one of the techniques
discussed in Section 3.4, such as bootstrap resampling. By resampling our
data a number of times and repeating the data collapse for each resampled
data set, we can estimate the errors from the variation in the values of the
exponent from one set to another. In order to do this however, it helps
greatly if we have a quicker way of performing the data collapse than simply
fiddling with values of the exponents until it looks good. This brings us
on to another problem. Performing the collapse by eye is, after all, hardly
a very scientific way to proceed. It is much better if we can construct a
quantitative measure of the quality of our data collapse. One such measure
is the variance of the set of curves, integrated over a range of values of x
close to criticality. In the case of the susceptibility for instance, we could
calculate

This however is a little difficult to estimate, since the points at which the
scaling function is evaluated are different for each system size. What we need
is some way of interpolating between these points, and the perfect technique
is provided by the multiple histogram method of Section 8.2. If we use this
method, then we can directly evaluate (8.57) by using for example a simple
trapezium rule integration (or any other form of numerical integration that
we happen to favour) and then minimize it to give an estimate of the critical
exponents and Tc. Bootstrapping then gives an estimate of our statistical
errors.
There is still a problem however, which is evident in Figure 8.6: if we
stray too far from the critical temperature, our scaling equation (8.51) is
no longer correct, simply because we are no longer in the critical region.
8.3 Finite size scaling 237

Furthermore, the range of values of the scaling variable, Equation (8.54),

over which the critical region extends varies as a function of L, so that the
region over which it is safe to perform our data collapse depends on the size
of the systems studied. How are we to estimate the extent of this region?
There are a couple of commonly used methods. One is to perform a series of
collapses over smaller and smaller ranges Ax and extrapolate the results to
the limit Ax —» 0. In order to use this method, we need to choose a point X0
about which to centre our data collapse. The standard choice is to set x0 to
be the point at which the scaling function (or equivalently the susceptibility
or other quantity of interest) is a maximum. (For scaling functions such as
m which are monotonic and therefore do not have a maximum, we choose XQ
to be the point at which the scaling function has its steepest gradient.) Note
that the maximum in the scaling function is not at the critical temperature
t = 0 (see Figure 8.6). This is a reflection of the fact that the maximum of
the susceptibility (or specific heat, or whatever) is also not precisely at the
critical temperature, except in an infinite system. However, the maximum of
the susceptibility (and hence the scaling function) does correspond approxi-
mately to the maximum value of the correlation length in the finite system
and hence marks roughly the centre point of the critical region, which makes
it a good choice for x0-
Now if we perform our data collapse, Equation (8.57), over a range from
Xmin = X0 - Ax to xmax = XQ + Ax, make an estimate with errors of the
critical exponents, and then repeat the calculation for successively smaller
values of Ax, we can extrapolate the result to the limit Ax —» 0 by making
a weighted fit through the resulting data points. The authors used this
technique, for example, in a calculation of the critical exponents for the
random-field Ising model of Section 6.1.1 (Newman and Barkema 1996). In
Figure 8.7 we have reproduced the results for the exponents v and 7. The
quantities measured directly by the data collapse are 1/v and 7/z/. The
extrapolation to Ax = 0 was done in this case by the weighted fit of a
quadratic to the data points, giving 1/v = 0.98±0.06 and y/v = 1.85±0.07.
This in turn gives us values of v = 1.02 ± 0.06 and 7 = 1.89 ± 0.13 for the
exponents themselves.
Another common method for circumventing the question of the size of
the critical region is to perform the data collapse at only one point, the point
XQ at which the scaling function is a maximum (or has maximum gradient
in the case of the magnetization). This is clearly less accurate than the
method described above, but in many cases, especially when the accuracy
of our Monte Carlo data is good, it gives perfectly adequate results. With
this method we can use either the single or multiple histogram method to
calculate the temperature TO at which the quantity of interest (susceptibility
for example) is greatest, which is also the point at which the corresponding
scaling function is greatest. We repeat this for each system size L. Since
238 Chapter 8: Analysing Monte Carlo data

FIGURE 8.7 Calculation of critical exponents for the random-field

Ising model by collapsing data over successively smaller ranges Ax.
The limit as Ax - 0 gives us the values of the exponents. In this case
the method measures the quantities l/v and y/v. The end result is v =
1.02 ± 0.06 and 7 = 1.89 ± 0.13. After Newman and Barkema (1996).

the scaling function is the same for each system size, the values X0 of the
scaling variable at which we find these maxima should be the same for all
system sizes. From Equations (8.40) and (8.54) we see that the temperature
TO corresponding to XQ is given by

Thus, if we plot TO against L -1/v, the resulting points should lie on a straight
line, provided we use the correct value of v. And the intercept of this line
with the vertical axis gives us an estimate of Tc. So, for example, we can fit
our data points to a straight line using a least-squares fit, and minimize the
variance on the fit to give the best straight line. The result is an estimate
of both v and the critical temperature. As before, we can use any of our
standard methods of error estimation to calculate the errors on these values.
Once we have estimated v and Tc in this fashion, we can use them to make
estimates of the values of the other exponents. Since the scaling function is
the same for all system sizes, its value x(xo) at X0 should be independent of
L. The value of the susceptibility at its maximum should therefore take the
particularly simple form

with x(xo) being the constant of proportionality. Thus if we plot the maxi-
mum value of x as a function of L on logarithmic scales we should again get
8.3 Finite size scaling 239

FIGURE 8.8 An illustration of finite size scaling in the random-field

Ising model using only one point on the scaling function. The main
figure shows the calculation of the exponent v. The inset shows the
calculation of 7. The results in this case were v = 1.1 ± 0.2, 7 =
1.7 ±0.2. After Rieger (1995).

a straight line. The slope of this line gives us a measure of 7/v, and hence
7, since we already know v. We can calculate an error on our figure just as
before.
In Figure 8.8 we show an example of the application of this method,
again to the random-field Ising model, taken from Rieger (1995). The main
figure shows the calculation of v and Tc from Equation (8.58) and the inset
shows the calculation of 7. The results for the exponents, v = 1.1 ± 0.2
and 7 = 1.7 ± 0.2, are in respectable agreement with those from the other
method.
A third problem with the finite size scaling method as we have described it
here is that scaling equations such as Equation (8.51) are only approximate,
even close to the critical point. In particular, the arguments leading to the
scaling equations are only valid for sufficiently large system sizes. If the
system size L becomes small—how small depends on the particular model
being studied—there are correction terms in the equations which become
important. These terms can lead to systematic errors in the values of our
exponents if they are not taken into account in the analysis. In fact, except
for very high-resolution studies, such corrections are usually not important.
Furthermore, a detailed discussion of them would take us some way away
from the Monte Carlo simulations which are the principal topic of this book.
For more information on corrections to the scaling forms discussed here, we
therefore refer the reader to other sources. For the case of the normal Ising
240 Chapter 8: Analysing Monte Carlo data

model a good discussion has been given by Ferrenberg and Landau (1991).
Binder and Heermann (1992) also cover the subject in some detail.

8.4 Monte Carlo renormalization group

A completely different approach to the calculation of critical exponents and
critical temperatures is the Monte Carlo renormalization group method
pioneered by Swendsen (1979, 1982) and others, based on the renormaliza-
tion group ideas introduced in the early 1970s by Wilson and Fisher (1972,
Wilson and Kogut 1974, Fisher 1974). This method is often more accurate
than the finite size scaling method of the last section for the same expendi-
ture of computational effort, and furthermore it only requires us to perform
simulations for one system size, or at most two. Its main disadvantage is
that it contains some rather poorly controlled approximations which make it
difficult to estimate accurately the errors in our values for the critical expo-
nents. Nevertheless, for many problems it is sufficiently superior to the finite
size scaling method that we would recommend it as the method of choice for
the calculation of critical properties.
The developments of this section will require us to learn a little about
the ideas behind the renormalization group. We will not go into the subject
in great depth however, and we would encourage those interested in learning
more to consult one of the many books devoted to the topic.

8.4.1 Real-space renormalization

Despite its formidable-sounding name, real-space renormalization is really
quite simple. Here we first describe how it can be used to calculate the
critical temperature of a system. In Section 8.4.2 we describe the calculation
of critical exponents.
The fundamental concept behind the real-space renormalization method
is that of blocking,9 whereby the spins or other degrees of freedom on a
lattice are grouped into blocks to form a coarser lattice. Consider the config-
urations of the ordinary two-dimensional Ising model shown in Figure 8.9. In
the first frame we show a state of the model on a 16 x 16 square lattice, with
the black and white squares representing up- and down-spins respectively.
The frame next to it shows the result of performing a blocking procedure on
this state: we group the spins into blocks of four and in the blocked system
we represent each such block by just one bigger block spin. In this case the
value of this spin is assigned by majority voting amongst the spins making
up the block. That is, we set it to point up or down depending on whether
9
Not to be confused with the error estimation technique of the same name introduced
in Section 3.4.2.
8.4 Monte Carlo renormalization group 241

FIGURE 8.9 The "majority rule" blocking procedure applied to the

Ising model. The top two frames show the procedure in detail for
a 16 x 16 system. The bottom two show the same procedure for a
200 x 200 system. The simulations were performed at a temperature
of T = 2.29 J, which is slightly above the critical temperature of Tc =
2.269J.

there were more ups or downs in the original block of four spins. If there
were exactly two ups and two downs then we choose the value of the new
block spin at random. As we can see, the blocked system preserves the gross
features of the spin configuration of the original system, but only has one
quarter as many spins. This is made clearer in the remaining two frames
of the figure, in which we have performed the same procedure on a larger
200 x 200 Ising model, reducing it by blocking to a 100 x 100 one. It is
clear from these frames that the blocked system does indeed preserve the
large-scale features of the configuration of the system.
The blocking procedure used here shrinks the size L of the system (mea-
sured in lattice spacings) by a factor of 2 in each direction. This rescaling
factor is normally denoted b, and the number of spins in the system de-
creases on blocking by bd, where d is the dimensionality of the system. The
choice b = 2 is a common one for square or cubic lattices. For other lat-
tices other choices are appropriate. For a triangular lattice, for example, the
242 Chapter 8: Analysing Monte Carlo data

most common blocking scheme groups the spins in blocks of three, giving a
rescaling factor of b = - 3
The "majority rule" described here is not the only way of performing
the blocking. Many others have been suggested, with different ones being
appropriate for different systems. For Ising models another common choice
is the decimation procedure, in which we discard all but one spin from
each block and set the new block spin equal to that one. In the example of
Figure 8.9 for instance, we might discard all but the top left spin Of each
block of four and use the value of this one spin for our new block spin. The
decimation method also works well with Potts models (see Section 4.5.1).
For models with a continuum of spin values a simple additive rule may be
appropriate, in which the renormalized spin is a (suitably normalized) sum of
the spins in the original block. For the moment, however, let us concentrate
on the simple case of the Ising model and the majority rule.
We now come to the crucial assumption of the renormalization group
method. We assume that the blocked spin configuration is a typical spin
configuration of another Ising model on a lattice of dimension L' = L/b* In
other words, imagine sampling a set of states of our original Ising system,
each with the correct Boltzmann probability for some temperature T, for
example by performing a Monte Carlo simulation. For each state we per-
form the blocking procedure described above and generate a blocked state
of the smaller system. Our assumption is that the series of blocked states
we generate also appear with their correct Boltzmann probabilities, if we
calculate their energies using the same Ising Hamiltonian as we used for the
original system. In fact, as we might well imagine, this assumption is not
normally correct and this is the primary source of the uncontrolled errors in
the method, to which we alluded earlier. However, for the moment let us
accept this assumption and see where it leads us.
It is clear that the blocked states cannot normally appear with the Boltz-
mann probabilities appropriate to the same temperature T as the original set
of states which we started with. To see this, consider the correlation length
£ of the system. (See Section 3.7.1 for a definition of the correlation length.)
When we block the system, the average correlation between two spins which
are far apart must remain approximately the same, since, as we pointed out,
the large-scale features of the system do not change on blocking. This means
that the correlation length of the system should also stay the same, except
that the number of spins in the system decreases by a factor of 6 in each
direction. This in turn means that, when measured in terms of the lattice
spacing, the correlation length of the blocked system is

(In general, we will use primed variables to denote the values of quantities in
the blocked system.) In the case of the systems illustrated in Figure 8.9 we
8.4 Monte Carlo renormaliz&tion group 243

have b = 2, so that the rescaled system has a correlation length a half that of
the original system, when measured in terms of the lattice parameter. As we
know, the correlation length varies with temperature, so that the blocked
states of the system must be typical of a different temperature from the
original ones. We assume then that the blocked states are typical of an Ising
model at a temperature T' for which the correlation length is a half that of
the original system.
Now suppose that we calculate some measurable property of our system,
such as, for example, the internal energy per spin u, and average it over
our complete sequence of states. Since internal energy is also a function
of temperature, we will presumably get two different answers for the aver-
age internal energies u and u' of the original and rescaled systems. To the
extent that the blocked states appear with the correct Boltzmann weights
for a system at temperature T', the internal energy u' of the rescaled sys-
tem is presumably the appropriate internal energy for the system at that
temperature.
Here, then, is the clever bit: there is one temperature at which the corre-
lation length of the system is the same for the original and rescaled systems
and that is the critical temperature. At this temperature, as discussed in
Section 3.7.1, the correlation length becomes infinite, which means that the
rescaled correlation length, Equation (8.60), is also infinite. At this one
point, therefore, our original and rescaled systems have the same correlation
length and hence the same temperature T — T' = Tc. They also therefore
have the same values of all other (intensive) quantities such as the internal
energy per spin. So here is our scheme for calculating the critical tempera-
ture:
1. We perform a Monte Carlo simulation at temperature T and calculate
the internal energy u.
2. We take each of the states generated by our simulation and block them,
using for example the majority rule blocking scheme described above.
3. We calculate the internal energy u' for the blocked system, averaged
over all of these blocked states.
4. Now we vary the temperature T until we find the point at which u' = u.
This is the critical temperature of the system.
As a practical consideration, the part about varying the temperature can
be done most efficiently using the single or multiple histogram techniques of
Sections 8.1 and 8.2, rather than performing a separate simulation for every
temperature we are interested in. In order to extrapolate the value of the
internal energy of the rescaled system, we treat it as an observable quantity
in the original system (albeit one with a slightly unusual definition), and
reweight with the Boltzmann factors appropriate to the original system.
244 Chapter 8: Analysing Monte Carlo data

FIGURE 8.10 The internal energy per spin u as a function of temper-

ature for a 32 x 32 Ising model (solid line) and for the same system
rescaled to 16 x 16 (dotted line). The two lines cross at 2.265J which
gives us an estimate of the critical temperature of the model.

In Figure 8.10 we show the results of a Monte Carlo renormalization

group calculation of the critical temperature of the two-dimensional Ising
model. In this calculation we performed a simulation of a 32 x 32 system
at a single temperature and calculated the values of u and u' over a range
of temperatures using the single histogram method. The figure shows the
two resulting curves, and their intersection gives an estimate of the critical
temperature of the model. In this case we find Tc = 2.265 J, which compares
favourably with the exact figure of 2.269J, especially considering it was
derived from a short (about five minute) simulation on quite a small system.
The finite size scaling method of Section 8.3.2 by contrast gave a less accurate
result for the same quantity even though we simulated systems up to 200 x
200 in size.
In fact, we cheated a little in this calculation, since our single simula-
tion was performed at the known critical temperature of the infinite two-
dimensional Ising model on a square lattice. Clearly in real life we would
not be performing a simulation to measure the critical temperature of a sys-
tem for which we already knew the answer. In a real calculation therefore,
we would probably make a series of simulations, each one at the value of Tc
estimated from the previous one, so as to converge on the correct answer..
Typically we might have to perform three or four iterations of the proce-
dure to find a good answer. Still, however, the Monte Carlo renormalization
group method is far quicker and more accurate than finite size scaling.
8.4 Monte Carlo renormalization group 245

There are, however, a number of problems with the renormalization group

method as we have described it. The main one is that we have no method
of estimating the error in our calculation. We could certainly perform a
bootstrap resampling (Section 3.4.3) or similar analysis to make an estimate
of the statistical error in our figure for Tc. However, this would not tell us
very much since there are other sources of error in the calculation which we
have not taken care of, and it turns out that some of these are very important.
Ignoring them can give highly inaccurate answers for calculations with some
models.
One source of error is finite size effects in our simulation. The renor-
malization group method reduces the error arising from finite size effects
considerably, as the accuracy of the above calculation shows. However, we
will still get more accurate answers if we perform a simulation on a larger
system. Finite size effects can also cause problems because the sizes of the
original and rescaled systems in our simulation are different. (One is half
the linear dimension of the other in. the square lattice example given here.)
We would get a more accurate answer for the critical temperature if we com-
pared the internal energies of two systems which had the same size. A simple
way to achieve this is to perform an extra simulation of a smaller system of
the same size as the rescaled one, for comparison purposes. In the example
above, for instance, we would perform a direct simulation of a 16 x 16 Ising
system and compare its internal energy with that of our 16 x 16 rescaled
system. (If we do this, then we no longer need to worry about whether
we are working with the intensive or extensive internal energy. Either will
work if the systems compared are the same size.) This takes somewhat more
computer time than the simple comparison above, but usually improves the
results. In fact, for the case of the internal energy of the two-dimensional
Ising model, it does not make much difference, but for some other quantities
it is very important. One example is the magnetization. In Figure 8.11 we
show three curves for the magnetization per spin of our Ising system, one for
the magnetization of the 32 x 32 system, one for the rescaled 16 x 16 system,
and one for the magnetization of a separate simulation of a 16 x 16 system.
As the figure shows, the finite size effects are such that the curves for the
original 32 x 32 and rescaled systems do not cross at all, so this calculation
provides no estimate of the critical temperature. On the other hand, when
the curves describe two systems of the same 16 x 16 size, they cross neatly at
T = 2.268J, which is a very respectable estimate of the critical temperature.
Since performing the extra simulation on the smaller system only takes a
fraction of the time spent on the larger simulation, we recommend taking
this extra precautionary step in all such calculations.10
10
In fact, in the case of the internal energy, doing this gives a somewhat worse answer
of Tc = 2.252 J for the critical temperature. This is most likely because of cancellation of
different sources of error. In Section 8.4.5 we will discuss how the accuracy of the method
246 Chapter 8: Analysing Monte Carlo data

FIGURE 8.11 The magnetization per spin m as a function of tem-

perature for 16 x 16 and 32 x 32 Ising models (upper and lower solid
lines) and for the rescaled 16 x 16 system (dotted line). The 32 x 32
and rescaled lines do not cross at all, as a result of finite size effects
due to the different system sizes. However, the crossing point of the
two 16 x 16 systems gives a good estimate of 2.268J for the critical
temperature.

Another important source of error in our calculations is the approxima-

tion inherent in the renormalization group method, whereby we assume that
the sequence of blocked states generated by our simulation is typical of an
Ising model at some temperature T', which in general is different from the
temperature T of the original system. This is actually not such a bad ap-
proximation in the case of the two-dimensional Ising model, but in other
models it can be extremely poor. In Section 8.4.5 we discuss a technique for
getting around this problem, but first we look into the issue of calculating
critical exponents.

8.4.2 Calculating critical exponents: the exponent v

In the last section we saw how the Monte Carlo renormalization group ap-
proach can be used to calculate the critical temperature of a model, using
only a single'Simulation, or perhaps two, on a comparatively small system.
In this section, we look at the calculation of critical exponents, which will
require us to delve a little deeper into the theory of renormalization group
calculations.

can be improved to remove errors such as this.

8.4 Monte Carlo renormalization group 247

First, we need to introduce the idea of a renormalization group trans-

formation. Consider again the Ising model calculation of the last section.
In this calculation we simulated a 32 x 32 Ising model and calculated its
internal energy per spin u as a function of temperature using the single
histogram method. We also calculated the internal energy per spin for the
blocked system which had a quarter as many spins. As we pointed out,
the blocked states approximate reasonably well to the states that would be
generated if we directly simulated a 16 x 16 Ising system, but at a different
temperature T'.
We can calculate what this temperature T' is by looking at the two inter-
nal energy curves in Figure 8.10. For a given temperature T, the temperature
T' is that temperature at which

(Notice the arrangement of the primes on the variables here—it might not
be exactly what you expect, but it is correct.) T' is thus given in terms of
T by

This mapping of T onto T' is a simple example of a renormalization group

transformation, and it is by the study of this mapping that we can extract
values for the critical exponents of our system. In Figure 8.12 we show
a graph of T' against T calculated from our measurements of the internal
energy of the rescaled 16 x 16 Ising model, and the direct simulation of an-
other system of the same size. The critical temperature is a fixed point of
the transformation, by definition. We refer to it as the critical fixed point.
Above the critical temperature the value of the rescaled temperature T' is
greater than T, and below it T' is less than T. In other words, the renor-
malization group transformation "pushes" the temperature in the direction
away from the fixed point. It is common to regard the renormalization group
transformation as giving rise to a "flow" through the parameter space of our
model. In this case the parameter space is one-dimensional, the tempera-
ture being our only parameter. The temperature flows away from the critical
fixed point under the transformation.
It is simple enough to see the physical reason why the temperature should
flow away from the critical fixed point in this way. If we are above the critical
temperature then the spins are arranged in clusters of typical size £, which
is finite. When we apply the blocking procedure, the typical clusters of
blocked spins become a factor of b smaller, producing a configuration with a
smaller £, which is typical of a higher temperature T' > T. Below the critical
temperature there is a spontaneous magnetization (see Section 3.7.1) so that
a majority of the spins are pointing in the same direction. Let us suppose
that this majority direction is the up direction. This means that there will be
248 Chapter 8: Analysing Monte Carlo data

FIGURE 8.12 The temperature of the rescaled system T' as a function

of T. The dotted line is the line T' = T, and the point at which
the two cross is the critical fixed point of the renormalization group
transformation.

many blocks in which three or four spins are pointing up, and the majority
rule then transforms these all into upward-pointing blocked spins. In other
words, a minority of downward-pointing spins tends to get "washed out" in
the blocking process, leaving a larger majority of up-spins in the rescaled
system, a configuration typical of a lower temperature T' < T.
So how do we use our knowledge of the renormalization group transfor-
mation to calculate a critical exponent? Consider the exponent v, defined
in Equation (4.2), which we repeat here for convenience:

Recall that the variable t is the reduced temperature, which measures our
distance from the critical point:

In our blocked system, the rescaled correlation length £' is also given by
Equation (8.63), except that we must substitute in the transformed temper-
ature T', giving
8.4 Monte Carlo renormalization group 249

Dividing (8.63) by (8.65) and using Equation (8.60), we then get

If we know the functional form of the transformation from T to T" then

we can employ this equation to calculate v. In fact, since Equations (8.63)
and (8.65) are only valid close to the critical temperature, what we actually
need to know is the relationship between T and T close to Tc. The standard
way of looking at this is to linearize the renormalization group transforma-
tion about the critical fixed point by performing a Taylor series expansion
to leading order thus:

Substituting into Equation (8.66) using (8.64), and rearranging, we then get

Performing a numerical derivative on the transformation shown in Fig-

ure 8.12 at the value of the critical temperature which we measured earlier,
this equation gives us a figure of v = 1.02 for our two-dimensional Ising
model. A similar calculation using the magnetization data from Figure 8.11
gives v = 1.03. The correct value for this exponent is v — 1, so these fig-
ures are quite accurate despite the small system size used in the calculation.
Furthermore, we note that the gradient of the transformation function in
Figure 8.12 varies very little in the vicinity of the critical point. This is
one of the merits of the Monte Carlo renormalization group method. Even
if we do not know the position of the fixed point very accurately, it does
not normally affect our estimate of the critical exponents to any significant
degree. The method however still suffers from the problems mentioned at
the end of Section 8.4.1; we cannot estimate the error on our value for v
because there are systematic errors which we have not taken account of. Al-
though these do not introduce a very large bias in the present calculation,
they can in some cases generate considerable deviations from the true result.
In Section 8.4.5 we address this problem when we discuss how the Monte
Carlo renormalization group method can be improved by the introduction of
longer-range interactions into the Hamiltonian. First, however, we discuss
the calculation of other exponents such as the exponents a, B and 7 defined
in Sections 4.1 and 8.3.1.
250 Chapter 8: Analysing Monte Carlo data

8.4.3 Calculating other exponents

As we will shortly see, it is often not necessary to calculate directly all
the exponents which we are interested in: we can calculate them instead
using "scaling relations" which relate one exponent to another. However,
some Monte Carlo calculations are performed precisely to test these scaling
relations, and in this case we need to be able to measure all exponents. Also
in some circumstances it is more accurate to make a direct measurement of
an exponent of interest than to use a scaling relation.
To illustrate the calculation of other critical exponents, let us take the
example of the exponent B, defined in Equation (8.44), which governs the
singularity in the magnetization m close to the critical temperature:

(We use the magnetization per site here again, although if, as we recommend,
you compare the magnetization of the blocked system with a separate simu-
lation of a system of the same size, it makes no difference whether you use the
total magnetization or the magnetization per site.) Using Equation (8.63),
we can rewrite this as

If we now rescale our system using a blocking transformation such as the

majority rule introduced at the beginning of Section 8.4.1, we can calculate
the magnetization m' per site of the blocked system, and write

Dividing these two equations one by the other, and using Equation (8.60),
we get

and hence

The trouble with this equation is that it is strictly only true in an infinite
system, since Equation (8.69) is only true in an infinite system. On the other
hand, if we did know the magnetization for the infinite system, we wouldn't
be able to calculate m'/m at Tc, because both m and m' are zero at this
point. Instead however we can use 1'Hopital's rule, which says that as m and
m' go to zero at Tc, the limiting value of their ratio is
8.4 Monte Carlo renormalization group 251

And thus

The clever thing about this equation is that the derivativedm/dmdoes not
vary much as we vary the size of the system simulated, so that the equa-
tion gives good results for finite systems and not just infinite ones. This
makes Equation (8.75) a better way to calculate B in a Monte Carlo simula-
tion than Equation (8.73). Normally, in a finite system we should interpret
m as meaning the absolute value of the magnetization, as we discussed in
Section 3.7.1.
Note the similarity of form between Equation (8.75) and Equation (8.68)
for the exponent v. We can also, by a very similar line of argument, derive
equivalent equations for other exponents. For example, the exponents a and
7 are given by

Note the minus signs, which arise from the slight difference between the
definitions of the exponents a and 7, and that of B.
In the simplest case, we can evaluate the derivatives numerically, as we
did for the calculation of v, although we will shortly see that there is a
better way of evaluating these exponents which avoids the calculation of a
derivative altogether.11

8.4.4 The exponents S and 0

One exponent which we cannot calculate by exactly the method above is the
exponent 6, which we have not encountered previously in this book. This
exponent governs the way in which the magnetization of our model varies
with an applied external field at the critical temperature:

To calculate this exponent we use a method analogous to that for the calcu-
lation of B. First we look at the way in which the correlation length diverges
11ln fact, we can in this case do better by noting that dm'/dT and dm/dT can both
be calculated by analytically differentiating the single histogram formula, Equation (8.3),
with respect to T and then using Equation (8.74). We can do a similar thing for the
derivatives in Equations (8.76) and (8.77). Unfortunately, there is no equivalent trick for
the derivative in Equation (8.68).
252 Chapter 8: Analysing Monte Carlo data

as B —> 0 at Tc. We define another exponent 6 to describe this:

The equivalent of Equation (8.68) for 6 is then

and the equivalent of (8.75) is

Combining the last two equations we then get

The exponent 0 itself is actually an interesting quantity. As it will turn

out, the exponents v and 0 which govern the divergence of the correlation
length with temperature and magnetic field as we approach the critical point
are directly associated with the two "relevant variables" in the renormaliza-
tion group transformation for the Ising model. In some sense, these two
exponents are "fundamental" exponents of the model and all the other ex-
ponents studied here can be calculated from them via scaling relations.

8.4.5 More accurate renormalization group

transformations
In this section we extend the approach introduced in the last few sections,
and show how it can systematically be made more accurate. At the same
time, we will develop a more complete picture of the Monte Carlo renor-
malization group technique, and show how the critical exponents can be
calculated without resorting to the numerical derivatives of the last section.
The primary source of uncontrolled errors in the renormalization group
methods described in the previous sections is the approximation discussed
at the end of Section 8.4.1. In order to perform the calculation, we had
to assume that the blocked states generated by our simulation were typical
of the states that would have been sampled by a direct simulation of. the
model on a smaller lattice at some other temperature. Whether this is a
good approximation or not depends on the particular model we are work-
ing with, and on the details of the blocking transformation which we use.
Unfortunately, there is no easy way to tell in advance whether a particular
8.4 Monte Carlo renormalization group 253

transformation will work well for a particular model. As we saw, the major-
ity rule transformation of Section 8.4.1 worked well for the two-dimensional
Ising model, but other transformations might not have been so successful,
and the majority rule might not work so well with other models.
There is however a way to improve the accuracy of our renormalization
group transformation, regardless of the blocking scheme we use, although
some schemes will still give better results than others. The trick is to intro-
duce longer-range interactions into our Hamiltonian.
Consider once more the example of the two-dimensional Ising model.
For this model we perform a simulation at temperature T of some system
of size L x L, and block each state generated to give a sequence of states
of a system a factor of b smaller along each side. These states will to some
approximation be typical of an Ising model at another temperature T', but
this is only an approximation. We can make this approximation better by
regarding the blocked states instead as the states of a system which has extra
interaction parameters in its Hamiltonian. For example, we might introduce
a next-nearest-neighbour interaction, or longer interactions still. If we are
working with zero magnetic field, then symmetry dictates that all of these
interactions involve an even number of spins on the lattice. Thus three-spin
interactions are not allowed, but we might include perhaps the interactions of
groups of four spins in a square. It is clear that if we introduce enough such
interactions, we can approximate the behaviour of the blocked system to
any desired degree of accuracy, since the more parameters we add, the more
freedom we have to tune the Hamiltonian to take the desired value in any
particular state. It turns out in practice, however, that quite good results
can be achieved by including only a small number of interactions—usually
no more than five or six—if they are carefully chosen.
Let us write a general expression for the Hamiltonian of this generalized
Ising model thus:

Here we have absorbed the factor of the inverse temperature B which appears
in the Boltzmann weight into the coupling constants Ki. The quantities 5,
represent sums over all sets of similar groups of spins on the lattice. For
example, one possible set is the set of all nearest neighbours:

Other possibilities are the set of next-nearest neighbours, and the set of all
groups of four spins in a square, as described above.
Our normal Ising model with nearest-neighbour interactions only is de-
fined by setting all the Ki to zero except for the one which multiplies 5nn.
254 Chapter 8: Analysing Monte Carlo data

However, even if we start off simulating this model, the blocked states gener-
ated in the simulation will usually be best represented using a model in which
some of the longer-range interactions are non-zero (although the nearest-
neighbour interaction is probably still the largest of the parameters Ki). In
other words, the renormalization group flows (see Section 8.4.2) move away
from the line in .K-space representing the normal Ising model into the larger
space of the generalized model. However, and this is a crucial result, the
critical exponents of this generalized model are the same as those of the
original model which did not possess any longer-range interactions. We will
not actually prove this result here. It is another consequence of the phe-
nomenon of universality which we discussed in Section 4.1. It is proved in,
for example, Binney et al. (1992). Here, we will just make use of the result.
If we can find the values of the coupling constants K'i for the blocked sys-
tem near the fixed point of the renormalization group transformation in our
new higher-dimensional space of parameters Ki, then we can calculate the
critical exponents of the generalized model, which are the same as those for
the normal Ising model. However, the renormalization group transformation
for the generalized model is more accurate than the one we found for the
normal Ising model, since we have more parameters to play with, and this
improves the accuracy of our results. By introducing longer and longer range
interactions we can, in a moderately systematic way, improve the accuracy
of the calculation, as well as making a rough estimate of the error introduced
by truncating the Hamiltonian at interactions of some finite range.
We calculate the critical exponents for our generalized model as follows.
Denoting by K and K' two vectors whose elements are the couplings Ki
and K'i for the original and rescaled systems, we consider K' to be a func-
tion of K via a renormalization group transformation, just as we did in the
simpler one-parameter case of Section 8.4.2. Then, by analogy with Equa-
tion (8.67), we linearize this transformation about the critical fixed point,
which is traditionally denoted K*. This gives

Or, in matrix form

where the elements of the matrix M are

M defines the renormalization group transformation in the vicinity of the

fixed point.
8.4 Monte Carlo renormalization group 255

Now we change variables to a new set {xi} which are linear combinations
of the components Ki — K*:

so that

We choose the matrix Q to make QMQ-1 diagonal, and thus end up with

where the Ai are the eigenvalues of M. Given that the correlation length
diverges at the critical fixed point, we can define an exponent v/i governing
that divergence along the direction of any of the eigenvectors of M thus:

Now, using the same arguments which led us to Equation (8.68), we can
show that

Note that this gives a negative value of vi for any eigenvalues Ai which are
less than one. There are some standard terms used to describe this situa-
tion. Relevant variables are the variables Xi which grow under the renor-
malization group flows defined by the matrix M because the corresponding
eigenvalue in Equation (8.90) is greater than one. Irrelevant variables are
those which get smaller under the renormalization group flows because the
corresponding eigenvalue is less than one. In the special case where A = 1
the corresponding variable a;, is said to be marginally relevant. Only the
relevant variables contribute to the power-law divergence in the correlation
length as we approach the critical fixed point. Marginally relevant ones
can produce logarithmic divergences, though we have to examine each case
separately to determine whether they in fact do.
The number of relevant variables is also the number of independent criti-
cal exponents in the model. It turns out that all the other exponents studied
earlier, such as a, B, 7 and 6 in the Ising model, can be calculated from the
values of the exponents Vi defined in Equation (8.92). In the case of the Ising
model, it turns out that there are just two independent critical exponents,
the exponents v and 9 encountered earlier. We should emphasize that it is
by no means obvious that there should only be two. There are many models
which have only one independent exponent, or more than two, and many
more for which we do not yet know how many there are. The number of
256 Chapter 8: Analysing Monte Carlo data

independent exponents is one of the crucial defining properties of a model

which can be extracted from a renormalization group calculation.
In terms of v and 6, the rest of the exponents of the Ising model can be
calculated from the following scaling relations:

where d is the dimensionality of the system. We will not prove these relations
here; we merely state them for completeness. The interested reader can find
a proof in any good book on critical phenomena.

8.4.6 Measuring the exponents

The only question remaining then is how we calculate the elements of the
matrix M so that we can diagonalize it and find the relevant variables of the
renormalization transformation. The standard approach employs a clever
trick introduced by Swendsen (1979), which allows us to avoid the calculation
of the derivative in Equation (8.87).
The Hamiltonian for the rescaled system can be written as

where the quantities S'i are the same as those appearing in Equation (8.83)
except that they are evaluated using the blocked spins, rather than the
original spins. Let us denote by (Si) and (S'i) our best estimates of the
values of Si and S't averaged over the states sampled in our Monte Carlo
simulation. Now we write

This equation contains no physics; it is simply an application of the chain

rule of differential calculus. We can rewrite it in matrix form as

where M is the matrix defined in Equation (8.87). The elements of A and

B are
8.4 Monte Carlo renormalization group 257

where we have made use of the linear response theorem, Equation (1.22),
to calculate the expressions on the right-hand side. (The factor of B in
Equation (1.22) has disappeared because we absorbed a factor of (3 into our
definition of the quantities Ki and K'i in Equations (8.83) and (8.97).)
Our calculation then proceeds as follows: we evaluate the two matri-
ces A and B by calculating the correlation functions, Equations (8.100)
and (8.101), and from these we calculate M = B- 1 A. Then we diago-
nalize this matrix to find the eigenvalues Ai, and for each A, > 1 we cal-
culate one independent exponent using Equation (8.92). From these, all
the other exponents can then be calculated, using scaling relations such as
Equations (8.93-8.96).
The only remaining issue which we have not addressed is the question
of how we find the position of the critical fixed point itself. In fact, as we
saw in Figure 8.12, the values of the critical exponents are not very sensi-
tive to the position at which we evaluate our eigenvalues, which is one of
the nice things about this method. However, we still need to make a rough
estimate of the position of the fixed point. In the case where we explicitly cal-
culated the renormalization group transformation for the temperature (see
Equation (8.62)), this simply meant finding the fixed point of that trans-
formation. In the present case however, where we don't explicitly calculate
the transformation, it is not so obvious what we should do. One solution
has been given by Swendsen (1979). In his calculations, he performed two
consecutive iterations of the blocking procedure, creating systems of size b
and 62 smaller than the original system simulated. He then calculated the
exponent v for each of these systems using the methods outlined above. Ex-
actly at the critical point, these calculations should give the same answer,
apart from finite size effects, but away from the critical point, where the
parameters Ki drift with the renormalization group flows, the two will give
slightly different answers. By minimizing the difference between the two
values for v, Swendsen was able to make an estimate of the position of the
critical fixed point with sufficient accuracy to give good measurements of the
elements of the matrix M.
As an example of this technique, Blote and Swendsen (1979) calculated
critical exponents for the three-dimensional Ising model on a cubic lattice. In
their calculation they included in the Hamiltonian all two-spin interactions
up to fourth-nearest neighbours, and also all four-spins-in-a-square interac-
tions. Since they only included interactions which are even in the number
of spins12 their calculation only gives information about the exponent v and
12
In order to study 0 we need to introduce an external magnetic field, which couples to
an odd number of spins. The up-down symmetry of the Ising model then ensures that
258 Chapter 8: Analysing Monte Carlo data

not about 0. They found a figure of v — 0.637, which compares reasonably

well with the best available figure of v = 0.627 ± 0.002 from the simulations
of Ferrenberg and Landau (1991), who used finite size scaling. Since Blote
and Swendsen gave no error for their figure it is difficult to say exactly how
good the agreement is, but one should bear in mind that this calculation
predated that of Ferrenberg and Landau by more than a decade, which is
a long time in the development of computers. The renormali/ation group
calculation used far less computer power than the later calculation and yet
produced results of very reasonable accuracy, an indication of the power of
the Monte Carlo renormalization group method.
It is worth noting that, in theory at least, the technique of introducing
longer-range interactions into the Hamiltonian allows us to make an estimate
of our errors, since we know that in theory we can get a perfect result (except
for statistical fluctuations due to finite simulation length) by including an
infinite number of such interactions. Thus the change in our values for
the critical exponents as we add in more interactions can give us a crude
estimate of the accuracy of those values. (It is only crude since we have
no real way of knowing which interactions are most important, or how the
result will converge to the true value as the number of interactions included
is increased.)

Problems
8.1 Equation (8.10) gives a criterion for estimating the temperature range
over which the single histogram extrapolation is reliable. For a simulation
performed at the critical temperature, how does this scale with system size?
(Hint: notice that Equation (8.10) involves the total specific heat, not the
specific heat per site.)
8.2 The criterion given in Equation (8.10) is only a rough one. In partic-
ular, it does not, as we pointed out, take into account the improvement in
the extrapolation range on increasing the length of our Monte Carlo simu-
lation. Assuming that the distribution of energies sampled by a simulation
is roughly Gaussian, show that the extrapolation range increases as 1og n,
where n is the number of independent energy measurements made during
the simulation.
8.3 Suppose we want to use the multiple histogram method to calculate the
value of a quantity over a certain temperature range. How does the number
of different simulations needed vary with the size of the system?

the Ki for the even and odd interactions transform separately. In a calculation such as
that of Blote and Swendsen, in which no odd interactions were introduced to begin with,
there can thus never be any odd ones appearing.
8.4 Monte Carlo renormalization group 259

8.4 Why does the peak of the scaling function in Figure 8.6 fall slightly
above the true critical point t = 0?
8.5 Derive the equivalent of Equation (8.51) for the scaling of the correlation
time T.
8.6 Write a program to perform a Metropolis Monte Carlo simulation of
the four-dimensional Ising model, and use it to estimate the missing number
in Table 4.1, the dynamic exponent of the Metropolis algorithm in four
dimensions, by finite size scaling using the formula derived in the previous
problem. (Hint: you might want to take the Metropolis program given in
Appendix B as a starting point. Further hint: we don't know the answer to
this problem. As we said in Chapter 4, this calculation has never been done,
as far as we know. You probably shouldn't attempt this problem unless you
have a lot of spare time.)
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Part II

Out-of-equilibrium
simulations
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9
The principles of
out-of-equilibrium Monte Carlo
simulation

In Part I of this book we looked at ways of measuring the equilibrium proper-

ties of model systems using Monte Carlo simulations. The next few chapters
of the book are devoted to systems which are out of equilibrium. In study-
ing these out-of-equilibrium systems we are commonly interested in one of
two things. Either we want to know how the system relaxes from an ini-
tial state to equilibrium at a particular temperature, or we are studying a
system which never reaches equilibrium because it has a driving force which
continually pushes it into states which are far from equilibrium. We will see
examples of both these types of simulations in the following pages.
The statistical mechanics of out-of-equilibrium systems is a less well-
developed field of study than that for equilibrium systems, and there is no
one general framework to guide our calculation such as we had in the equi-
librium case. As the subject stands at the moment at least, each system
must be considered independently. In many cases the mathematical hur-
dles to formulating an accurate analytic theory of a system's behaviour are
formidable. In this part of the book we will look at a number of out-of-
equilibrium problems and see how they may be studied using Monte Carlo
methods instead. In so doing, we will introduce some of the more important
techniques that are used for these calculations, including different types of
dynamics, energy barrier calculations, continuous time algorithms and the
mapping of models onto other models. First though we take a few pages to
give a brief overview of the difficulties occurring in studies in this area.
264 Chapter 9: Out-of-equilibrium Monte Carlo simulations

9.1 Dynamics

The fundamental difficulty which makes out-of-equilibrium Monte Carlo sim-

ulations harder than their equilibrium counterparts is that we are not at
liberty to choose the dynamics of the Monte Carlo algorithm, as we were in
the equilibrium case. Consider the single-spin-flip algorithms we looked at
in Chapters 3 and 4 for Ising, Potts and continuous spin models. In the case
of the Ising model for example, we suggested a number of different choices
for the acceptance probability of a single-spin-flip algorithm, all of which
produce the same Boltzmann distribution of states once the simulation has
reached equilibrium. We showed that one of them—the Metropolis algo-
rithm of Section 3.1—is the most efficient such algorithm, and, since the
results produced are in all other respects the same for all the algorithms, it
makes sense to use the Metropolis algorithm rather than any other.
If we are interested in the behaviour of the system away from equilib-
rium however, this is no longer the case. All we required before was that the
equilibrium distribution of states sampled by an algorithm be the correct
Boltzmann distribution, and we showed that the conditions of ergodicity
and detailed balance were between them sufficient to ensure this. These
conditions say nothing however about the way in which the system comes
to equilibrium, and it is clear that different choices of the dynamics of the
algorithm will make a difference here. In Figure 9.1 we show the magnetiza-
tion of the two-dimensional Ising model just below its critical temperature
at T = 2.1J simulated using the Metropolis algorithm and the heat-bath
algorithm of Section 4.5.1. The results are averaged over a number of runs
and, as the figure shows, the two algorithms come to equilibrium at different
rates, even though the final results for the equilibrium magnetization must
necessarily agree. If we were interested in measuring the rate of equilibration
then, it would be crucial to specify which dynamics we were using. And if
it were the heat-bath dynamics that we wanted to study, we could not then
perform our simulation using the faster Metropolis algorithm; we would be
stuck using the relatively inefficient heat-bath algorithm.
The situation is not always quite this bad however. There are some
properties which do not vary when we make certain kinds of changes to
the dynamics of our model. For example, the dynamic exponent z of the
Ising model (see Section 4.1) appears to be the same for the Metropolis and
heat-bath algorithms. Such algorithms are said to fall in the same dynamic
universality class. If we are only interested in calculating the dynamic
exponent, or one of a small number of other quantities which are the same
for all members of such a class, then we are at liberty at least to choose the
most efficient algorithm in that class to perform our simulation.
Some of the best algorithms we saw for the Ising model however achieved
their efficiency precisely by falling in a different dynamic universality class.
9.1 Dynamics 265

FIGURE 9.1 The absolute value of the magnetization of a 100 x 100

Ising model averaged over 200 runs for the Metropolis algorithm (solid
line) and the heat-bath algorithm (dotted line). Although the final
equilibrium magnetization is guaranteed to be the same in each case,
the way in which the two algorithms come to equilibrium is clearly
different.

The Wolff algorithm of Section 4.2 for example is particularly good for sim-
ulations near the critical temperature because it has a dynamic exponent
close to zero. If we are interested in the way in which the Ising model comes
to equilibrium under a single-spin-flip dynamics such as the heat-bath algo-
rithm, then under no circumstances can we perform a simulation using the
Wolff algorithm to study the problem. This is a great shame, since it means
that many of the cleverest ideas which we saw in Part I of this book are in-
applicable to simulations of out-of-equilibrium systems. Cluster algorithms,
non-local algorithms for conserved-order-parameter models, simulated tem-
pering and entropic sampling algorithms for glassy systems, and any number
of other ingenious methods cannot be applied because they will give com-
pletely erroneous answers. What then can we do to improve the efficiency
of these calculations?
There are a number of tricks which can be used to speed up our calcu-
lations without altering the dynamics. One of the most important we have
seen already. The continuous time Monte Carlo method, which was intro-
duced in Section 2.4 and which we applied to the conserved-order-parameter
Ising model in Section 5.2.1, is a way of improving the efficiency of a Monte
Carlo algorithm, particularly at low temperatures, without altering the ef-
fective dynamics of the algorithm. In Section 10.3.2 we apply the continuous
time method to the problem of domain growth in an equilibrating conserved-
266 Chapter 9: Out-of-equilibrium Monte Carlo simulations

order-parameter model, and show that one can achieve a speed-up of better
than a factor of 108 over the normal Metropolis method under certain cir-
cumstances.
Another way of speeding up out-of-equilibrium Monte Carlo simulations
is to look for mappings which turn a model of interest into another model
which may be simulated more efficiently. In Chapter 12 we study the "rep-
ton model" of DNA gel electrophoresis. This is a polymer model which
is normally defined in two or three dimensions. We show how the model
can be mapped onto a much simpler model in one dimension, which can
then be simulated efficiently using a relatively straightforward Monte Carlo
algorithm.
A third method for speeding up our calculations, and perhaps the one
which has been exploited most thoroughly, is to use any of a variety of pro-
gramming tricks to improve the efficiency of our code. Some of these tricks
we have seen before, such as the calculation of look-up tables of quantities
needed by the algorithm. Others include using parallel computers, which
we discuss in Chapter 14, and "multispin coding", which is discussed in
Chapter 15.

9.1.1 Choosing the dynamics

So, if it is so important that we use the right dynamics in our out-of-
equilibrium simulations, how do we know exactly what the correct dynamics
is? In our equilibrium simulations it is clear that the dynamics of our algo-
rithms is not usually a good approximation to the way in which real systems
work. We can, for example, use the Metropolis algorithm to simulate an
Ising or Heisenberg model, but in real Ising or Heisenberg magnets (and
they do exist) the spin-flip dynamics may be completely different from the
Metropolis algorithm. Even if the true dynamics of the system is a single-
spin-flip dynamics, the wrong choice of acceptance ratio could mean that
our simulation would give very different results from those obtained in an
experiment on a real system when we examine the way in which the system
comes to equilibrium.
In some cases this is not a problem. Quite often we are interested merely
in the dynamics of the model system, and not in emulating some real ma-
terial. For example, many people have studied the dynamical properties of
the ordinary Ising model under the Metropolis algorithm, without regard to
the dynamics of real Ising magnets. This may seem like a pointless exercise
to some. Why study a model system which is not actually a model of any-
thing? However, the approach is not entirely without merit. We would like
to learn how systems come to equilibrium in general, to improve our cur-
rently rather meagre understanding of non-equilibrium statistical mechanics.
And it makes sense to start off with a simple system with a simple dynamics,
9.1 Dynamics 267

rather than jumping in at the deep end with a realistic simulation of a real
material.
In other cases, where we are concerned with simulating a real material,
it may be possible to use our understanding of the physics of that material
to work out what dynamics we should use in our Monte Carlo algorithm.
In Chapter 11, for instance, we look at the simulation of adatoms on metal
surfaces. In this case quite accurate methods are available for studying
the dynamics of individual surface atoms, including a variety of semiclassi-
cal techniques for calculating the interaction energies of the atoms. These
methods allow us to make an estimate of the correct dynamics, so as to make
our Monte Carlo algorithm mimic the true system as closely as possible.
The simulation of adatom diffusion however highlights another problem—
the existence of energy barriers between states. When we are interested only
in equilibrium properties of a system then the condition of detailed balance,
Equation (2.2.3), tells us that we only need to know the energies of the states
themselves in order to construct a correct algorithm. If we are interested
in the out-of-equilibrium behaviour however, we need to know the way in
which the energy varies "between" the states of the simulation. In going
from one state u to another v (for example, when an adatom moves from
one hollow on a metal surface to another), the system must pass through
a succession of intermediate states with higher energy, and the rate for the
transition u —> v depends on the energies of these intermediates. In effect,
there is an energy barrier between the two states, and we expect the rate
for the system to cross this barrier to go exponentially with its height (the
so-called Arrhenius law—see Section 11.1.1).
There is no reason why any system we study should not have energy
barriers between states. In the Ising model, for instance, we can introduce
energy barriers for the flipping of individual spins by putting in extra inter-
mediate states between up and down spin states which have higher energy.
Such barriers can have a profound effect on the dynamics of the model, and
in fact a number of authors have looked into this very problem in some detail.

So our focus in the next few chapters will be to look at the simulation
of out-of-equilibrium systems, giving a number of examples of algorithms
for particular models which illustrate some of the techniques in use in this
area. First, we start with a chapter on the Ising model, which is simple and
familiar, but nonetheless illustrates a number of important points.
10
Non-equilibrium simulations of
the Ising model

As our first example of the ideas introduced in Chapter 9 we now look at

how the Ising model comes to equilibrium. As well as being a simple demon-
stration of most of the important ideas of out-of-equilibrium Monte Carlo
simulation, our studies of the Ising model also tell us about real physics.
As we explain in the next section, the equilibration of the Ising model be-
low its equilibrium phase transition temperature sheds light on the physical
phenomenon known as "spinodal decomposition".

10.1 Phase separation and the Ising model

Demixing is a phenomenon of current interest in non-equilibrium statistical
physics. If two immiscible fluids, such as oil and water, are mixed together
then, as common experience tells us, they have a tendency to separate again.
Typically such fluids demix by first forming small bubbles or domains of the
two substances which then coalesce into larger domains and so on, until the
substances have completely separated. (We will ignore the effects of gravity,
which make a heavier fluid like water sink below a lighter one like oil. We
assume that we are in zero gravity, or that the two fluids in question have
the same density.)
The growth of domains in this fashion can be modelled using the lat-
tice gases of Chapter 5 which we mapped in turn onto the conserved-order-
parameter (COP) Ising model. As we pointed out at the beginning of Chap-
ter 5, the COP Ising model undergoes phase separation at sufficiently low
temperatures into domains of up- and down-pointing spins. This phase sep-
aration is qualitatively similar to the demixing of fluids, and we can mimic
demixing by suddenly cooling or quenching an Ising model from a high
10.1 Phase separation and the Ising model 269

temperature, one above the critical point, to one below it and watching the
formation of these domains and the way in which they grow. The formation
and growth of domains of this kind is often called spinodal decomposi-
tion. (The spinodal is the line on the phase diagram between the regions
in which phase separation takes place and the regions in which it does not.1)
You might well ask what use it could be to simulate the Ising model
when, as we pointed out in Chapter 5, its properties are only rather loosely
related to the properties of real fluids. Previously we got around this prob-
lem by noticing that the COP Ising model actually gives a good estimate of
some equilibrium properties of a real gas because the two systems fall in the
same universality class. This means that quantities like critical exponents
(see Section 4.1) take the same values for both systems, despite the obvi-
ous differences in the physics involved. As discussed in Section 9.1 however,
this argument does not apply to the out-of-equilibrium properties of the two
models. Even models in the same universality class can give completely dif-
ferent results when they are not in equilibrium. So what makes us think that
the Ising model can tell us anything about the non-equilibrium properties of
real fluids?
The answer is that certain properties of domain growth in spinodal de-
composition fall into dynamic universality classes of the type discussed in
Section 9.1. In particular, the average dimension R of the domains grows as
a power law R ~ tx with time t, where the value of a depends only on the
coarse properties of the model and the dynamics used to simulate it, but not
on the details, in a way reminiscent of equilibrium universality. This result
was first demonstrated by Lifshitz and Slyozov (1961), and independently
also by Wagner (1961). The argument goes as follows.
When a system phase separates, the domains in the system coalesce and
grow because by doing so they reduce the total area of domain walls in the
system; domain walls cost energy, so reducing them lowers the energy. The
energy cost of having a domain wall is characterized by a surface tension o,
i.e., the energy per unit area of the wall. The surface energy of a domain thus
scales as a R d - 1 , where d is the dimensionality of the system. The volume
of a domain scales as Rd. So the energy density u—the cost of the domain
walls per unit volume of the system—goes down as R increases according
to u ~ o / R , and the gradient of the energy density scales according to
du/dR ~ o/R 2 . If we assume that the domain walls move diffusively,2 then

1
In practice, the point at which separation takes place does not coincide precisely
with the phase boundary depicted in Figure 5.1. There is a metastable region below the
boundary in which the system remains mixed on laboratory time-scales, even though the
demixed state has lower energy. For this reason the location of the spinodal is not well
defined; it occurs closer to the phase boundary the longer one is prepared to wait for the
nucleation of phase separated domains.
2
We have argued previously that the value z = 2 of the dynamic exponent for single-
270 Chapter 10: Non-equilibrium simulations of the Ising model

their velocity is proportional to this energy gradient:

where C is a constant. The solution to this equation tells us that

which is of the form postulated above, with a = 1/3. Note that this result
is independent of the dimensionality d and so should apply for systems in
either two or three dimensions, both of which we look at in this chapter.
The crucial assumption in this argument is that the movement of the
domain walls obeys a diffusion equation—their velocity is proportional to
the energy gradient they are moving across. For some systems this is clearly
not true. However, it does turn out to be correct for systems in which
(a) the motion of the domain walls is driven by thermal fluctuations, as is
the case for normal fluids and for our Ising models, and (b) the dynamics
by which the molecules or spins in the system rearrange is a local one. In
the language of our spin models for example, a dynamics like that of the
Kawasaki algorithm of Section 5.1 in which up- and down-pointing spins on
adjacent sites swap values is fine. However, a dynamics like that of the non-
local algorithm of Section 5.2 would not be acceptable. For the non-local
algorithm the argument given above breaks down and a different formula for
R applies. However, as long as we stick to Monte Carlo algorithms with local
dynamics, both (a) and (b) above are satisfied. They are also satisfied for
real fluid systems, and so we expect both the real system and our simulations
to display the same growth law for domains.
A similar scaling argument can be made for the growth of domains in
the ordinary Ising model in which the order parameter is not conserved. In
this case we find that the domain size increases somewhat faster than in the
COP case, as

Again this result only applies if the dynamics is local, as in the single-spin-
flip Metropolis and heat-bath algorithms, for example. Non-local algorithms
such as the Wolff cluster algorithm of Section 4.2 show completely different
behaviour.
Beyond scaling arguments of this sort there is no reliable analytical theory
of phase separation to date, and most of what is known comes from computer
simulations, usually of very simple models such as the ordinary Ising model
or the COP Ising model. The problem with these simulations is that we are
restricted to using only local dynamics, such as the Metropolis algorithm.
spin-flip algorithms indicates that the domain walls do indeed move diffusively (see Prob-
lem 4.1).
10.1 Phase separation and the Ising model 271

This prevents us from using most of the clever methods we developed in the
first part of this book to speed up our simulations. However, as we will see,
there are still some tricks we can play to make things faster. In the next
two sections we will illustrate a number of techniques for simulating these
kinds of systems by developing algorithms to test our scaling hypotheses for
domain growth, Equations (10.2) and (10.3). We will look at the problem
first for the ordinary (non-conserved-order-parameter) Ising model, which is
the simpler example, and then for the conserved-order-parameter version.

10.1.1 Phase separation in the ordinary Ising model

The obvious way of simulating the phase separation of the ordinary Ising
model is to use the single-spin-flip Metropolis algorithm. This algorithm
satisfies the requirement discussed above that the dynamics be local and, as
discussed on Section 3.1, is the most efficient single-spin-flip algorithm for
the Ising model.
In Figure 10.1 we show a number of snapshots of a simulation of a two-
dimensional Ising system on a 500 x 500 square lattice using the Metropolis
algorithm. In this simulation we started the system off in an infinite tem-
perature state, i.e., one in which the values of all the spins are chosen at
random (see Section 3.1.1). The simulation itself however was run at a fi-
nite temperature T = 2J, which is some way below the critical temperature
Tc — 2.269J of the model. In effect, the system was quenched instanta-
neously from T = oo to T < Tc at time t = 0. The figure clearly shows the
formation of domains of up- and down-pointing spins in the system, which
grow larger as time progresses. The frames in the figure show the state of the
system after t = 1, 10, 100 and 1000 Monte Carlo steps per site, or "sweeps"
of the lattice.
We are of course at liberty to use another algorithm for this simulation
if we want to, as long as the dynamics is still a local one. For example, we
could use a heat-bath algorithm, Equation (4.44). Although this would not
be as efficient a way of simulating the model as the Metropolis algorithm, it
is a useful way of checking the dynamical scaling law, Equation (10.3). If it
really is true that all types of local dynamics give the same functional form
for the growth of the domains over time, then we can check this by comparing
the results of simulations using different algorithms. In Section 10.2, we will
see how to extract the typical size of the domains from these simulations to
check the scaling law.

10.1.2 Phase separation in the COP Ising model

For the case of domain growth in demixing fluids discussed at the beginning
of this chapter the ordinary Ising model is not appropriate. As they demix,
272 Chapter 10: Non-equilibrium simulations of the Ising model

FIGURE 10.1 Snapshots of a computer simulation of phase separa-

tion in the two-dimensional normal Ising model using the Metropolis
algorithm. The system was quenched from T = oo to T = 2J at time
( = 0. From top left, the frames show the configuration of the system
after 1, 10, 100 and 1000 sweeps of the lattice, with black and white
dots representing up- and down-pointing spins respectively.

fluids preserve the volume occupied by each fluid in the system, and in this
case the conserved-order-parameter Ising model is the correct model to use.
As with the ordinary Ising model there are a variety of possible choices
for the dynamics of a COP simulation, always with the constraint that the
moves in the algorithm should be local. The simplest and commonest choice
is the Kawasaki algorithm of Section 5.1 in which randomly chosen pairs of
nearest-neighbour spins are exchanged with an acceptance probability which
depends on the resultant change AE in the energy of the system according
to
10.1 Phase separation and the Ising model 273

FIGURE 10.2 Snapshots of a computer simulation of phase separation

in the two-dimensional conserved-order-parameter Ising model using
the Kawasaki algorithm. The system was quenched from T = oo to
T = 2J at time t = 0. From top left, the frames show the configuration
of the system after 10, 100, 1000 and 10000 sweeps of the lattice.

(See Equation 5.1.) This algorithm ensures that the number of up- and
down-pointing spins is preserved at every step of the simulation.
In Figure 10.2 we show the results of a simulation of a two-dimensional
COP Ising model on a 500 x 500 square lattice using the Kawasaki algo-
rithm. The frames in this figure are taken at times t = 10, 100, 1000 and
10 000 sweeps of the lattice—ten times as long as the ones in Figure 10.1.
Even so, the domains of up- and down-spins are much smaller than in the
non-conserved-order-parameter case. This we might have anticipated. The
scaling form for the growth of domains in the COP model, Equation (10.2),
goes as t 1/3, which increases more slowly than the t 1/2 of the normal Ising
model. In the next section we show how to estimate the typical domain size
R so that we can check these hypotheses quantitatively.
274 Chapter 10: Non-equilibrium simulations of the Ising model

10.2 Measuring domain size

How do we measure the typical size R of the domains in our simulations?
A simple approach might be to measure the density of domain walls by
counting the number of times the direction of the spins switches from up
to down or vice versa along some line through the system. The typical
domain size could then be estimated by dividing the length of the line by
this number. This however would be a poor way of estimating R, because
although the direction of the spins does change at every domain wall, it can
also change temporarily just because a random spin gets flipped over in the
middle of a domain by our Monte Carlo algorithm. This means that we
will almost certainly underestimate the domain size if we use this simple
counting method, possibly very badly. A much better way to calculate the
domain size is to use a correlation function.

10.2.1 Correlation functions

A reliable way of estimating the typical domain size (2)R is to calculate the
two-point spin-spin connected correlation function GC (r) denned in Sec-
tion 1.2.1. We can do this for example by making use of the Fourier trans-
form result given in Section 3.6:

where s'(k) is the Fourier transform of s'i = Si - m. Then we invert the

Fourier transform to get the correlation function. If the model being studied
is isotropic, then we can either calculate the correlation function along just
one direction or we can average it over all directions to improve our statistics.
For anisotropic models we may be interested in one particular direction, or
we may wish to calculate the domain size in several different directions, in
which case we should calculate separate correlations functions in each such
direction.
In Figures 10.3 and 10.4 we show the results of calculations of Gc(2) (r)
along one axis for our ordinary and COP Ising model simulations. For spins
which are only a short distance apart the correlation function is large because
the spins are very likely to be pointing in the same direction. As the mag-
nitude r of the displacement becomes larger however, the correlation should
fall off, and we see precisely this behaviour in the figures. The correlation
function tends to one at short distances and to zero at large distances in
both the non-conserved and conserved-order-parameter cases. The different
curves in each figure show the correlation function at a succession of different
times throughout the simulation. (In fact, we used the same times as for the
snapshots in our earlier figures, except for the last two curves in Figure 10.4
10.2 Measuring domain size 275

FIGURE 10.3 The two-point connected correlation functionG(2)c(r) of

the two-dimensional normal Ising model as a function of displacement r
along one axis for the spin states shown in the snapshots of Figure 10.1.

FIGURE 10.4 The two-point connected correlation function GC (r)

of the two-dimensional conserved-order-parameter Ising model as a
function of displacement r along one axis for the spin states shown in
the snapshots of Figures 10.2 and 10.6.
276 Chapter 10: Non-equilibrium simulations of the Ising model

which were for longer times and made use of a more sophisticated algorithm
which we describe in Section 10.3.1.)
There is one important difference between the forms of the correlation
functions for the two different models. In the case of the ordinary Ising
model the correlation function is, apart from small statistical fluctuations,
always positive, whereas in the COP case it is oscillatory, falling quickly to
zero and becoming negative before rising again. The reason for this is that
in order to form a domain of up-pointing spins in the COP model we have to
take up-pointing spins from surrounding regions. Thus the area surrounding
such a domain tends to be depleted of up-pointing spins, giving rise to a
negative value for the correlation function.
We can now use the correlation function to extract an estimate of the
typical domain size. In the case of the ordinary Ising model, the conventional
choice is to define the domain size R to be the distance over which the
correlation function falls from 1 to a value of 1/e = 0.368. In the COP case
it is defined as the distance to the point at which the correlation function
first becomes negative. With these definitions R is roughly the distance from
the centre of a domain to the surrounding domain wall; the domain diameter
is2 R.
Clearly these definitions are arbitrary to a degree, as they must neces-
sarily be since a domain is not a very well-defined object in these models.
However, if we look at Figures 10.3 and 10.4 again, we notice an important
point. As time passes by, the correlations of spins in the system become
longer in range, but the functional form of the correlation function stays
the same; the curve moves to the right on our figures—corresponding to
multiplication by a constant on the logarithmic scales we have used—but
its shape remains roughly constant. This means that, as far as the study of
domain growth goes, it does not matter precisely what definition we choose
for the domain size R. Different definitions will give answers which differ by
a multiplicative constant, but universal scaling laws like (10.2) and (10.3)
will not be affected.
Using the definitions of domain size above, we have extracted values
of R from the correlation functions shown in Figures 10.3 and 10.4 and
plotted the results in Figure 10.5. We also show the conjectured scaling
laws, Equations (10.2) and (10.3), which appear as straight lines on the
logarithmic scales used in the figure. As we can see, the results for the
ordinary Ising model (the circles in the figure) follow the t1/2 scaling quite
convincingly, even for the rather short simulation we have performed here.
The results for the conserved-order-parameter model (the squares) are not
such a good fit, but for longer times the match between the simulation results
and the theory is reasonable.
10.2 Measuring domain size 277

FIGURE 10.5 The typical domain size R as a function of time for our
simulations of the ordinary Ising model (circles) and the conserved-
order-parameter Ising model (squares). The solid lines show the scaling
laws for these quantities, Equations (10.2) and (10.3).

10.2.2 Structure factors

An alternative and frequently more convenient way to estimate the domain
size makes direct use of the Fourier transform (10.5) of the two-point cor-
relation function, often called the structure factor for the system.3 As
the wave vector k tends either to zero or to infinity, the structure factor
tends to zero. Somewhere between these two extremes there is a peak in the
structure factor at the wave vector corresponding to the typical domain size.
By measuring the position of this peak we can determine R.
The usual way to estimate the position of the peak is to average the
structure factor over all directions to get the circularly averaged struc-
ture factor S(k) which depends only on the magnitude of the wave vector
k. Then we calculate the first moment k* of this function thus:

The typical radius of a domain is then given by

3
This name comes from the theory of X-ray scattering, in which the structure factor
is the quantity directly measured by the scattering experiment.
278 Chapter 10: Non-equilibrium simulations of the Ising model

In fact, this method does not give exactly the same estimate of R as the one
discussed in the last section, but again the two differ only by a multiplicative
constant so that either is fine for investigating the scaling behaviour of R
with time.
The structure factor contains more information about the structure of
domains than simply their average size. As k —» oo we normally find that
the structure factor tends to zero as k~(d+1) where d is the dimensionality
of the system, a behaviour referred to as Porod's law. In the language
of scattering experiments, Porod's law is the result of scattering from the
domain walls and only persists up to values of k corresponding to the typical
width of such a wall (Shinozaki and Oono 1991). The behaviour of the
structure factor in the limit of small k is not so well understood, and is still
a matter of some debate.

10.3 Phase separation in the

three-dimensional Ising model
We have shown that it is possible to perform quite accurate simulations
of spinodal decomposition in the two-dimensional Ising model using simple
Monte Carlo algorithms like the Metropolis and Kawasaki algorithms. In the
case of the ordinary Ising model in particular, where the order parameter
is not conserved, we can get results for the rate of increase of the average
domain size which are in very reasonable agreement with the predicted scal-
ing laws. And even for the conserved-order-parameter model, in which we
expect slower domain growth (the domains grow as t1/3, as opposed to t1/2
in the non-conserved case), we can still see the beginnings of the expected
scaling behaviour towards the end of a long simulation. When we look at
three-dimensional models however, this is no longer the case. For the ordi-
nary Ising model, three-dimensional simulations take so much longer than
two-dimensional ones that even at the end of an extremely long run it is
difficult to convince oneself that one is seeing any more than the very be-
ginnings of the expected t 1/2 scaling. And for the COP model the situation
is entirely hopeless; there is no trace of the t1/3 scaling law in even the
longest simulations. For three-dimensional models we therefore need to look
for more efficient simulation techniques.
In the following sections we look at two different approaches to this prob-
lem. First we look at ways in which we can make our current algorithms
more efficient without changing the dynamics. Then in Section 10.4 we look
at how we can change the actual physics of the problem in such a way as to
preserve the expected scaling laws but at the same time speed up the growth
of the domains. In these discussions we will concentrate on the conserved-
order-parameter Ising model, since this model is more closely related to real
10.3 Phase separation in the 3D Ising model 279

phase separation experiments, and also because it is the harder of the two
models to get good results from. If we can find an efficient way of simulat-
ing the conserved-order-parameter model in three dimensions, then we can
surely do the easier non-conserved-order-parameter model as well.

10.3.1 A more efficient algorithm

Taking the example of the conserved-order-parameter Ising model then, we
want to find a way of improving the efficiency of our Monte Carlo simulation
so that we can simulate the model for long enough times to verify the scaling
hypothesis, Equation (10.2). In Section 5.2 we demonstrated an algorithm
which made use of non-local spin exchange moves to reach equilibrium faster.
We cannot take this approach in the present case however, since, as we
pointed out in Section 10.1, only a local diffusive dynamics gives the correct
kind of domain growth. Still, even if we stick to Kawasaki-type Monte Carlo
moves in which the values of pairs of adjacent spins are exchanged, we can
still improve a lot on the simple algorithm of Section 10.1.2.
One problem with the simple Kawasaki algorithm is that we frequently
pick a pair of spins which are pointing in the same direction. Swapping
the values of such a pair is pointless because it doesn't change the state
of either of them. So we can improve our algorithm by only picking pairs
of spins which are pointing in opposite directions. As long as the pairs we
pick are still nearest neighbours our dynamics is still a local one, and the
improvement in efficiency by making this small change in the algorithm can
be quite large. If we take the example of a COP Ising system with half the
spins pointing up and half pointing down, the fraction of adjacent pairs of
spins which are anti-aligned starts off at 50% for the initial T = oo state.
This means we get a improvement in efficiency of a factor two right from
the start, and this factor increases as the simulation progresses because as
the spins in the system coalesce into domains, more and more of them have
neighbours which are pointing in the same direction. The only regions of
the system in which spins with anti-aligned neighbours are common are the
domain boundaries, which constitute a smaller and smaller fraction of the
total volume of the system as time goes by. In the simulation shown in
Figure 10.2, for instance, we find that by the end of the run only 14% of
the nearest-neighbour spin pairs in the system are anti-aligned, so that an
algorithm which only considers these pairs will be about seven times faster
than the simple Kawasaki algorithm.
We have to be a little careful about how we implement our algorithm,
however. As we pointed out in Section 5.1, the number m of anti-aligned
spin pairs is not a constant—it can change when we flip a pair—and this
means that a naive implementation of the algorithm will not satisfy the
condition of detailed balance. We can fix this however by a trick similar to
280 Chapter 10: Non-equilibrium simulations of the Ising model

that used in continuous time Monte Carlo algorithms: we make our Monte
Carlo steps correspond to varying amounts of real time. In detail here is
how the algorithm works.
First we make a list of all the anti-aligned pairs of nearest-neighbour
spins for the initial configuration of the system. Then at each step of the
algorithm we perform the following operations.
1. We select a pair of spins at random from our list and calculate the
change in energy which would result if their values were swapped over.
We then perform the swap (or not) with the Kawasaki acceptance
probability, Equation (10.4).
2. We add an amount At to the time, where

3. If the values of the spin were in fact exchanged, we must update our
list of spin pairs to reflect the change. The pair that we exchanged can
just stay where they are in the list, since they are still anti-aligned after
the move. All the neighbouring pairs will have to be changed however.
All the ones which previously were anti-aligned are now aligned and
should be removed from the list and all the ones which previously were
aligned are now anti-aligned and should be added.
To see that this algorithm satisfies detailed balance, notice that the prob-
ability per Monte Carlo step of any anti-aligned spin pair being chosen is
just 1/m, and hence that the probability per unit simulated time of it being
chosen is l/(m At) which equals 1, independent of TO. Given the form of the
acceptance probability for the move, this then ensures detailed balance. Er-
godicity is also obeyed, for exactly the same reasons that it is in the normal
Kawasaki algorithm.
Using this algorithm (and with a bit more patience) we have been able
to simulate the two-dimensional COP Ising model for two decades of time
longer than we previously could with the simple Kawasaki algorithm. The
results are shown in Figure 10.6.

10.3.2 A continuous time algorithm

The algorithm we proposed in the last section is a good deal more efficient
than the simple Kawasaki algorithm, especially at late times in the phase sep-
aration process, when the number of anti-aligned spin pairs becomes small.
However, there is still one source of inefficiency in the algorithm: many of
the Monte Carlo moves we propose are rejected simply because of the ac-
ceptance ratio, so we waste CPU time by generating moves which are never
10.3 Phase separation in the 3D Ising model 281

FIGURE 10.6 Snapshots of a simulation of the two-dimensional

conserved-order-parameter Ising model using the algorithm described
in Section 10.3.1, after 105 and 106 sweeps of the lattice.

performed. In Section 5.2.1 we saw how to get around this problem in the
case of an equilibrium simulation by using a continuous time Monte Carlo
method. We can use exactly the same trick with the current non-equilibrium
problem to produce an algorithm in which no moves are ever rejected. This
algorithm is a very straightforward implementation of the continuous time
idea as set it out in Section 2.4. It goes like this.
First we take the initial T = oo configuration of the lattice and construct
separate lists of anti-aligned nearest-neighbour spin pairs, grouped according
to the change in energy AE which would result if their values were to be
swapped over. On a cubic lattice in three dimensions, for example, the value
of AE ranges from — 20J to +20 J in steps of 4J, so there would be 11 lists
in all. Suppose that the number of entries in the ith list is mi. Each Monte
Carlo step then consists of performing the following operations:
1. We choose one of our lists at random, with the probability of choosing
the iih list being proportional to miAi, where Ai is the value of the
acceptance ratio, Equation (10.4), for the moves in list i.
1. We select one of the pairs of spins in the chosen list uniformly at
random.
3. We exchange the values of the two spins in the selected pair.
4. We add an amount At to the time, equal to the reciprocal of the sum
of the rates for all possible moves, which in this case means
282 Chapter 10: Non-equilibrium simulations of the Ising model

5. We update our lists to reflect the move we have made.

In fact, it is this last step which takes all the time in this algorithm. The
business of updating all the lists after every move is quite involved and can
take a lot of work. For this reason, it turns out that it only really pays to use
a continuous time algorithm at very low temperatures. At the temperature
T = 2J which we used in our Ising model simulations earlier in this chapter,
for instance, the lowest values of the Kawasaki acceptance ratio occurred
towards the end of our simulations and averaged about 34%. This means
that our continuous time algorithm, which has an effective acceptance ratio
of 100%, should be about three times as fast. However, the extra work
necessary to keep the lists of spin pairs up to date means that each Monte
Carlo step of the continuous time algorithm takes a good deal more than
three times as much CPU time as a step of the simpler algorithm, and so
the simpler algorithm is more efficient in the long run. As the simulation
temperature is lowered, the acceptance ratio in Equation (10.4) becomes
exponentially small, so there will always be a temperature low enough that
using the continuous time algorithm will pay off. For our purposes in this
chapter however, the continuous time method does not help.4
So what are we to do if we want to probe longer times still? In the
next section we investigate a completely different approach to speeding up
our simulation. Instead of changing the Monte Carlo algorithm, we look at
changing the actual physics of the system simulated.

10.4 An alternative dynamics

Up until this point, we have striven to find an efficient algorithm for simulat-
ing phase separation in the conserved-order-parameter Ising model without
changing the dynamics of the model itself. This is a sensible approach since,
as discussed in Section 10.1, we are not at liberty to toy around with the
dynamics in the same way as we were with the equilibrium algorithms in
the first half of this book. We have however been rather more strict than we
need to be. As we have pointed out, the crucial restriction on the dynamics
is only that our Monte Carlo moves should be local. In this section, we show
how we can make use of our knowledge of the physics of spinodal decom-
position to find a different dynamics for our simulation which still employs
local moves, but gives much faster domain growth.

4
We didn't know that this was going to be the case before we tried it. Often finding
the best Monte Carlo algorithm for a problem is just a question of trial and error.
10.4 An alternative dynamics 283

FIGURE 10.7 The two

different mechanisms by
which domains grow during
phase separation: bulk
diffusion (left) and surface
diffusion (right).

10.4.1 Bulk diffusion and surface diffusion

In order to understand how to speed up our simulation, we need to know a
little more about the physics of spinodal decomposition. As we showed in
Section 10.1, the typical domain size R in the COP Ising model is expected
to grow as t1//3 with time. In fact, as we can see in Figure 10.5, this scaling
behaviour is only followed closely when t becomes quite large. At shorter
times the curve of R against t is flatter than t1/3. Why is this? It turns out
that there are two important processes going on in the system, only one of
which we have taken into account so far.
The movement of particles (or spins, if you prefer) in the conserved-
order-parameter model can take place in two different ways, as illustrated in
Figure 10.7. Bulk diffusion, shown on the left of the figure, is the name we
give to the movement of particles from one domain to another, or between
parts of the same domain, by diffusion through an intervening domain of
vacancies. In the language of spins, bulk diffusion takes place when, for
example, an up-pointing spin breaks off from the surface of a domain and
travels through a domain of down-pointing ones to join up with another
up-pointing domain elsewhere. This process contributes to domain growth
because the activation energy needed for a spin to break off from a small
domain—one with high average surface curvature—is less than that for a
large domain, so that on average more spins move from smaller domains to
larger ones than the other way round.
There is however another mechanism by which spins move: surface dif-
fusion, which is illustrated on the right-hand side of Figure 10.7. Surface
diffusion refers to the sliding of particles (or spins) along the surface of a do-
main, without their ever detaching from the domain. Obviously this process
cannot move particles from one domain to another. However, it can move
284 Chapter 10: Non-equilibrium simulations of the Ising model

whole domains around the lattice and in this way cause domain growth by
joining pairs of smaller domains into larger ones.
Surface diffusion takes place much more easily than bulk diffusion because
there is no activation energy involved. It costs energy to break a spin off
from a domain, but it costs nothing to simply slide one along the surface.
For this reason surface diffusion tends to dominate the dynamics of domain
growth at early times. As time draws on, however, it becomes less and less
important, because it can only take place on the surfaces of the domains. As
we argued in Section 10.1, the ratio of domain surface to volume decreases
as 1/R, so the opportunity for surface diffusion dwindles as R grows. Thus,
it is only the bulk diffusion which contributes to the long-time scaling of
domain sizes which we see in our simulations.
In fact, surface diffusion turns out not only to be irrelevant to the results
we are looking for in our simulations, it is also the main reason why our
simulation is slow. Using scaling arguments similar to the ones we gave in
Section 10.1 we can show that the growth of domains as a result of surface
diffusion should go as t1/4. Given that we expect surface diffusion to dom-
inate at early times, this implies that we should see R growing slowly as
t1/4 initially, and then switching over to a t1/3 growth law later on. This
is precisely the behaviour which we remarked on earlier in Figure 10.5. So
if we could find an algorithm in which surface diffusion was suppressed in
favour of bulk diffusion, it should show the t1/3 behaviour much earlier in
the simulation. We now show how to create precisely such an algorithm.

10.4.2 A bulk diffusion algorithm

The trick behind creating an algorithm which favours bulk diffusion over
surface diffusion is to find an alternative form for the acceptance ratio, Equa-
tion (10.4), which gives the motion of a particle along the surface of a domain
a lower acceptance ratio than in our previous algorithms, thereby suppress-
ing it relative to bulk motion. It turns out that it is actually rather simple
to do this. Our algorithm makes use of the concept of the "spin coordina-
tion number" which we introduced in Section 5.2.1. The spin coordination
number ni of a spin i is the number of nearest-neighbour spins which are
pointing in the same direction as spin i. If we exchange the values of two
nearest-neighbour spins, i and j, we can write the resultant change AE in
the energy of the system in terms of the spin coordination numbers ni and
nj before the exchange thus:

where z is the lattice coordination number, i.e., the total number of nearest
neighbours of each site on the lattice.
Our proposed Monte Carlo algorithm can also be expressed in terms
10.4 An alternative dynamics 285

of the spin coordination numbers. The acceptance ratio for making the
transition from a state u to a state v by exchanging the values of two adjacent
spins is

where nui and nu are the coordination numbers in the initial state u. As we
will shortly demonstrate, this choice does indeed suppress surface diffusion
relative to bulk diffusion, and it is also very simple to implement. First
however, we have to prove that it satisfies the conditions of ergodicity and
detailed balance.
Ergodicity is easy. The individual moves in this algorithm are the same
exchanges of adjacent spin values as for the Kawasaki algorithm and so the
proof of ergodicity which we gave in Section 5.1 applies here as well. To prove
detailed balance the crucial step lies in noticing that the spin coordination
numbers of sites in the final state v are related to those in the initial state
u by

Using these relations we then find that

as required.
So how does this algorithm help us? Consider again the two scenarios
shown in Figure 10.7. With the Kawasaki acceptance ratio, Equation (10.4),
the bulk diffusion process on the left is slow because the move which splits the
spin off from its domain has an acceptance ratio which is less than one and
becomes exponentially small as temperature falls. For the surface diffusion
process on the right, by contrast, the spin never splits off from the domain
and all moves have an acceptance ratio of one. In the new algorithm, the
bulk diffusion process still has an acceptance ratio which is less than one.
So, however, does the surface diffusion process, since the spin coordination
numbers ni and ni of a pair of spins on the surface are both greater than
zero. This has the effect that fewer surface moves will be accepted relative
to bulk ones in the new algorithm. As a result the t1/4 domain growth
produced by the surface diffusion should be less strong and we should see
the late-time t1/3 setting in much earlier.
The acceptance ratio, Equation (10.11) can be used either with a simple
accept/reject algorithm of the type described in Section 10.3.1, which would
286 Chapter 10: Non-equilibrium simulations of the Ising model

FIGURE 10.8 Two-dimensional slices of simulations of the three-

dimensional COP Ising model, using the surface-diffusion-suppressing
algorithm described in the text. The four frames on the left are from a
simulation at temperature T = 0.1TC at times t = 1011.5, 1012.5, 1013.5
and 1014.5 (top to bottom). The frames on the right are at T = 0.6TC
at times t = 102.5, 103.5, 104.5 and 105.5.
10.4 An alternative dynamics 287

FIGURE 10.9 The average domain radius R as a function of time for

the simulations shown in Figure 10.8. The circles are for T = 0.6TC
and the squares for T = 0.1TC, The expected scaling of t 1/3 is shown
as the two solid lines.

be appropriate for simulations at relatively high temperatures, or with a

continuous time algorithm similar to the one given in Section 10.3.2, which
would work well at lower temperatures. In Figure 10.8 we show the results
of simulations using a continuous time algorithm on a 172 x 172 x 172 lattice.
The frames show two-dimensional slices of the three-dimensional system at
successive decades of time throughout the run. The frames on the left are
for T = 0.1TC and the ones on the right are for T = 0.6TC. Especially
for the lower temperature simulation, the algorithm is very efficient and
allowed us to reach total simulation times of 3 x 1014 Monte Carlo steps per
site. Using the simple Kawasaki algorithm which we started out with at the
beginning of this chapter, the same simulation would have taken us about
50 million years. In combination with the enhancement of bulk diffusion,
this algorithm allows us finally to make out the t1/3 scaling behaviour in
a three-dimensional system. Figure 10.9 shows the average domain sizes at
the two different temperatures as a function of time, measured using the
correlation function technique described in Section 10.2.1. In the last few
decades of each run we can see the results tending asymptotically to the
expected t1/3.
288 Chapter 10: Non-equilibrium simulations of the Ising model

Problems
10.1 What is the state of a phase-separating COP Ising model on an L x L
square lattice in the limit t —> oo when the numbers of up- and down-pointing
spins are equal?
10.2 The implementation of the bulk diffusion algorithm described in Sec-
tion 10.4.2 as a continuous time algorithm turns out to be charmingly simple.
We maintain lists of spins, as we did for the equilibrium algorithm of Sec-
tion 5.2.1, divided according to their spin coordination numbers ni. Then
we choose a spin i at random from one of these lists with probability pro-
portional to (z — ni) exp(— 4Bni) and exchange its value with that of one
of its anti-aligned neighbours, chosen at random. Show that this algorithm
does indeed result in a transition probability proportional to the acceptance
ratio of Equation (10.11).
11
Monte Carlo simulations in
surface science

In the last chapter we used the results of simulations of the Ising model to
study the growth of domains under spinodal decomposition. In this chapter
we look at another use of the Ising model in quite a different field: surface
science.
Out-of-equilibrium Monte Carlo calculations have become an important
tool in surface science. They provide an efficient way of simulating the move-
ment of atoms on crystalline surfaces. Most often we are interested in metals,
the majority of which have a face-centred cubic (fee) crystalline structure.
The surfaces of such a crystal provide a natural lattice for our Monte Carlo
simulation. For example, the atoms which make up the (001) facet of an
fee crystal form a square lattice, as shown in Figure 11.1. The atoms of a
(111) facet form a triangular lattice.
Now consider what happens if we add a few extra atoms to our surface.
These adatoms might be atoms of the same element as the crystal, or of a
different element. In either case, there will be attractive forces between the
adatoms and the atoms of the surface which mean that it is energetically
favourable for the adatoms to be next to as many surface atoms as possi-
ble. On a (001) surface, for instance, they will prefer to sit in the so-called
four-fold hollow sites where they are in contact with four surface atoms
simultaneously, as shown in Figure 11.1. Such four-fold hollow sites also
form a square lattice on the surface.
On a (111) surface the best an adatom can do is to sit in a three-fold
hollow site, in contact with three surface atoms. The three-fold hollow
sites divide into two distinct types depending on their position relative to
the atoms in lower layers of the metal (see Figure 11.1 again). An hcp
site, named after the hexagonal-close-packed lattice to which it belongs, is
290 Chapter 11: Monte Curio simulations in surface science

FIGURE 11,1 Left: if a metal with an fee, crystal structure is cut in

the (001) direction, the atoms in the resulting facet are arranged in a
square lattice. Right: a cut in the (111) direction results in a triangular
lattice; the upper of the two adatoms is in an hcp site and the lower
one is in an fee site.

a three-fold hollow site directly over an atom in the layer immediately below
the surface. An fee site is one which lies directly over one of the atoms two
layers below the surface. Both the set of hcp sites and the set of fee sites
form triangular lattices on the surface of the crystal. The combined set of
all three-fold hollow sites forms a honeycomb lattice. (See Section 13.1.2 for
a description of the honeycomb lattice.)
Many different types of crystalline surfaces are of interest in surface sci-
ence. In this chapter we will illustrate our Monte Carlo techniques using the
square lattice of a (001) surface, since the square lattice is the easiest to work
with. All the ideas and algorithms we will describe, however, are equally ap-
plicable to other lattices. Techniques for performing simulations on lattices
such as triangular and honeycomb lattices are discussed in Chapter 13.
Consider then a collection of adatoms in the four-fold hollow sites of the
(001) surface of an fee metal. (Actually, it could just as well be a body-
centred cubic (bcc) metal. For the (001) surface it makes no difference.)
Each adatom is bound to the metal surface with some binding energy E9,
which is typically a few electron volts (eV). This binding energy is the same
for all sites. However, two adatoms can lower their energy further by being in
adjacent sites; there is an extra binding energy Eb, between adjacent adatoms
which is typically on the order of a few tenths of an eV. This extends to
adatoms which are adjacent to more than one other adatom: we gain an
extra Eb in energy for every pair of adjacent adatoms on the surface. For
most metals it is a pretty good approximation to neglect binding energies
between adatoms which are any further apart than adjacent four-fold hollow
sites. Calculations for copper surfaces using semi-empirical potentials, for
Chapter 11: Monte Carlo simulations in surface science 291

instance, indicate that the error introduced by making this approximation

is less than one per cent (Breeman et al. 1995).
Perhaps you can already see that the energy of a set of adatoms on the
surface of a metal is closely related to the conserved-order-parameter Ising
model which we studied in the last chapter. We now make this connection
explicit. The arguments given here follow quite closely those used at the
beginning of Chapter 5 to make the connection between lattice gases and
the Ising model.
Suppose we have a lattice of N sites on which there are n adatoms,
including p pairs of nearest neighbours. The total binding energy H of these
atoms can be written as

The first term — nE8 here is a constant as long as the number n of adatoms
does not change. Only the second term depends on the configuration of the
atoms. Let us represent this configuration as we did in Chapter 5 using a
set of variables {6i} such that 6i is 1 if site i is occupied by an adatom and
0 if the site is empty. In terms of these variables we can write the number
of nearest-neighbour pairs of atoms as

where (ij) indicates that sites i and j are nearest neighbours. Making a
change of variables to the Ising spins

this becomes

where z is the lattice coordination number introduced in Section 3.1 (equal

to the number of nearest neighbour sites of each site). Using Equation (11.3),
the second term here can be written as

which is a constant as long as the number of occupied sites remains fixed.

The third term in (11.4) is also a constant, since both z and N are constants.
292 Chapter 11: Monte Carlo simulations in surface science

Substituting for p in Equation (11.1) we thus arrive at

where we have put all the constant terms together. Comparing this ex-
pression with Equation (5.7), we see that the total energy of our collection
of adatoms has exactly the same form as the Hamiltonian of the conserved-
order-parameter Ising model with the spin-spin coupling J set equal to1/4Eb.
For the typical values of Eb found in metals, the critical temperature of
this system is significantly higher than room temperature. To see this, recall
that the critical temperature of the Ising model (see Equation (3.53)) is

Typically binding energies between adatoms are on the order of about 0.3 eV,
which is equivalent to about 5 x 10-20 joules. Substituting this figure
into (11.7) we get a critical temperature of about Tc = 2000 K1 which is
well in excess of most laboratory temperatures (room temperature is about
300K), and indeed in excess of the melting point of most metals. Thus the
adatoms on a metal surface will under most conditions be in the condensed
phase of the COP Ising model, in which they tend to cluster together into
"islands" rather than being dispersed like the atoms in a gas. We can make
use of many of the results of Chapter 5 concerning the COP Ising model
to tell us about the properties of the adatoms in this condensed phase. In
this chapter however, we are more concerned, as most surface scientists are,
with the out-of-equilibrium properties of the system, such as the way in
which adatom islands form and grow. It is on these properties that we will
concentrate for the remainder of the chapter.

11.1 Dynamics, algorithms and energy

barriers
We showed in the last section that the total energy of a certain adatom con-
figuration can be well approximated using the Hamiltonian of the conserved-
order-parameter Ising model with an appropriately chosen spin-spin cou-
pling. This however only tells us about the equilibrium behaviour of the
system. As discussed in Chapter 9, the out-of-equilibrium behaviour of the
system depends on the dynamical processes by which the adatoms move.
Before we can create a simulation of our system, therefore, we need to work
out what the appropriate dynamics should be. We break the discussion up
into two parts: first we look at the dynamics of a single adatom on a crystal
surface and design an algorithm to simulate this simplified problem, and
21.1 Dynamics, algorithms and energy barriers 293

then we consider how this algorithm needs to be modified when more than
one adatom is present.

11.1.1 Dynamics of a single adatom

At typical laboratory temperatures (or even considerably higher) the ob-
served motion of the adatoms on a metal surface is of infrequent hops of
atoms from one site on the surface to another adjacent site. A single iso-
lated atom on a (001) surface will stay in the same four-fold hollow site for
comparatively long periods of time before making a quick hop to one of its
four neighbour sites. We will assume that the only moves we need to take
into account are hops of this kind between neighbouring sites.
When an adatom is in a four-fold hollow site, it is in contact with four
surface atoms at once, which is the maximum number possible on a (001) sur-
face. However, when it makes a jump from one site to another it has to pass
through a succession of intermediate states where it is in contact with a
smaller number of surface atoms, typically two in the (001) case. These in-
termediate states are therefore higher in energy than the preferred four-fold
hollow sites, and constitute an energy barrier of the kind which we discussed
in Section 9.1.1. It is because of these energy barriers that adatoms prefer
to stay in the same place for relatively long periods of time.
The typical height Bij of the energy barrier for hopping from a site i
to a site j is significantly greater than the thermal energy kT available for
crossing it. The hopping rate rij at which an isolated adatom hops from i
to j is related to the barrier height by the Arrhenius law:

In other words, the hopping rate decreases exponentially with increasing

height of the energy barrier. The quantity v is called the attempt fre-
quency and sets the overall time-scale for the movement of adatoms. The
attempt frequency typically has a value on the order of 1011 Hz but can vary
depending on, amongst other things, the local environment of the atom mak-
ing the hop. Most of the variation in rij, however, comes from differences
in the barrier heights; the variation with attempt frequency is quite small
by comparison. For this reason, it is common to assume v to be a constant,
independent of the adatom environment, and we will make that assumption
here as well.
There are a number of reasons why the Arrhenius law may not be per-
fectly obeyed in practice. An atom which crosses one barrier, for example,
will have a lot of kinetic energy when it reaches the other side, which it may
be able to use to cross another barrier immediately afterwards, an effect
known as transient mobility. On surfaces with reasonably high energy
barriers, however, this is a small effect and we will ignore it for the moment
294 Chapter 11: Monte Carlo simulations in surface science

FIGURE 11.2 The energy at the highest point of the trajectory be-
tween sites i and j is Emax = Ei + Bij = Ej + Bji. Rearranging
we then get Bij — Bji = Ej — Ei. The condition of detailed balance,
Equation (11.10), follows as a result.

and assume that successive hops are uncorrelated and obey the Arrhenius
law.
Given these assumptions it is not hard to show that the hopping process
satisfies the normal condition of detailed balance, Equation (2.14). As Fig-
ure 11.2 shows, the energy barrier By which an atom has to climb in order
to hop from site i to site j is related to the barrier Bji for the reverse hop
by

where JBj and Ej are the binding energies at the two sites. (For a single
adatom on a uniform surface these would be the same, but the proof works
without making this assumption. In the next section we consider systems of
many adatoms for which the binding energies vary, so it is worth our while
to prove the more general result.) Using Equation (11.8) we can then show
that the rates for hopping in the two directions satisfy detailed balance:

The condition of ergodicity also applies to adatom hopping, since a given

atom can hop to any site on the lattice given long enough. Thus, each site
on the lattice should be occupied with the normal Boltzmann probability
Z- 1 e- B E i (see Equation (1.5)). This means that we can indeed apply the
results for the normal conserved-order-parameter Ising model to the equi-
librium properties of our adatoms, as we claimed at the beginning of the
chapter.
11.1 Dynamics, algorithms and energy barriers 295

So how do we use these results to create a Monte Carlo algorithm for

simulating the motion of our adatoms? For the case of just a single isolated
adatom on a (001) surface, one possible algorithm would be to choose a
direction for our atom to hop in, and then make this move with an acceptance
probability

where Bij is the energy barrier for that move. Under this algorithm, each
Monte Carlo step would be equivalent to an interval of real time

The factor of four comes from the four directions in which the adatom can
hop.
We can do considerably better than this however. Notice that if all the
energy barriers are high compared with kT then all moves will get rejected
most of the time with this algorithm, which is a waste of CPU time. To get
around this problem we can use a trick similar to the one we used for the
Metropolis algorithm in Section 3.1 and multiply all our acceptance ratios
by a constant chosen such that the largest acceptance ratio becomes equal
to one, which is the highest value it is allowed to have. We can do this by
setting

where -Bmin is the lowest energy barrier in the system. (Again, we are avoid-
ing making the assumption that all the barriers are same, even though this
will be the case in most single adatom systems.)
Making this change does not affect the dynamics of the system, but it
does improve the efficiency of our simulation by a factor of exp(BB min ). It
also changes the time-scale by the same factor. With this algorithm, each
Monte Carlo step now corresponds to a time interval of

A better approach still to the problem is to use a continuous time Monte

Carlo algorithm. As described in Section 2.4, this means that at each Monte
Carlo step we choose one of the possible moves of our atom and perform it.
The probability of choosing any particular move should be proportional to
rij and a single Monte Carlo step now corresponds (see Equation (2.19)) to
an amount of real time

The sum here is over all sites j to which the adatom can hop and the rij
are calculated from Equation (11.8). Notice that this time interval can vary
from one Monte Carlo step to another.
296 Chapter 11: Monte Carlo simulations in surface science

With this algorithm, as with all continuous time algorithms, we never

reject any moves at all, which makes it a very efficient use of our CPU time.
It does have the disadvantage that we have to calculate the hopping rates
of all possible moves at each time step, which makes the calculation more
complicated. For the case of a single adatom, this is no great burden since
there are only four possible moves at any one time, but in the next section,
where we look at the case of many adatoms, it is more of a problem. In
that case, we will need to use bookkeeping schemes of the type introduced
in Section 5.2.1 to save us from having to recalculate all possible moves at
every step.

11.1.2 Dynamics of many adatoms

To simulate a system in which there are many adatoms we can use much the
same types of algorithms as in the previous section. One difference is that we
must now reject any moves which involve hopping an atom to a site which
is already occupied by another atom. The other main difference between
the two cases is in the energy barriers between states. As we saw at the
beginning of the chapter, the interactions between adatoms can affect the
binding energies of atoms in particular sites and this affects the heights of the
energy barriers; if an atom is bound more tightly to one site than to another,
then presumably the energy barrier it has to cross to get away from that site
is also higher. However, this effect does not account for all, or even most,
of the interesting physics of adatom dynamics. The interactions between
atoms also affect the energies of the intermediate states which atoms have
to pass through in moving from one site to another, and this also changes
the energy barriers, often quite dramatically.
It is a difficult task to calculate the energy barriers for adatom hopping
exactly. In Monte Carlo simulations a variety of approaches have been used,
ranging from the very simple and fast to extremely sophisticated atomic
structure calculations. Most simulations fall into one of the following three
classes.

Kawasaki- type energy barriers: The simplest choice is to set the energy
Emax of the top of the barrier (see Figure 11.2) equal to the greater of the
binding energies of the atom in the two sites i and j between which it is
hopping, plus a constant B0. In other words, the barrier By for hopping
from site i to site j is given by

Notice that this choice satisfies Equation (11.9), so that detailed balance will
be obeyed once the system has come to equilibrium.
11.1 Dynamics, algorithms and energy barriers 297

We can now feed these barrier heights into any of the algorithms proposed
in the previous section to create a Monte Carlo algorithm for the many
adatom system. The easiest way to go is to use the second algorithm we
proposed. In this case, we would choose an atom at random and consider
moving it in one of the four possible directions, also chosen at random. If the
site we want to move it to is already occupied by an atom, then we cannot
make the move. If it is empty, then we decide whether to make the move
based on the height of the energy barrier for the move. The height of the
lowest barrier is -Bmin = B0, so the acceptance ratio, Equation (11.13), for
the move becomes

This algorithm is very similar to the Kawasaki algorithm for the conserved-
order-parameter Ising model (Section 5.1), and for this reason we refer to
the energy barriers in Equation (11.16) as Kawasaki-type energy barriers.
The only subtlety with this algorithm is that a single Monte Carlo step
of this algorithm now corresponds to an interval of real time

where n is the number of adatoms. (We need this factor of n, so that the
attempt frequency of each atom for hopping in each direction is correctly v
per unit of real time.)
We can also use Kawasaki-type energy barriers with the continuous time
algorithm proposed in Section 11.1.1. Combining Equation (11.16) with the
Arrhenius law, Equation (11.8), we get

We can then employ this result in our continuous time algorithm. In practice
this is the better way of simulating the system, although the continuous time
algorithm is more complicated to implement. As discussed above, it requires
a certain amount of careful programming to avoid having to recalculate lists
of possible moves and their rates at every time step. In Section 11.2 we
discuss implementation in more depth.
Both of these algorithms can be simplified if we approximate the total
energies Ei and Ej of the system before and after the hop using Equa-
tion (11.1). (As we mentioned, this is usually a pretty good approximation.)
In this case the energy change Ej — Ei can be written as
298 Chapter 11: Monte Carlo simulations in surface science

where ni is the number of occupied nearest-neighbour sites of site i, and nj

the corresponding number for site j. Then the energy barriers simplify to

The bond-counting method: The trouble with Kawasaki-type energy

barriers is that they are a rather poor representation of the physics of real
adatoms on a crystalline surface. As discussed at the beginning of this
section, the energy barriers in real systems vary from site to site depending on
the configuration of adatoms in the nearest-neighbour sites. A slightly more
sophisticated approach which approximates the effects of such neighbouring
atoms is the bond-counting method.
Substituting Equation (11.20) into (11.9), we can write the difference in
the energy barriers for hopping in either direction between sites i and j in
terms of the number of occupied nearest neighbour sites ni and nj thus:

One simple solution of this equation is

where B0 is again a constant. This defines the barrier heights in the bond-
counting approach. Combining this result with the Arrhenius law, Equa-
tion (11.8), we obtain

As with the Kawasaki barriers, we can then use these rates to create a
continuous time Monte Carlo algorithm for simulating the system.

Lookup tables: As we pointed out at the beginning of this section, the

interactions between an atom and its neighbours when the atom is seated
in a four-fold hollow site are not enough to explain the variation of barrier
heights seen in real systems. If we want to perform a quantitatively accu-
rate simulation of the dynamics of a collection of adatoms on a real crystal
surface, neither the Kawasaki nor the bond-counting approach is adequate.
The correct way to proceed is to make use of one of a variety of atomic struc-
ture methods to make an accurate estimate of the energy of a set of atoms
in a given spatial configuration and then use this estimate to calculate the
effective barrier height for the hopping of an atom between two given sites.
These calculations are too complicated to be performed quickly during our
Monte Carlo simulation, so the usual solution is to calculate beforehand all
the barrier heights we are going to need for a particular simulation and store
them in a "lookup table". As discussed at the beginning of the chapter, the
11.1 Dynamics, algorithms and energy barriers 299

FIGURE 11.3 On a square lattice,

there are ten nearest- and
next-nearest-neighbour sites which
need to be considered in a full
lookup-table treatment of the
energy barriers. This means that
there are 210 = 1024 different
possible arrangements of occupied
and vacant neighbour sites.

energies of particular configurations of adatoms depend, to a good approxi-

mation, only on the arrangement of their nearest neighbours. If we want to
be very accurate we can also include next-nearest neighbours. For an atom
hopping to an adjacent site on a (001) surface there are ten sites which can
be occupied by a nearest- or next-nearest-neighbour atom (Figure 11.3) and
hence 210 = 1024 different possible arrangements of neighbouring atoms for
which we have to calculate an energy barrier. Actually, this number can
be reduced a bit by noting that some of the configurations are symmetry
equivalent. Basically, however, the lookup table approach involves just cal-
culating the barrier for each configuration of neighbours and storing it in the
table. The calculation has to be repeated anew for each material we wish
to study, since the heights of the energy barriers vary quite a bit from one
material to another. The barriers calculated in this way can then be plugged
into Equation (11.8) to give hopping rates which we can use, for example,
in a continuous time Monte Carlo algorithm.

To illustrate the differences between the three choices of energy barriers—

Kawasaki-type barriers, the bond-counting method and atomic structure cal-
culation of lookup tables—we have calculated the energy barriers for move-
ment of an adatom in the two situations depicted in Figure 11.4. In the first
case the atom hops between two isolated sites with no occupied neighbour
sites. In the second it hops one step along the edge of an island composed
of other adatoms.
If we use Kawasaki-type barriers, the energy barrier crossed in each of
these cases is the same—they are both equal to B0 since the energies of
initial and final states are the same in both cases
Using the bond-counting approach the energy barrier in the first situation
is BO again, but in the second it is B0+Eb since one of the nearest-neighbour
sites of our adatom is occupied.
We have also calculated the energy barrier in each situation for the move-
ment of a copper atom on a (001) copper surface using an atom-embedding
300 Chapter 11: Monte Carlo situations in surface science c

FIGURE 11.4 Adatoms moving as shown on a (001) surface have the

same energy barriers and hence the same hopping rules under the
Kawasaki-type approximation discussed in the text but quite different
hopping rates if we use the bond-counting method, or more sophisti-
cated atomic structure methods.

method (Breeman et al. 1996). In the first, situation we find an energy barrier
of about 0,4 eV, In the second we f i n d a barrier of about. 0.2 eV, Note that
the isolated atom has the higher barrier for hopping, which is the opposite
of the prediction of the bond-counting approach.
To highlight the differences between the three cases further, let us cal-
culate the ratio of the bopping rates for the two moves considered. For the
Kawasaki-typo barriers, the barriers in the two cases are the same, so the
ratio of hopping rates is 1. For the bond-counting approach. Equation (11.8)
tells us that the ratio of the rates will be exp( - B E b ) , For copper, Eb,is about
0.3 eV, which means that at room temperature the hopping of the isolated
atom is more than 100 000 times faster than the hopping of the atom on the
edge of the island.
Finally, plugging our atom-embedding results into Equation (11.8), we
get hopping rates of 3 x 10-4 V and l ( ) - 7 v for the two situations in Figure 11.4.
Thus the atom on the edge of the island has the higher hopping rate (by
contrast with the bund-counting approach, in which it. has a lower rate) and
hops about 3000 times faster than the isolated atom.
Thus we see tin-it there is a factor of 3000 between the values of this
hopping ratio in the atom-embedding calculations (which are the most accu-
rate) and the Kawasaki-type approximation, and a factor of 3 x 108 when we
so to the; bond-counting method. Clearly such large factors have important
implications (or our simulation results. In Section 11.3 we give an example
of the application of the methods described hero to the problem of simu-
lating rnolecular beam epitaxial growth and show that, they do indeed give
qualitatively different pictures of adatom dynamics. First, however, we look
at how these types of simulations are; implemented.
11,2 Implementation 301

11.2 Implementation
As discussed in the last section, there are a couple of different ways to
formulate our Monte Carlo simulation of adatom hopping. The simpler way
is to choose atoms at random and move them in a randomly chosen direction
with an acceptance probability given by Equation (11.13), provided always
that the site we wish to move them to is empty. The trouble with this
approach is that most of the time the site we wish to move them to will
not be empty. At typical laboratory temperatures, adatoms tend to phase
separate and form islands, which means that our Monte Carlo algorithm
wastes a lot of time picking atoms in the middle of islands and then not
moving them because all the surrounding sites already have atoms in them.
The solution, as we have already pointed out, is to use a continuous time
algorithm. As it turns out, this is much easier to do for the Kawasaki and
bond-counting methods discussed in the last section than it is if we wish to
use energy barriers stored in a lookup table. This in fact is the main reason
for the continued popularity of these simpler methods of calculating barriers
despite their rather poor representation of the properties of real surfaces.
Here we will discuss Kawasaki and bond-counting algorithms first. Lookup
table algorithms are discussed in Section 11.2.2.

11.2.1 Kawasaki and bond-counting algorithms

Examining Equations (11.21) and (11.23), we see that in both the Kawasaki
and bond-counting approaches the energy barriers take the general form

where m is an integer which takes values in the range 0... z, with z be-
ing the lattice coordination number of the surface (four in the case of the
(001) surface we have been considering). In fact, for both Kawasaki and
bond-counting approaches, m can only equal z if the spin coordination num-
ber ni at site i also equals z, in other words if all the nearest-neighbour sites
of site i are occupied, in which case no moves are possible. So in practice
we only need to consider values of m up to z — 1. (Note that in general
the value of m will be different for any given move under the Kawasaki and
bond-counting approximations.)
This suggests the following scheme for implementing our continuous time
algorithm. For every possible move on the lattice, the barrier height, Equa-
tion (11.25), takes one of z possible values corresponding to m = 0 . . . z — 1.
Suppose that at the start of our simulation we find all the possible moves
and divide them into z lists, one for each value of m. Since the hopping rate,
Equation (11.8), is entirely determined by the barrier height, all the moves
302 Chapter 11: Monte Carlo simulations in surface science

in each list occur at the same rate

Our continuous time algorithm consists of three steps:

1. We choose a move at random from all the possibilities in proportion
to the hopping rate. We can achieve this by first of all picking one of
our lists at random with probability proportional to Nmrm, where Nm
is the number of moves in list m. Then we pick one of the moves from
that list uniformly at random.
2. We perform the chosen move.
3. We add an amount At to the time, where At is the inverse of the sum
of the hopping rates for all moves (see Equation (11.15)), which we can
write as

4. We update our lists of moves to take the move we have made into
account.
The last step is the only tricky part of the algorithm. We don't want to
recalculate all our lists of moves from scratch for the entire lattice after
every move, since most sites on a large lattice will be far enough away not to
be affected by the move. However, if our Monte Carlo step moves an adatom
from site z to site j, then the hopping rates for all moves to or from nearest-
neighbour sites of either i or j will be affected and the corresponding entries
will have to be found in our lists and moved to different lists. In addition,
some new moves will have become possible (ones into the site vacated by the
atom which just moved) and others will no longer be allowed (ones into the
site it now occupies). These moves will have to be added to or subtracted
from the lists. As discussed in Section 5.2.1, all this bookkeeping can slow
the algorithm down by as much as a factor of 40. On the other hand, no
Monte Carlo step is wasted in a continuous time algorithm, and the resultant
improvements in the efficiency of the simulation usually more than make up
for the extra complexity of the algorithm. Depending on the temperature
used for the simulation the continuous time algorithm can be a factor of
100 or more faster, on balance, than the simple algorithms described in
Section 11.1.1.

11.2.2 Lookup table algorithms

If we want to perform our simulation using barrier heights stored in lookup
tables, as described in Section 11.1.2, then the number of possible barrier
11.2 Implementation 303

heights becomes quite large, maybe as large as 1024 (see Figure 11.3). In
order to use the algorithm of the last section in this case we would have to
maintain 1024 different lists of possible moves. Unfortunately, the amount of
time taken to perform one Monte Carlo step increases approximately linearly
with the number of lists, and this makes the algorithm impractically slow.
A better way of performing the simulation is to store the moves in a binary
tree. (If you are unfamiliar with tree structures, you will find them discussed
in detail in Section 13.2.4.) The idea is as follows.
We create a binary tree, each leaf of which contains one of the possible
moves of an adatom. (The leaves of the tree are the nodes at the ends of the
branches, the ones which have no child nodes.) We also calculate the hopping
rate for each move and store it in the corresponding leaf. Let us denote by ri
the rate for the ith possible move, calculated using Equation (11.8). In the
parent node of any two leaves i and j we store the sum rj + rj of the hopping
rates for the two children and in the grandparent the sum of those sums, and
so forth up the tree until we reach the root node, which contains the sum
R = Eiri n of all the rates. To choose a move at random in proportion to its
hopping rate, we first generate a random real number in the range from 0 to
R. If this number is less than the sum of rates R1 stored in the first child of
the root node then we proceed to that child. Otherwise we subtract R1 from
our random number and proceed to the second child. We repeat this process
all the way down the tree until we reach a leaf. It is not hard to show that
the probability of ending up in any particular leaf is then proportional to
the hopping rate for the move stored in that leaf.
To complete the Monte Carlo step, we now perform the chosen move and
then add an amount At to the time, which is given by the inverse of the
sum of the rates for all possible moves, Equation (11.15). For this algorithm
At is particularly easy to calculate, since the sum of the rates is just the
number R stored in the root node of the tree:

Finally, as with the lists in our Kawasaki and bond-counting algorithms, we

have to update the tree to reflect the changes in the rates of possible moves
and to add new moves or take away ones which are no longer allowed. Again,
this is really the time-consuming part of the algorithm. For each move which
has to be altered, added or removed we have to go all the way up the tree
to the root node adjusting the sums of rates stored in all the nodes in the
pedigree of the leaf which has been changed. As discussed in Section 13.2.4
however, such updates take a time which scales typically as the logarithm
of the number of nodes in the tree. The only other time-consuming step
in the algorithm, the selection of the move, also takes an amount of time
which scales logarithmically with the size of the tree, and hence so does the
time taken by the entire algorithm. This is a great improvement on the
304 Chapter 11: Monte Carlo simulations in surface science

straightforward implementation of the continuous time algorithm in which

both the move selection and the updating of the data structures take a time
which goes linearly with the number of moves.

11.3 An example: molecular beam epitaxy

As an example of the methods discussed in this chapter, we look at the
simulation of the growth of an adatom monolayer under molecular beam
epitaxy (MBE). Molecular beam epitaxy is an experimental technique in
which atoms, usually metal atoms, are evaporated from a heated source in
vacuum, and diffuse through space to land on a crystal surface. Typical de-
position rates in MBE experiments are low by comparison with the hopping
rates of atoms on the surface, so we can simulate the process quite well using
algorithms of the type described in this chapter if we simply add an extra
adatom to the system at regular intervals of real time.
We have performed simulations for copper atoms deposited on the (001)
surface of a copper crystal, using each of the three choices of barriers from
Section 11.1.2 in turn. For the Kawasaki-type barriers and the bond-counting
method we use the standard continuous time algorithm of Section 11.2.1. We
also computed a full lookup table of barrier heights using atom-embedding
methods and performed a simulation using the tree-structure algorithm of
Section 11.2.2. To simulate the deposition process we added extra adatoms
at regular intervals throughout the simulation at randomly chosen locations
on the lattice. If the chosen location turns out already to be occupied by
another adatom, the new atom diffuses around until it finds a vacant site on
the surface. This ensures that the system has only a single layer of adatoms,
as we have been assuming throughout this chapter, and is a reasonable ap-
proximation as long as the fraction of occupied four-fold hollow sites is quite
small.
Starting the simulation with an empty surface, we typically see the first
atoms deposited diffusing around freely until their number becomes suffi-
ciently large that they start to meet one another and form stable pairs. As
more atoms are deposited these pairs grow to form islands, and the islands
themselves diffuse and join up to form larger islands.
In Figure 11.5 we show examples of the configurations of the adatoms in
each of our three simulations after 20% of the sites on the surface are filled
(left column) and after 50% are filled (right column). The top row shows
the results of the simulation using Kawasaki-type energy barriers. In this
simulation adatoms can diffuse quite easily along the edges of the islands, but
there is a sizeable energy penalty to moving around a corner. For this reason,
the islands tend to develop a "spiky" appearance, with pointed promontories
growing out of them.
This effect is even more pronounced in the case of the bond-counting
11.3 An example: molecular beam epitaxy 305

FIGURE 11.5 Three different simulations of the deposition of copper

atoms on a copper (001) surface at room temperature (300 K) using
molecular beam epitaxy. In the top row the energy barriers were cal-
culated using the Kawasaki-type approach, in the middle row using
the bond-counting approach and in the bottom row using a lookup
table of values taken from atom-embedding calculations. In each case
the atoms were deposited at a rate of l0-11 v per site, where v is the
attempt frequency. The frames on the left were taken at 20% filling
and on the right at 50% filling.
306 Chapter 11: Monte Carlo simulations in surface science

simulation, which is shown in the second row. With the bond-counting

approach atoms tend to stick to islands at the position where they first
touch, since the presence of an occupied nearest-neighbour site creates a
sizeable barrier to their making any further moves. (Recall that at the end
of Section 11.1.2 we showed that the ratio of the hopping rates for isolated
atoms and atoms on the edge of an island was more than 100 000 for the
bond-counting approach.) This gives the islands a dendritic look similar to
the fractal structures seen in diffusion limited aggregation studies (see, for
instance, Mouritsen (1990)).
The bottom row of Figure 11.5 shows the results of the simulation using
the lookup table of energy barriers calculated with atomic structure methods.
In this case, as we pointed out at the end of Section 11.1.2, the barrier for
hopping along the edge of an island is actually lower than that for diffusion
of free adatoms, and for this reason the islands can easily change their shape
and tend to adopt rounded shapes which minimize their energy. We also
notice that the density of islands is lower in this simulation than in the
others. This is probably caused by the ability of groups of two or three
adatoms to diffuse with a velocity comparable to that of a single adatom, so
that an island only becomes fixed when it contains four or more atoms.

Problems
11.1 The adatom hopping process discussed in this chapter is only one
mechanism by which atoms diffuse on metal surfaces. Another common one
is the exchange mechanism where an adatom pushes one of the atoms in
the bulk of the metal up onto the surface and then takes its place in the
bulk. On a (001) surface, the ejected atom usually ends up in a site which
is a next-nearest-neighbour of the site occupied by the original adatom, so
that the overall effect of the process is to move an adatom by a distance v2
times the lattice parameter. For some metals, such as copper, the attempt
frequency for the exchange mechanism is actually higher than that for the
hopping one, but it also has a higher energy barrier. Suppose that the
attempt frequency of the exchange mechanism is a factor of ten greater and
its barrier is AB = 0.2 eV higher. At what temperature does exchange
become the dominant transport mechanism?
11.2 Suppose that we perform an MBE simulation using the algorithm
described in Section 11.2.2, which stores all the possible moves in a binary
tree. If a given run on a 100 x 100 square lattice takes one hour of CPU
time to reach a certain adatom density with a given deposition rate, about
how long will it take to reach the same density on a 250 x 250 lattice with
the same deposition rate?
12
The repton model

In the preceding chapters of this book we have given a number of examples

illustrating the use of creatively designed Monte Carlo algorithms to answer
questions about problems in statistical physics. In this chapter we will ap-
ply the same techniques to a problem of great importance in biophysics,
the problem of polymer electrophoresis. We will study the problem, as we
have the others in the book, by simulation of a simplified model which cap-
tures the essence of the processes involved. This model is called the "repton
model" and, as we shall see, it is very similar in spirit to the models we are
familiar with from statistical physics. This should come as no great surprise;
the demarcation of science into the separate disciplines of physics, biology,
chemistry and so forth is, after all, an artifact of our own creation, and has
little to do with the science involved. Indeed, it is the wide applicability of
the ideas of physics to problems which traditionally have been classified as
biophysics or genetics or biochemistry, which has led an increasing number
of physicists to desert their conventional fields of study for other equally
fertile ground.

12.1 Electrophoresis
Electrophoresis is an experimental technique for separating mixtures of
long-chain polymers according to their length. It has particular importance
in the rapidly growing fields of molecular genetics and genetic engineering for
refining DNA, which is just such a polymer. The model we will be discussing
in this chapter is quite a good approximation to the behaviour of DNA. (It
would not be so good, for instance, as a model of RNA—see Section 12.2.)
The basic idea behind electrophoresis is to separate charged particles by
pulling them through a stationary gel with an electric field. If we start with
a mixture of different types of particles, each of which drifts with a different
308 12: The repton model

FIGURE 1 2 . 1 A schematic depiction of the typical gel box used in

DNA electrophoresis. The gel is placed on the table in the middle,
two electrodes are located at, the bottom, and the box is filled with
buffer solution. When a voltage is applied between the electrodes, the
resulting electric field curves from the positive electrode through the
gel in the negative electrode, as denoted by the arrows. The DNA
samples are injected into the gel at the end closest, to the negative
electrode, as indicated.

velocity under the i n f l u e n c e of the electric field, then electrophoresis can he

used(usedtoseparate these types from each other.
The experimental setup for DNA electrophoresis is simple and inexpen-
sive: all you need is a box full of gel a way to produce an electric field.
The most common type of gel, and the one for which our model is best
suited, is the agarose gel. which is made by mixing one part, agarose pow-
der (a culinary thickening agent made from seaweed) with about a hundred
parts of a. butter solution. The mixture is heated to around 50°C which
makes the agarose dissolve in the buffer, and then it is poured into the gel
box. As the mixture? slowly cools down again, the agarosc condenses into
long strands, which eventually crosslink to form a layer of firm gel at the
bottom of the box. Microscopically, the resulting net,work looks like a three-
dimensional spider's web of thin threads. The DNA to be "analysed is now
injected into small holes in the gel and more buffer is poured in to cover the
gel. The buffer solution imparts a roughly uniform charge per unit length
on the chains of monomers or base pairs which make up the DNA, so that
when an electric field is applied across the gel box the fragments of DNA
start to drift downstream through the gel along a "lane" away from the hole
where they were injected. A sketch of the experimental set up is given in
Figure 12.1.
As we will see, longer pieces of DNA experience more resistance than
shorter ones when moving through the gel and as a result drift with a lower
velocity. Usually, the DNA injected into the gel is a mixture of a number
of dilfcrent types of DNA fragments of varying lengths. (The lengths are
normally measured as the number of base pairs (bp) or thousands of base
pairs (kb or "kilobase") in a fragment,) Thus, after we have waited a certain
amount of time, typically a fcw hours, the shortest fragments will have trav-
12.2 The repton model 309

elled furthest down the lane, and the mixture of DNA will have separated
into a number of bands, each containing DNA fragments with one specific
length. The positions of these bands are a measure of the length of the frag-
ments making them up, and the experiment also serves to separate the DNA
by length; at the end of the experiment, we can cut one of the bands out
of the gel, thus refining fragments of one particular length from the initial
mixture of many lengths.
Figure 12.2 shows results from a typical DNA electrophoresis experiment,
performed according to the procedure outlined above. In this experiment five
different lanes were run in the same gel box, with the same mixture of DNA
fragments being injected into successive lanes at regular intervals of two
hours, starting with the rightmost lane. The electric field was turned off two
hours after the last injection, so that, reading the figure from left to right,
the lanes correspond to five individual electrophoresis experiments of length
2, 4, 6, 8 and 10 hours. If each fragment of DNA drifts with a constant
velocity, a band in the four-hour lane will have drifted twice as far at the
end of the experiment as a band of identical DNA in the two-hour lane. If
we were to connect the middle points of all bands containing the same DNA
we should get a straight line, and the slope of this line would tell us the drift
velocity for that particular DNA fragment.
However, determining the drift velocity of a particular group of DNA
fragments doesn't actually tell us what their length is—the experiment needs
to be calibrated before we can calculate this. The customary calibration
procedure involves injecting a standardized DNA ladder into an empty
lane in the gel box. This ladder is a mixture of DNA fragments of known
lengths, usually multiples of 100 or 1000 bp. During electrophoresis this
ladder separates to form a set of bands which are then compared with the
bands formed by the fragments in other lanes, to determine the lengths of
those fragments. This procedure is advantageous because it provides an ap-
proximate estimate of fragment length which is independent of variations in
the experimental conditions. If a band of unknown DNA fragments drifts
about as fast as the standard 7 kb band in the DNA ladder, then it consists
of fragments around 7 kb in length, regardless of changes in temperature,
voltage or buffer concentration during the experiment or between one exper-
iment and another. The DNA mixture that we used to produce Figure 12.2
was just such a DNA ladder.

12.2 The repton model

As a tool for analysing and refining samples of DNA, electrophoresis is of
great practical importance in genetics and biophysics, and consequently there
is a good deal of interest in gaining an understanding of the physical processes
involved. In particular we would like to understand the relationship between
310 Chapter 12: The repton model

FIGURE 12.2 Electrophoresis of a mixture of DNA fragments. This

experiment was run for ten hours in an electric field of 4.4 V/cm. DNA
was injected in the rightmost lane at the start, of the run and then in
successive lanes at, intervals of two hours. For illustrative purposes,
we used DNA from a standard DNA "ladder" containing fragments
of length 1 kl), 2 kh and so on up to 12 kb. There were also some
fragments of length 1.6 kb added to help identity the bands, as well as
a few smaller fragments.
12.2 The repton model 311

FIGURE 12.3 A typical configuration of the repton model (left). If the reptons
are numbered along the chain, starting with the end in the top-left corner, we
can characterize this configuration by plotting the x-position as a function of the
repton number. This is done in the right side of the figure. This is the projected
model described in the text. Allowed moves are denoted by arrows.

fragment length and drift velocity, so as to put the calibration of the gel and
the use of DNA ladders on a firmer scientific footing. In this chapter we
discuss the mechanisms at work in electrophoresis and study a simple model
of the process called the "repton model".
First it is important to have some idea of how DNA diffuses through
a gel in the absence of an electric field. The fragments of DNA which we
inject into the gel are usually quite long (between 1 and 10 kb) and only
moderately flexible. One can think of the molecule as a piece of stiff rope
sliding through the web-like gel. Sideways movement of the rope is blocked
by the agarose strands, and its main mode of diffusion is motion along its
own length. The end of the molecule makes random thermal movements
around the gel, and the rest of the molecule follows behind, like a snake.
This mechanism was first proposed by de Gennes (1971), who christened it
reptation.
The repton model was introduced by Rubinstein (1987) as a simple
model of polymer reptation. The model is illustrated on the left-hand side
of Figure 12.3. The gel is represented as a square lattice; the plaquets on
the lattice correspond to the pores in the gel. (The lattice is shown as two-
dimensional in Figure 12.3, although the real system is three-dimensional.
However, as discussed below, the properties of the model are independent of
the number of dimensions of the lattice, so we may as well stick with two for
clarity.) We represent the DNA or other polymer as a chain of N polymer
segments or reptons, the black dots in the figure. (The reptons are not the
same thing as base pairs. In fact, each repton corresponds to a string of about
150 base pairs, as discussed below in Section 12.2.2.) Adjacent reptons in
312 Chapter 12: The repton model

the chain can only occupy the same or nearest-neighbour pores on the lattice
and reptons move from pore to adjacent pore diagonally according to the
following rules:
(i) A repton in the interior of the chain can move to one of the adjacent
squares on the lattice, provided that one of its immediate neighbours
in the chain is already in the square to which it is moving, and the
other is in the square which it leaves. This rule reproduces de Gennes'
reptation motion; reptation is the only mechanism for diffusion in the
repton model. Note that if three or more neighbouring reptons in the
chain find themselves all in one pore, only the two with connections to
other reptons outside this pore are allowed to move.
(ii) The two reptons at the ends of the chain may move in any direction
to an adjacent square, provided that such a move does not take them
more than one lattice spacing away from their neighbouring repton on
the chain.
In real polymers there is the additional effect that the polymer has a finite
width, which limits how much of the polymer can fit into a certain space.
This self-avoidance property is assumed to have a small effect on the dynam-
ics of real polymers and is not included in the repton model.
Since we are interested in the rate at which polymers drift through the
gel, we also need to define the time-scale on which moves take place. To do
this, we make the assumption that all the reptons are continually driven by
thermal fluctuations to attempt moves to the adjacent squares on the grid.
We assume that every such move is as likely as every other to be attempted
at any particular time, and we choose the time-scale such that each move
will be attempted once, on average, per unit time. (Not all of these moves
will actually take place; many of them will be rejected for violating one
of the rules above. However, the moves which are allowed each take place
with equal probability per unit time. There are no energies associated with
the different states, and so there are no Boltzmann weights making one
move more likely than another. The dynamics of the repton model is purely
entropic.)
The model described so far is, as we mentioned, just a model of polymer
diffusion. All the motions are random thermal ones and there is no applied
electric field. To make a model for electrophoresis, we first of all assign
to each repton the same negative electric charge, mimicking the charging
effect of the buffer solution in the experiment. Then we apply a uniform
electric field to the model along the rr-axis (the horizontal direction in the
figure), breaking the spatial symmetry. As a result, instead of unit rates
for the allowed moves in the positive and negative x-direction, the rates
become exp(—-E/2) in the positive direction and exp(E/2) in the negative
one, where E is a new parameter which is proportional to the applied field
12.2 The repton model 313

(see Section 12.2.2). The resulting model describes the qualitative behaviour
of DNA electrophoresis reasonably well. Many details of the real system
are still missing however, such as mechanical properties of the polymer, the
effects of counterions, the inhomogeneity of the gel and the gel concentration,
and to be quantitatively accurate the model would have to include these
features as well. However, we can still extract a lot of useful information
from the simple model we have here.

12.2.1 The projected repton model

The drawing in Figure 12.3 is two-dimensional, but real electrophoresis ex-
periments are three-dimensional. Does this matter? As we mentioned briefly
above, it does not, for the following reason. We are interested in calculating
the drift velocity of the polymer for the case of a uniform electric field in the
x-direction, which means we are interested only in the x-coordinates of the
polymer; the values of the other coordinates are irrelevant. Thus, we might
as well project the polymer onto the x-axis and ignore the other coordinates.
We do precisely this on the right-hand side of Figure 12.3, where we have
numbered the reptons along the length of the chain and then plotted the x-
coordinate as a function of repton number. This one-dimensional projection
of the model proves very convenient for simulation purposes, and we will be
working mainly with this form of the model from here on.
Comparing the states of the projected model with those of the original
higher-dimensional version, we can work out how the dynamics looks af-
ter projection. First, reptons in the projected chain must either be at the
same height as, or one place higher or lower than their neighbours, and each
possible move consists of moving one repton either up or down one place.
However, just satisfying these constraints is not enough. Consider, for in-
stance, the repton numbered 7 in Figure 12.3. This repton is not allowed to
move either up or down, even though the final configuration of the projected
chain following such a move would be a perfectly legitimate one. This fact
can easily be verified by going back to the higher-dimensional representation
and examining repton 7. In fact there is essentially only one type of move
allowed in the projected model, in which a repton which has one of its neigh-
bours on the level above or below it and one on the same level is allowed to
move up or down respectively. The reader may like to verify that such moves
are indeed the equivalent of our update rules for the higher-dimensional ver-
sion of the model. For the particular configuration shown in Figure 12.3, the
allowed moves for the projected model are shown with arrows.
This projection of the repton model onto one dimension works just as
well from three dimensions as from two, or indeed from any higher number
of dimensions. The final rules for the dynamics of the projected model are
just the same in each case, so we conclude that the properties of the model
314 Chapter 12: The repton model

are independent of the dimensions of the lattice on which it is built.

12.2.2 Values of the parameters in the model

Before we can perform a simulation of the repton model, we need to get an
idea of the sort of values that the free parameters N and E should take.
The parameter N measures the length of the polymer, but it is not the
number of monomers or base pairs in the molecule. Instead it represents the
number of persistence lengths from one end of the chain to the other. The
persistence length is a measure of the stiffness of the polymer, and essentially
it is the typical scale on which the polymer bends.1 DNA is quite stiff, and
has a persistence length of around 150 bp, or about 400 A. It also becomes
stiffer as the strength of the buffer solution used in the electrophoresis is
increased, and in real experiments can be as much as 800 A.
But N also plays another role in the repton model. As we said above, the
diagonal lattice of squares in Figure 12.3 represents the pores in the agarose
gel and the lattice spacing represents the typical pore size, the distance from
one agarose strand to the next. And in this model, the maximum distance
from one repton to the next is one lattice spacing, so N is also effectively the
length of the polymer in multiples of the pore size. The pore sizes in agarose
gels have not been determined very accurately yet, but for a 1% agarose gel
they are estimated to be in the range of 1000 to 3000 A.
We are fortunate that the persistence length of DNA and the typical pore
size in agarose gels have reasonably similar values. If this were not the case,
there would be an inconsistency between these two different roles which the
parameter N plays, and little hope that the repton model would make rea-
sonable predictions about real DNA electrophoresis. For the electrophoresis
of RNA, another polymer of great biological interest, the persistence length
is only one or two bp, or about 3 to 5 A, and again the agarose pore size is
1
To put this on a quantitative footing, we can define a vector n, which is the unit
direction vector from the ith monomer or base pair to the (i + l) th . Then we define the
direction—direction correlation function Gij thus:

where ( . . . ) represents an average over the states the molecule passes through over a long
period of time. When the base pairs i and j are very close together, their corresponding
direction vectors will be pointing in almost the same direction, so Gij will be close to
unity. When they are far apart there will be no correlation between the directions, and
the product of the two vectors is as likely to be negative as positive, so that after averaging
over many states of the system, the correlation function will be zero. As we approach this
long length-scale limit, the correlation function will decay exponentially:

The length-scale f for this decay is the persistence length (measured here in multiples of
the spacing between monomers).
12.3 Monte Carlo simulation of the repton model 315

1000 to 3000 A; these two vastly different length-scales cannot be represented

well by the one parameter in the repton model, and as a result the model
does not make good predictions about the results of UNA experiments.
The dimensionless parameter E is defined so as to be proportional to
the electric field applied to the system. The quantity exp(E) is the ratio
between the probability for a repton to move one step down the slope of the
electric potential and the probability for moving one step up it, and should
be equal to the ratio of the Boltzmann factors for making those two moves.
This means that

where a is the lattice parameter (i.e., the pore size), q is the charge per
repton (i.e., per persistence length) and Ef is the applied electric field. The
numerator here represents the energy needed to move a repton a distance
v2a (the x-distance between two nearest neighbours of the same lattice site)
against the electric force qEf acting on it.
The charge q is equal to one electron charge e per base pair, or about
150 x 1.6 x 10-19 C per repton.2 If we take a typical room-temperature value
of 300 K for T and a value of about 2000 A for the pore size a, we find that

when Ef is measured in Vm -1. The experiment in Figure 12.2 for example,

was performed with an electric field of 4.4 Vcm- 1 or 440 Vm- 1 , which
corresponds to a value of about E = 0.4.

12.3 Monte Carlo simulation of the repton

model
There is no known analytic solution for the properties of the repton model,
except for rather short chains,3 and so we turn instead to Monte Carlo
simulation. In the rest of this chapter we discuss the design of an algorithm
to simulate the repton model efficiently.
2
Each base pair consists of two nucleotides. These are single acids, meaning that each
one is capable of donating one H+ ion to the buffer, leaving the acid with a net negative
charge of e. We might imagine that this would mean that each base pair would have a
total negative charge of 2e, but in fact when the base pairs form, one of the H+ ions is
used up in forming a hydrogen bond between the two nucleotides, leaving only one free
for donation to the buffer.
3
For chains up to N = 20 a numerically exact solution has been given by Newman and
Barkema (1997). N = 20 corresponds to about 20 x 150 = 3000 base pairs in DNA, which
is a non-trivial length. DNA fragments of a few kilobase are of experimental interest.
However, the bulk of experiments focus on longer fragments, and for these a Monte Carlo
method is appropriate.
316 Chapter 12: The rep ton model

To begin with, let us consider the case of the repton model in zero electric
field E. In this case, we attempt each possible move of a repton once in each
unit of simulated time. We will work with the projected model, in which case
these moves consist of shifting the reptons up or down in Figure 12.3, for a
total of 2N possible moves (some of which, as we have said, will be rejected,
because they don't satisfy the rules set out in Section 12.2.1). We should
attempt each of the possible moves with equal probability, and we should
attempt them at a total rate of 2N attempted moves per unit of simulated
time.
The simplest Monte Carlo simulation of the repton model then goes like
this. In each Monte Carlo step we randomly select one of the N reptons and
one of the two directions for it to move in (up or down). If the move is allowed
according to the rules given in Section 12.2, it is accepted. Otherwise, it is
rejected. The probability for each move to be selected in one Monte Carlo
step equals 1 / ( 2 N ) , and after 2N moves each possibility will have been tried
once on average, corresponding to one unit of time. Instead of making 2N
Monte Carlo moves and then adjusting the time t on our clock by one, it is
more elegant to add At = 1/(2N) to t after each step.
To simulate electrophoresis we have to include the effects of an electric
field. We can achieve this if we keep the probability for attempting each
upward or downward move of a repton the same, but now make the up-
ward moves a factor of exp(E/2) more likely to be accepted and the down-
ward moves exp(— E/2) less likely. As with the Metropolis algorithm of
Section 3.1, we can get the ratio of these acceptance probabilities right, and
at the same time maximize the overall rate at which moves are accepted, if
we always accept upward moves, so long as they do not violate the rules of
the dynamics, but only accept downward moves with probability exp(— E).
Of course, moves which violate the rules will still be rejected outright.
This algorithm makes the ratio between the upward and downward moves
right, but it doesn't get the rates exactly correct. As it stands the algorithm
accepts allowed upward moves exactly as often as in the zero-field case,
whereas we'd like them to be accepted a factor of exp(E/2) more often. To
achieve this, we simply add

to the time t at each step. This also makes the downward moves exp(— E/2)
less likely (per unit time) than in the zero-field case (instead of exp(-E) less
likely) which is exactly what we want.

12.3.1 Improving the algorithm

This algorithm is not a bad one. In a typical run about 20% of the attempted
moves are accepted, and simulated times on the order of a few million can
12.3 Monte Carlo simulation of the repton model 317

be reached with a moderate investment of CPU time. However, as we now

demonstrate, there is considerable room for improvement in the algorithm
which will allow us to reach longer simulated times with the same expendi-
ture of CPU time. One way of speeding up the calculation is to make use of
"multispin coding", a low-level programming technique which is described
in more detail in Chapter 15. In Section 15.4 we discuss in detail how to
create a multispin-coded Monte Carlo algorithm for the repton model. In
this chapter, however, we look at more conventional approaches.
First, we note that it is inefficient to spend valuable CPU time in selecting
a move, only to reject it for one reason or another. We want to avoid rejecting
moves wherever possible. In the algorithm outlined above, upward moves are
only rejected if they fail to satisfy the rules of Section 12.2, but downward
moves are rejected with probability 1 — exp(—E) even when they satisfy the
rules. Rather than rejecting all these downward moves and wasting CPU,
can we modify our algorithm so that it just proposes fewer downward moves?
Suppose that, instead of choosing upward and downward moves with
equal probability of a half on each move, we chose the downward moves with
probability a, and the upward ones with probability I—a. (The repton that
we propose to move is still selected completely at random.) In that case, the
probability of choosing a particular downward move becomes a/N, and for a
particular upward move it becomes (1 — a)/N. The ratio of the probabilities
for upward and downward moves will be (1 — a)/a. We want to make this
ratio equal to exp(E). Setting the two expressions equal and solving for a
we get

If we chose upward and downward moves with these probabilities, then

the probability of selecting any particular upward move on a given Monte
Carlo step is 1 / [ N + Nexp(-E)]. As before, we want this to be equivalent
to exp(E/2) per unit time on average. If M is the number of Monte Carlo
steps which correspond to one unit of time, then that means we want to
choose M such that

or

We can achieve this by increasing t by

after each Monte Carlo step.

318 Chapter 12: The repton model

How much exactly does this speed our algorithm up by? Well, let us
assume first of all that the time taken to perform each Monte Carlo step is
the same for this new algorithm as it was for our original one. This seems
a reasonable assumption; the only extra work we have to do in the new
algorithm that we didn't have to do in the old one is the calculation of the
quantities a and At from the formulae above. However, we only have to
calculate each of these once for the whole simulation, so they don't add any
effort to the individual Monte Carlo steps.
The new algorithm is more efficient than the old one because some of
the steps that were previously rejected are now accepted. How much of a
difference does this make? This is measured by the quantity At in Equa-
tion (12.7) above, which is the amount of time which is simulated in one
Monte Carlo step. If the steps in both algorithms take the same amount of
CPU time, then At is also a measure of the amount of simulated time you
can get through with a given amount of CPU time. The corresponding quan-
tity in the original algorithm was exp(—E/2)/(2N) (see Equation (12.3)) so
the factor by which we have speeded up our algorithm is

When E = 0 this is 1 so there is no speed-up, as we would expect since when

E = 0 the basic algorithm doesn't reject any downward moves except those
that violate the rules of the dynamics. However, as E becomes bigger, our
new algorithm becomes better and better, and in the limit of large E the
new algorithm is a factor of two faster than the old one. In other words,
for large fields it can reach simulated times nearly twice as long in the same
amount of CPU time.

12.3.2 Further improvements

The algorithm described in the previous section still generates a lot of moves
that are later rejected because they contravene the rules of the repton model
dynamics. If we could arrange for these moves simply not to get chosen,
we would again save ourselves some CPU time (though we would have to
be careful to increase the time t by the appropriate amount to account for
the steps we are not now performing). We can do this by creating a list
of all the allowed moves by going through the reptons in the chain one by
one and checking what moves, if any, each one can make. Better still, we
can create two lists, one for the upward moves and one for the downward
ones. Since all upward moves are equally likely, and all downward moves
are equally likely, we then just have to pick one list or the other with the
correct probability, and then choose any move from that list at random and
perform it, and that's our entire algorithm.
12.3 Monte Carlo simulation of the repton model 319

The only questions we need to answer are, what is the probability for
choosing each of the lists, and how big is the increment At that we have to
add to the time at each step of the simulation? The probability of choosing
one list or the other is obviously related to the probability a in the previous
version of the algorithm, but it's not quite equal to a, because if it were, the
probability of choosing any one particular allowed move would go up as the
number of possibilities on the corresponding list went down, which is not
how we want things to work at all.
Suppose the number of allowed upward and downward moves are nu
and rid respectively. At each step of the simulation we either decide, with
probability 7, to take a move from the downward list, or we decide, with
probability 1 — 7, to take one from the upward list. The probability of
selecting any particular downward move at a given time is then y/nd, and
the probability of selecting a particular upward one is (1 — y)/nu. We want
the ratio of these probabilities to be exp(—E), which when you work it out
means that

Note that this value of 7 is not a constant; it has to be adjusted each time
the number of upward or downward moves changes.
To calculate At, we note that the rate y/nd at which a particular down-
ward move is made should be exp(—E/2) per unit time, which means that
we have to make nu exp(E/2)+rid exp(-E/2) Monte Carlo steps to simulate
one unit of time. Or alternatively, we increment the time-scale by

at each step. (Since we have already fixed the probability ratio between up
and down moves at exp(E) by our choice of 7, we are ensured that the rate
for upward moves will now be exp(E/2), as we want it to be.)
There is one more point we have to consider with this algorithm. The
process of going through the entire chain and making a list of all the possible
moves could be quite a lengthy one, and there is little point in construct-
ing this elaborate algorithm to save CPU time making moves if we simply
squander all the time saved constructing lists instead. In fact, if we had to
reconstruct the lists after every move, this would not be an efficient algo-
rithm at all. However, just as with the similar algorithms used in Chapters 5
and 10, it turns out that we do not have to reconstruct the lists completely
at every Monte Carlo step. When we make one move, most of the repton
chain stays exactly as it was and the possible moves are just the same as
they were. The possible moves of only three reptons are affected at each
step (or two if it's one of the reptons at the end of the chain that moves). So
the efficient thing to do is just update the entries for those reptons and keep
320 Chapter 12: The repton model

everything else unchanged. If we move repton number i, we only have to

check the possibilities for reptons i — 1, i and i + 1. Nonetheless, keeping the
lists up to date does use up some CPU time, and in practice we find that,
depending on the exact implementation of the algorithm, each Monte Carlo
step takes around 50% longer than before. To decide whether this sacrifice
is worthwhile, we need to look again at the time increment At which, as we
pointed out, is a measure of how much simulated time we get out of each
Monte Carlo step. Unfortunately, we cannot evaluate At directly from the
expression (12.10) in this case, since we don't know the values of the num-
bers nu and nd. However, in the next section, we make use of a mapping
of the projected repton model onto a particle model to calculate the aver-
age values of these quantities, and thus demonstrate that At is actually at
least a factor of 4.5 bigger than in the previous version of the algorithm. So
allowing for the extra CPU time needed to keep our lists up to date, this
new algorithm is about 4.5/1.5 = 3 times more efficient than the next best
algorithm we have considered, and up to six times more efficient than the
simple one which we started out with.

12.3.3 Representing configurations of the repton model

There are several ways of representing configurations of the chain in the
repton model. The simplest way is to use the x-coordinates Xi of all the
reptons, where i = 1... N. Alternatively, we can keep the x-coordinate of
just one of the reptons, say number 1, plus the position si of each subse-
quent repton relative to its neighbour: si = xi+1 — xi (i = 1.. .N — 1).
Given this information, the configuration of the repton chain can easily be
reconstructed. The constraint on the repton model that the re-coordinates
of neighbouring reptons on the chain differ by at most 1 means that the
quantities Sj can take just three possible values, —1, 0 or +1, corresponding
to segments going down, remaining flat or going up in Figure 12.3. This
makes the representation in terms of the si considerably more economical
than the one in terms of the Xi.
The model can also be represented as a collection of particles of two
different types, which we denote by A and B, moving around on a one-
dimensional lattice. We identify si = +1 with the presence of a particle of
type A at site i, si = -1 with a particle of type B, and Si = 0 with the
absence of a particle (a vacancy) at site i. The mapping from the reptons to
these particles is illustrated in Figure 12.4 for one particular configuration
of the polymer. The rules for the repton model are easily expressed in the
language of these particles:
(i) In the interior of the chain the particles are conserved: they can move
from site to site on the lattice but they are not created or annihilated.
(ii) A particle can hop to a neighbouring site if that site is not already
12.3 Monte Carlo simulation of the repton model 321

FIGURE 12.4 Illustration of the link between a configuration of the

projected repton model and a configuration in the model with two
species of particles.

occupied by another particle.4

(iii) A particle on one of the two end sites of the chain can leave the chain—
it simply vanishes from the lattice.
(iv) If an end site of the chain is empty, a particle of either type can appear
there.
In the absence of an electric field, the rates for all particle moves are
equal. On average, each particle on the chain tries to hop both to the left
and to the right once per unit of simulated time, type A particles try to
enter the chain at both the left and right ends once per unit of time, and so
do type B particles. If an electric field is introduced, type A particles will
hop to the left with a rate of exp(E/2) moves per unit of time and to the
right at a rate of exp(—E/1). Conversely, type B particles will have rates of
exp(-E/2) and exp(E/2) moves per unit time for hopping to the left and
right respectively. Thus, an electric field draws A-particles to the left, and
B-particles to the right.
This new picture of the repton model is useful, since some things which
are not obvious in our other pictures are obvious with this one (and vice
versa). For example, once we understand that the electric field will push
type A particles one way and type B ones the other way, it is intuitively
reasonable if we start off with a mixture of the two types of particles, that
after a while one or more traffic jams are going to build up on the chain, since
4
The particles are a bit like fermions in this respect: no two can coexist at the same
site. Notice however that if they were true fermions, particles of type A and type B would
be able to coexist, because they are distinguishable. This is not the case in this model,
where each site can only ever contain one particle.
322 Chapter 12: The repton model

the two particle types are trying to go in opposite directions but cannot pass
one another. Furthermore, these traffic jams will be unstable to fluctuations.
If one side of the jam becomes larger than the other—if there are more
particles of type A for example than there are of type B—then the larger
half will "push" the smaller half back, and, ultimately, off the end of the
chain. When this happens, we can end up with a configuration of the chain
dominated by one type of particle or the other. What does this situation
correspond to if we project it back onto the original repton model? It turns
out that it corresponds to a polymer that has got itself lined up along the
electric field, so that the reptation motion along the line of the molecule is
in exactly the direction the field is trying to push it. And in fact, this is a
situation that frequently occurs in electrophoresis experiments.
We can use the particle form of the repton model to calculate the ratio of
the number 27V of attempted moves to the number of moves that are actually
possible according to the rules governing the dynamics. When there is no
applied electric field, there is no physical process to distinguish particles of
the two types, and the equilibrium densities of A- and B-particles will be
identical. They will also be independent of position along the chain, since
the rates at which they enter and leave the chain are in equilibrium. Let us
define 0A and 0B to be the equilibrium densities of the two types of particles,
with 0A = 0B when E = 0. Both types of particles can enter at either end
of the chain if the corresponding end site is empty. Summed over both ends,
the rate at which particles enter the chain is thus equal to the probability
1 — OA — OB of an end site being unoccupied, times 2 for the number of ends,
and times another 2 for the two different types of particles. The rate at
which particles leave the chain summed over both ends equals 0A + 0B for
the probability that there will be a particle in one end site, times 2 for the
number of ends. In equilibrium these rates are equal, which implies that
0A + 0B = 2/3- In zero electric field 0A = 0B-, so we should find that _ the
densities of A-particles, of B-particles and of vacancies are all equal to ^.
The probability that a particle can move from a site i to a site i + I is
given by the probability that there is a particle at site i times the probability
that there is a vacancy at site i + 1. In zero field this is just2/3x1/3= 2/9. Thus
the ratio of the total number of attempted moves and the total number of
allowed moves will be | = 4.5 on average. We used this property in our
estimation of the efficiency of our algorithm in the previous section.

12.4 Results of Monte Carlo simulations

So, what can we do with the algorithm we have developed? First, let's
consider the case of zero electric field.
12.4 Results of Monte Carlo simulations 323

12.4.1 Simulations in zero electric field

Following scaling arguments given by de Gennes (1971), it is believed that the
diffusion constant D for a reptating polymer in zero electric field varies with
the length N of the polymer as D ~ N-2, or alternatively DN2 = constant.
We would like to see this behaviour reproduced in our simulation of the
repton model. Prahofer and Spohn (1996) have argued that the constant in
the above expression should be 1/3 for the model, and if this is the case we
should be able to see this in our simulations too. The exact calculations of
Newman and Barkema (1997) give the diffusion constant for chains of up
to 20 reptons, but even for N = 20 the value of DN2 is still almost twice
this conjectured value of 1/3. Can we do any better with our Monte Carlo
method?
The diffusion constant is defined by

where (r 2 ) is the mean square displacement after time t of a repton chain

which started off at the origin, and d is the dimensionality of the system,
which is usually 3. Since we are working with the projected model, our
simulations actually only give us the x-coordinates of the reptons. However,
in zero field there is nothing to distinguish one direction from another, so

which we can calculate and then plug into Equation (12.11). The results
of simulations to determine the zero-field diffusion constant in this way are
shown in Figure 12.5 for values of N up to 250. In this figure DN2 —1/3is
plotted as a function of N on logarithmic scales. On the same axes we have
also plotted the exact results for N = 3.. .20. From this figure it is clear
that the diffusion constant for large polymers approaches D =1 / 3 N - 2 ,as
suggested above. The slope of the line through the data is —2/3,which suggests
that for smaller N there is a correction to de Gennes' scaling form which
goes like N - 2 / 3 . This is actually rather surprising, since similar corrections
in other particle models usually go like A - 1 . The line in Figure 12.5 is given
by

12.4.2 Simulations in non-zero electric field

Now what happens when we introduce the electric field? The chain will start
to drift down the potential gradient of the electric field with some average
drift velocity v. (There will be fluctuations in the velocity because the chain
324 Chapter 12: The repton model

FIGURE 12.5 This figure shows how the diffusion constant scales with
the length N of the repton chain. The circles indicate the known exact
results for chain lengths up to N — 20 and the squares are the Monte
Carlo results. The straight line is given by DN2 = 5 (l + 5 N - 2 / 3 } .
After Newman and Barkema (1997).

will still have some random diffusive behaviour as in the zero-field case,
but if we average over a long enough time we can get an accurate measure
of v.) The electric field exerts a force on each repton proportional to the
parameter E, and the total force on the polymer is thus proportional to NE.
The Nernst-Einstein relation tells us that, if we exert a small force F on a
particle with diffusion constant D, its drift velocity will be v = FD. In our
model, the diffusion constant is given by D ~ N-2 to leading order, so for a
small electric field, the drift velocity should go like v = NED ~ E/N. In this
regime then, the drift velocity depends on the length of the polymer, which
is exactly what we want, since it makes the separation of DNA fragments
of different lengths possible. It is known from experiments however that
for strong fields the drift velocity becomes independent of the length of the
fragment, making such fields useless for separating DNA. Note also that, if
the direction of the electric field is reversed, the polymers will drift with an
equal velocity in the opposite direction. For this reason it has been argued
that the velocity should be expressed as a sum of odd powers of E, so that
when E changes sign, so will v. Combining this idea with the results above,
the form

has been suggested for the drift velocity, where c\ and c3 are constants.
12.4 Results of Monte Carlo simulations 325

This expression contains only odd powers of E, has the right form when E
is small, and becomes independent of N for large E. For many years it was
believed that this expression was essentially correct.
In simulations of the repton model using the algorithms described in
this chapter (and also in simulations of other related models), it is indeed
observed that in a sufficiently strong electric field, the drift velocity is in-
dependent of N. However, the velocity appears to scale as v ~ E2 instead
of the proposed E3. Recent more careful examination of the experimen-
tal results has shown that in DNA electrophoresis the velocity for strong
electric fields actually does go like v ~ E2. The combination of these two
observations, plus some supporting scaling arguments (Barkema et al. 1994)
indicate that the received wisdom on this matter is, after all, wrong.5
So what is the appropriate formula linking the drift velocity to N and El
Well, there are a number of plausible possibilities, but the one that seems
to fit the Monte Carlo data best is

where c2 and c4 are two new constants. An elegant graphical demonstration

of the accuracy of this formula is shown in Figure 12.6. In this figure we have
performed a "data collapse" (see Section 8.3.2) as follows. By rearranging,
we can write Equation (12.15) in the form

where a = c2/c4 and /? = c22/c4. This equation expresses the product vN2
as a function of just one quantity NE. If our formula is correct then, we
should be able to take the Monte Carlo data and plot the values of vN2
against NE and they should all fall on the line given by this equation (or
"collapse" onto it, as the jargon goes). This is precisely what we have done
in Figure 12.6, where the circles represent our data and the solid line is
Equation (12.16). The best fit of the line to the simulation data is given by
a = 5/6, B =5/18 or equivalently c2 = 1/3, c4 = 2/5. On the left-hand side of the
figure where the electric field is small, vN2 increases linearly with NE. This
corresponds to the expected behaviour v = 1 / 3 E / N for small fields. On the
right-hand side, vN2 goes quadratically with NE: we have v =2/5E2for large
fields, independent of the value of N, in accordance with the experimental
5
How does this fit with the argument about reversing the electric field and the odd
powers of E? Well, we simply write the large E drift velocity in the form v ~ E|E|, which
goes like E2 for positive E and like — E2 for negative E. If we do this, v is no longer
analytic, but there is no requirement that it should be. This is the root of the error in
the old argument.
326 Chapter 12: The repton model

FIGURE 12.6 Monte Carlo results from simulations on the repton

model. The circles give the measured values of vN2 as a function of
NE. The solid line is the scaling form, Equation (12.16).

observations. The cross-over between the two regimes occurs when the two
terms on the right-hand side of Equation (12.16) are approximately equal,
or in other words around NE = 5/6. Thus for longer and longer chains, we
have to work at smaller and smaller fields in order to be sure of falling in the
regime in which v is ./V-dependent and hence separation by length occurs.
So what does this tell us about real experiments? Well, having obtained
a convincing collapse for the data from our simulations, we should perhaps
try to apply the same idea to the experimental data. A difficulty that arises
is that experiments have an additional parameter, the concentration p of
the gel. However, it turns out that we can still get a collapse of the data
if we use the same collapse formula that we used for the simulation data
modified to include variation in p too. In Figure 12.7 we show experimental
values of the product p5/2vN2 as a function of pNE for experimental DNA
electrophoresis data published by Heller et al. (1994). As in the repton
model, the left-hand side of the figure shows linear behaviour, while the
right-hand side is quadratic. The solid line running through the points is
inspired by the collapse function that we obtained from the Monte Carlo
simulations and is given by

(These powers of p were just found by trial and error; unlike the powers of
12.4 Results of Monte Carlo simulations 327

FIGURE 12.7 Experimental data for DNA gel electrophoresis collapse

onto a single line if p 5 / 2 vN 2 is plotted as a function of pNE, where
p is the gel concentration (in % agarose). The data are taken from
Heller et al. (1994).

N and E, our Monte Carlo simulation does not give us any hints as to what
the correct forms are for the variation with gel concentration.)
The fact that we can obtain a good collapse of the experimental data us-
ing essentially the same method which worked for the repton model suggests
that the important processes which drive the dynamics of DNA electrophore-
sis are the same ones which went into the repton model, namely entangle-
ment of the polymer in the gel and reptation as the dominant mechanism of
movement.

Problems
12.1 We obtained a collapse of the data from our repton model simula-
tions using the scaling form given in Equation (12.16). What would be the
appropriate scaling form for a system which obeyed Equation (12.14)?
12.2 De Gennes (1971) proposed a model of reptation slightly different from
the one discussed in this chapter. In his model the polymer chain is once
again represented as a line of particles or reptons on a lattice. Unlike the
repton model however, successive reptons in the chain are prohibited from
occupying the same square on the lattice; they can only occupy adjacent
squares. The possible moves of the chain are that (i) either of the two
reptons at the ends of the chain can move to any other square, as long as
328 Chapter 12: The reptou model

the resulting configuration is an allowed one, and (ii) any two adjacent links
in the chain which are anti-parallel can move together to another position,
provided the resulting configuration is lawful, (a) Verify that the chain
does indeed move by reptation. (b) The most straightforward Monte Carlo
algorithm for this model is to choose at each step one of the two end links
of the chain or a pair of links in the middle, and move them at random to a
new allowed position. What increment of time should be attributed to one
such elementary move for the two-dimensional version of the model? (c) In
the two-dimensional case what is the average probability that any proposed
move will be accepted?
Part III

Implementation
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13
Lattices and data structures

In the preceding chapters of this book we have looked at quite a number

of problems and models in statistical physics, and described a variety of
different Monte Carlo methods for their study. For many of these Monte
Carlo methods we have also given some details about how they can be most
efficiently implemented on a typical modern computer. Many details of im-
plementation however are common to a lot of different algorithms, and in
the remaining four chapters of this book we examine some of these general
implementation issues. For instance, pretty much all of the problems dis-
cussed in this book are defined on a lattice, and so we need to know how
to represent such a lattice on our computer. Also, most of our algorithms
require us to store a certain amount of data regarding, for example, spin
clusters or other constructs, and for this we need to know about the efficient
implementation of data structures. In this chapter we describe the basic
techniques for handling these issues in Monte Carlo programs. If you are
an experienced computer programmer, some of this material may already
be familiar to you, in which case you will probably want to skip over those
parts.
In the following two chapters we look at two more specialized topics,
which are very useful for certain types of problems: in Chapter 14 we describe
methods for implementing Monte Carlo simulations on parallel computers,
and in Chapter 15 we discuss "multispin coding" which is a way of exploiting
a CPU's low-level bit manipulation functions to speed up critical parts of a
program.
Finally, in Chapter 16, we discuss a problem of great importance to all
Monte Carlo simulations, the generation of random numbers.
332 Chapter 13: Lattices and data structures

13.1 Representing lattices on a computer

Most models in statistical physics are defined on lattices. These lattices can
have a variety of different geometries. The most common lattices are square
and cubic lattices, but many others are important for particular models,
including especially the triangular lattice in two dimensions and the fee and
bcc lattices in three dimensions. In the following sections we describe how
these and a number of other more complex lattices can be represented in a
computer program, and also illustrate some general principles which can be
used to construct representations of more complex lattices still.

13.1.1 Square and cubic lattices

Square and cubic lattices are not only the commonest types of lattices, they
are also the easiest to represent on a computer. Since all high-level computer
languages allow us to define multi-dimensional arrays, we already have a
built-in mechanism for representing square, cubic or even hypercubic lattices
with no work at all. The lattice of spins in an Ising model on an L x
L square lattice for example could be represented in FORTRAN using a
two-dimensional array of integers declared thus: INTEGER S(L,L). In C the
declaration int s[L] [L] would achieve the same result. Then we can simply
refer to a spin sij with lattice coordinates i and j as S(I, J) or s[i] [j].
For many calculations we would really like to work on an infinite lattice.
This is not possible on a computer of course, since we don't have an infinite
amount of memory or CPU time, so we are constrained to working on the
largest practical lattice of finite size. However, as discussed in Section 3.1.1,
we can make an approximation to the behaviour of an infinite lattice by
applying periodic boundary conditions to our finite system. In other words,
the system is considered to "wrap around" from one side to another, so that
spins on one edge of the lattice are neighbours of the corresponding spins
on the opposite edge. On an infinite square lattice the nearest neighbours
of a site with coordinates (i,j) would be (i ± 1,j}) and (i, j ± 1). On a fi-
nite one with dimension L and periodic boundary conditions these become
((i ± 1) mod L,j) and (i, (j ± 1) mod L), where mod L indicates the mod-
ulo operation,1 i.e., remainder after division by L. (For languages such as
FORTRAN in which array indices start at 1, you need to add 1 to these
formulae.) This ensures that there are no special sites on the borders of the
lattice; all sites are equivalent under periodic boundary conditions and ap-
1
One must be little careful about using the modulo operation. The effect of the modulo
function on negative numbers varies from one computer to another. To be sure that you are
getting the right answer it is therefore prudent to make sure that you feed the function a
positive first argument. For this reason the neighbours of a site are usually actually written
as ((i + 1) mod L,j), ((i + L- 1) mod L,j), (i, (j + 1) mod L), and (i, (j + L — 1) mod L)
on a square lattice. A similar form should be used for cubic or higher-dimensional lattices.
13.1 Representing lattices on a computer 333

FIGURE 13.1 Illustration of periodic boundary conditions (left) and helical

boundary conditions (right) for a 5 x 5 square lattice.

proximate reasonably well to sites drawn from the interior of a large system
(see Figure 13.1).
For many simulations on square and cubic lattices a representation of this
type is completely adequate. However, for some simulations where speed is
critical it can be inefficient. The problem is that the memory of a computer
is only one-dimensional. Each memory location is labelled with a single
number. To represent an L x L array in memory therefore, the computer lays
out the elements of the array one after another in memory and the value of a
spin with lattice coordinates i and j is found at the variable iL + j from the
beginning of the array.2 This means that every time you retrieve the value
of a particular spin, the computer has to perform a multiplication to work
out where that value is. And multiplications are slow. Often this is only the
tiniest contribution to the total time taken by the simulation. Sometimes,
however, as in the Metropolis algorithm for the Ising model (Section 3.1), it
can be quite a significant portion of the total time because the rest of the
algorithm is very simple and can be programmed with great efficiency. In
cases like this, it often pays to use helical boundary conditions.
Helical boundary conditions are a variation on the idea of periodic bound-
ary conditions in which each lattice site is indexed by just a single coordinate
i. For the case of a two-dimensional L x L lattice for instance, i would run
from 0 to L2 - 1 in C, or from 1 to L2 in FORTRAN. (Henceforth, we will
use the C-style convention of indices starting at zero, since the formulae
work out a little simpler in this case. The FORTRAN version can easily be
2
FORTRAN uses so-called "column major" ordering of arrays (as opposed to the "row
major" ordering used in C) and stores the element at i + jL instead.
334 Chapter 13: Lattices and data structures

FIGURE 13.2 With helical boundary conditions, the number of sites

does not have to be a multiple of the width of the lattice. Here, a
lattice with 18 sites and width 4 is drawn, where the neighbours of site
i are i ± 1 and i ± 4, modulo 18.

derived from the C one.) On the square lattice i increases along one row
of the lattice and then along the next and so on until the entire lattice is
filled. On a cubic lattice each plane is filled in this fashion and then the
next plane, and so on down the z-axis. The idea can also be generalized to
higher dimensions still. In Figure 13.1 we contrast helical boundary condi-
tions with ordinary periodic ones for the case of the square lattice. As the
figure shows, in both systems each site is equivalent to all the others, and
each site approximates to a site drawn from the interior of a large system.
The advantage of using helical boundary conditions is that no multiplica-
tion is necessary to find the value of a spin or other variable at a particular
site. The spins on the lattice are now represented by a one-dimensional
array, regardless of the actual dimensionality of the lattice, and the value
of spin i is given simply by s[i] or S(I). Since there is no multiplication
involved (and in addition, only one index i to deal with) most modern com-
puters can retrieve this value from memory about twice as fast as in the
case of periodic boundary conditions. The wrapping around of the lattice is
handled in a way very similar to the periodic boundary condition case: the
four neighbours of the spin at site i are (i ± 1) mod L2 and (i ± L) mod L2.
In practice, it is often advantageous to work with a lattice where the total
number of sites is a power of 2. In this case, the modulo operation can be
performed very simply by setting the highest order bits to zero, which we
can do with a bitwise AND operation, which is usually much faster than the
modulo function.
Although they may seem a little asymmetric at first, helical boundary
13.1 Representing lattices on a computer 335

FIGURE 13.3 If we add diagonal bonds running in one direction to an ordinary

square lattice (left) we get a lattice with the same topology as the triangular lattice
(right). In this way we can represent a triangular lattice using a square array.

conditions are just as good at approximating an infinite system as periodic

boundary conditions and there is no reason to avoid using them if there is a
significant speed gain to be won. Our only word of caution is to be careful
when using them with anti-ferromagnetic models, in which the combination
of helical boundary conditions and the need to have a well-defined ground
state can sometimes require that we use a rectangular lattice of proportions
L x (L + 1), rather than L x L. The simulation will still work fine; you just
have to be careful to choose your lattice correctly.
In fact, if we use helical boundary conditions, there is in general no
reason to stick to lattices which are perfectly rectangular. Helical boundary
conditions work fine for lattices with any number of sites, regardless of the
length of the individual rows. For instance, we can construct a lattice with
18 sites but with rows of length four and still have it fit together fine, as is
shown in Figure 13.2. By using this trick we can if we wish make use of the
speed gain derived from making the number of sites a power of two, while
still retaining some control over the dimensions of the lattice.

13.1.2 Triangular, honeycomb and Kagome lattices

After the square and cubic lattices, probably the next most common lattice
used in Monte Carlo simulations is the triangular lattice. At first it might
appear that the triangular lattice is going to be much harder to represent in
our computer programs than the lattices of the previous section. However, it
turns out that there is a simple trick which makes it very nearly as easy as the
square lattice. As we show in Figure 13.3, if you add next-nearest-neighbour
diagonal bonds along one diagonal of each square on a square lattice, you
336 Chapter 13: Lattices and data structures

FIGURE 13.4 By using an elongated system of appropriately chosen dimensions

and number of sites we can arrange for the repeated cell in the system to be
a regular hexagon (shaded area). The hexagon has the same symmetries as the
infinite lattice, which makes this a better choice of geometry for many applications.

produce a lattice which has the same topology as the regular triangular
lattice; a simple shear will take the lattice into a triangular one. Since it
is only the topology of the lattice that we are interested in, we can thus
represent a triangular lattice in exactly the same way as we did the square
lattice, using a square array. The only thing which changes is which sites
are nearest neighbours of which others. If we use a two-dimensional array
to store the lattice, the neighbours of site (i,j) are (i ± 1, j) and (i, j ± 1) as
before, but there are also two new neighbours (i + l,j — 1) and (i — l,j +1).
If we use periodic boundary conditions then all these coordinates need to be
calculated modulo L, where L is the dimension of the lattice. If we store
our lattice in a one-dimensional array and use helical boundary conditions,
which is usually more efficient (see Section 13.1.1), then the neighbours of
spin i are i ± 1, i ± L and i ± (L — 1), all modulo N, where N is the total
number of sites on the lattice (which is usually L2, though it need not be).
One small issue with this representation of the triangular lattice is that
the overall shape of the lattice in Figure 13.3 is that of a rhombus. This is a
little unsatisfactory because the rhombus does not have the same symmetries
as the lattice itself. An infinite triangular lattice has a six-fold rotational
symmetry, whereas the rhombus only has a two-fold one. For large systems
this is not usually a problem, but for smaller ones it can give rise to unwanted
finite-size effects, particularly if we are calculating directional quantities for
which the symmetries are important, such as correlation functions. A useful
trick for getting around this problem is illustrated in Figure 13.4. As the
figure shows, if instead of an L x L system we use one which is longer on one
side than the other, and we stagger the boundary conditions, we can arrange
for the shape of the repeated cell in the lattice to be a hexagon, which has
the same six-fold symmetry as the infinite lattice. The figure shows how to
do this for a system with helical boundary conditions, although the same
13.1 Representing lattices on a computer 337

FIGURE 13.5 The solid circles and lines depict the honeycomb (left)
and Kagome (right) lattices. As the empty circles indicate, both these
lattices are subsets of the sites in a triangular lattice.

trick works for periodic ones.3

Two other common two-dimensional lattices with six-fold rotational sym-
metry are the honeycomb and Kagome lattices, which are illustrated in Fig-
ure 13.5. The honeycomb lattice is a lattice made up entirely of hexag-
onal plaquets; the Kagome lattice is a regular array composed of both
hexagons and triangles. The simplest way to represent these lattices is as
a subset of a triangular lattice. As Figure 13.5 shows, both the honeycomb
and Kagome lattices map exactly onto a triangular lattice with the same
nearest-neighbour distance, except that some of the sites are missed out.
(The missed out sites are represented by open circles in the figure.) Thus we
can construct a representation of these lattices by defining an array to hold
a triangular lattice, as above, but simply not using some of the entries in the
array. In the case of a honeycomb lattice stored in a two-dimensional array
with periodic boundary conditions, the missed out sites are those sites (i,j)
for which i —j is a multiple of three, or, if you like (i —j) mod 3 = 0. You can
derive a similar rule for systems with helical boundary conditions. In either
case, you should be careful about the way the boundary conditions wrap
around the lattice. Both periodic and helical boundary conditions work fine
for the honeycomb lattice with either rhombic or hexagonal lattice shapes,
but there are some restrictions on the dimensions of the lattice. The lattice
shown in Figure 13.4 wouldn't work, for instance, because the number of
sites is not a multiple of three. However, one can construct a similar lattice
with 18 sites and it will work fine.4
3
With periodic boundary conditions it is in fact not possible to contrive for the system
to be a regular hexagon and we must content ourselves with a lattice some of whose
edges differ slightly in length from one another. This however has no effect on simulation
results as long as the set of vectors to periodic images possesses all the symmetries of the
hexagonal lattice, which it does.
4
In this case the periodic cell would be an irregular hexagon rather than a regular one,
even with helical boundary conditions, but this is not a problem for large systems.
338 Chapter 13: Lattices and data structures

For a Kagome lattice with periodic boundary conditions, the missed out
sites are those for which i and j are both odd (or both even, if you prefer).
Helical boundary conditions will not work for the Kagome lattice, and so we
are restricted to using periodic ones. (Readers might like to take another
look at Figure 13.5 to convince themselves of this.) Below we describe an
alternative representation of the Kagome lattice which does not suffer from
this drawback.
These representations of the honeycomb and Kagome lattices are simple
and relatively straightforward to implement. They are, however, wasteful.
They require us to define arrays to hold our lattices which are bigger than
the number of sites on the lattice, the extra elements of the array simply
not getting used. In the case of the honeycomb lattice for example, this
increases the space needed to store all the spins or other variables on the
lattice by 50%. For smaller simulations this is unlikely to bother us, but for
large lattice sizes we might run into problems with the memory capacity of
our computer. As it turns out there are other ways of representing these
lattices which are more economical with memory and no slower than the
simple methods given above. What's more, studying these representations
will give us a good idea of how to represent more complex lattices still, such
as the diamond lattice of Section 13.1.3.
The fact that we can represent a triangular lattice in the simple fashion
described at the beginning of this section is a special consequence of a more
general property of lattices. The triangular lattice is one of the five Bravais
lattices in two dimensions. Bravais lattices (in two dimensions) are ones for
which the coordinates of every site can be written in the form r = ia1 + ja2,
where i and j are integers. The vectors a1 and a2 are linearly independent
and their magnitudes are the lattice parameters a1, a2 of the lattice. The
simplest two-dimensional Bravais lattice is the square lattice, for which a1
and a2 are the perpendicular unit axis vectors x and y. In the triangular
case a1 and a2 are again unit vectors, but this time set at a 60° angle to one
another, as shown in Figure 13.3. The other two-dimensional Bravais lattices
are the rectangular, centred rectangular and oblique lattices, none of which
you are ever likely to use in a Monte Carlo simulation. However, we can
make use of the Bravais lattice idea to construct more complicated periodic
lattices such as the honeycomb and Kagome lattices, which are useful for
Monte Carlo work.
A periodic lattice is any infinite lattice which maps exactly onto itself
when shifted along a correctly chosen translation vector. Periodic lattices
account for almost all the lattices used in Monte Carlo simulations. Rare
exceptions are the random lattices used in some quantum simulations, and
quasiperiodic lattices, which are of interest in the study of quasicrystals. We
discuss the representation of lattices like these in Section 13.1.4. Periodic
lattices can be represented in terms of Bravais lattices (of which they are
13.1 Representing lattices on a computer 339

FIGURE 13.6 Representation of a honeycomb lattice. The unit cell

consists of two sites, and is repeated along the directions a1 and a2,
60° apart. The lattice contains 2L2 sites, with L = 5 in this case.

a superset) as a unit cell which is "decorated" with a finite number of

sites in some spatial arrangement. The unit cell is repeated over and over
throughout space on the sites of an appropriately chosen Bravais lattice.
This construction is illustrated in Figure 13.6 for the the honeycomb lat-
tice. In this case, the unit cell (indicated by the dotted line) consists of two
atoms, repeated over and over at the vertices of a triangular lattice. We also
show how this construction can be used to create a logical numbering scheme
for the sites of the lattice which does not waste any memory space. This
particular scheme would be appropriate for a system with helical bound-
ary conditions, although we can easily construct a similar one for periodic
boundary conditions. Under this scheme, the nearest neighbours of site i on
a honeycomb lattice are as follows:

If i is even, its neighbours are i ± 1 and i — 2L + 1.

If i is odd, its neighbours are i ± 1 and i + 2L — 1,

where L now represents the linear dimension of the lattice in unit cells.
For the Kagome lattice, the unit cell consists of three sites arranged in
an equilateral triangle. The underlying Bravais lattice is again a triangular
one. In Figure 13.7 we have used this construction to create a numbering
scheme for the Kagome lattice, appropriate for use with helical boundary
conditions. In this case the nearest neighbours of site i are as follows:
340 Chapter 13: Lattices and data structures

FIGURE 13.7 Representation of a Kagome lattice. The unit cell con-

sists of three sites in an equilateral triangle, and is repeated along the
directions a1 and a2, 60° apart. The lattice contains 3L2 sites with
L = 5 in this case.

If i mod 3 = 0, its neighbours are i + 1, i ± 2, and i — 3L + 2.

If i mod 3 = 1, its neighbours are i ± 1, i + 2, and i — 3L + 4.

If i mod 3 = 2, its neighbours are i — 1, i — 2, i + 3L — 2, and i + 3L — 4,

with L again being the dimension of the lattice in unit cells.

Enforcing the helical boundary conditions is straightforward. Just as
before, we take the index i of the site modulo N, where N is the total
number of sites on the lattice. The only constraint is that N must be a
multiple of the number of sites in the unit cell. If we want we could also
use the more symmetric scheme depicted in Figure 13.4 so that the overall
shape of the lattice is that of a hexagon.

13.1.3 Fcc, bcc and diamond lattices

Representing three-dimensional lattices is in principle no more complicated
than the two-dimensional examples we have seen above. In practice, how-
ever, it can be quite confusing because thinking in three dimensions is much
harder than thinking in two. The most common three-dimensional lattice
used in simulations is the cubic lattice, which we discussed in Section 13.1.1.
After this the most common lattices are the face-centred cubic (fee) which
13.1 Representing lattices on a computer 341

is the usual lattice structure for the majority of crystalline metals, body-
centred cubic (bcc) which is the lattice structure for iron and the alkali
metals, and the diamond lattice which, as its name indicates, is the lattice
adopted by the carbon atoms in diamond, amongst other examples. If you
are not familiar with these lattices, a good description can be found in, for
example, Ashcroft and Mermin (1976).
The representation of these lattices can be tackled in two different ways,
exactly akin to those used for the honeycomb and triangular lattices in Sec-
tion 13.1.2. The simpler though more squanderous way is to notice that the
sites in all of these lattices are subsets of the sites in a cubic lattice. So we
can represent them as three-dimensional cubic arrays in which some of the
elements are not used. The appropriate rules are as follows:
• A point (h, k, l) on the cubic lattice5 is a member of the fee lattice if
h + k + l is even.
• A point (h, k, l) is a member of the bcc lattice if ft, k and l are either
all even or all odd.

• A point (h, k, l) is a member of the diamond lattice if ft, k and l are

either all even or all odd and (h + k + l) mod 4 = 0 for the even case
or (h + k + l) mod 4 = 3 for the odd case.
While these representations are relatively easy to use, they are wasteful,
in the same way that the equivalent representations of the honeycomb and
Kagome lattices were wasteful. In the case of the fee lattice, a half of the
lattice goes unused, meaning that a half of the memory allocated to store
lattice variables is wasted. In the bcc case,3/4of the space is unused, and in
the diamond lattice a full | goes to waste. This could become a real problem
for larger lattices, so it pays to find a more economical representation.
Let us look at the case of the fee lattice first. Although we tend to think
of the fee lattice as being a decorated cubic lattice (and indeed it is possible
to construct a representation this way, using a four-site unit cell), it is in
fact a Bravais lattice in its own right. The position r of any site on the
lattice can be written in the form r = ia1 + ja2 + fcas, where the three
basis vectors are a1 = (1,1,0), a2 = (0,1,1) and as = (1,0,1). (Notice that
this form automatically satisfies the condition given above.) The nearest
neighbours of a site are not only those along the vectors ±ai, ±a2 and ±a3,
but also those along the vectors ±(a1 — a2), ±(a2 —a3) and ±(a3 — a1), and
thus the lattice is twelve-fold coordinated. We can then construct a lattice
of L x L x L sites and apply periodic boundary conditions by taking the
three coordinates i, j and k modulo L. This gives a lattice in the form of
5
For some reason, it has become conventional to use the letters h, k and l for these
indices. We're not quite sure why this is, but we'll stick with the convention anyway.
342 Chapter 13: Lattices and data structures

a rhombohedron. Alternatively, and more efficiently, we can label each site

with an index n = i + jL + kL2 and apply helical boundary conditions. The
twelve nearest neighbours of site n are then n ± 1, n ± L, n ± L2, n ± (L — 1),
n ± (L2 - 1) and n±(L2 - L).
The bcc lattice is also a Bravais lattice, with basis vectors a1 = (1,1, —1),
a2 = (—1,1,1) and a3 = (1, -1,1). We can again construct a rhombohedral
L x L x L system with periodic boundary conditions along each principle
direction. Each site has eight nearest neighbours along the vectors ±a1,
±a2, ±a3 and ±(a1 + a2 + a3). Alternatively, we can label each site with the
index n = i + jL + kL2 and apply helical boundary conditions. The nearest
neighbours of site n are then n ± 1, n ± L, n ± L2, and n ± (L2 + L + 1).
The diamond lattice is more complicated because it is not a Bravais
lattice. In fact the diamond lattice has a unit cell of two atoms at positions
(0,0,0) and (1,1,1), repeated over and over at the vertices of a bcc lattice
of double the usual size. We can represent the sites on this bcc lattice in
the form r = ia1 + ja2 + ka3 with a1 = (2,2,-2), a2 = (—2,2,2) and
aa = (2, —2, 2) and then derive the sites of the diamond lattice by adding
(0,0,0) or (1,1,1) to these points. A practical way of doing this which
lends itself to helical boundary conditions is to label each site with an index
n — 1(i + jL + kL2) + m, where m is either zero or one depending on which
site in the unit cell we are labelling. Using this scheme, the neighbours of
site n are as follows:
If n is even, its neighbours are n + 1, n + 2L — 1, n + 2L2 — 1 and
n-2L-2L2 - 1.

If n is odd, its neighbours are n — 1, n — 1L + 1, n — 2L2 + 1 and

n + 2L + 2L2 + l.

13.1.4 General lattices

All periodic lattices can be represented as a unit cell superimposed on a Bra-
vais lattice, as we have done with the lattices of Sections 13.1.2 and 13.1.3.
Occasionally however, it may be necessary to construct representations of
non-periodic lattices, such as quasiperiodic or random lattices. In this case
the best approach, if we want our Monte Carlo simulation to run quickly, is
to create and store lists of the neighbours of each site. Suppose for example
that we have a random lattice in which each site is connected to a small
number of other nearby ones. If site number 1 is a neighbour of sites 2, 3,
10 and 11, say, then we would store these four numbers in an array which is
associated with site 1 . Site 2 would have a similar array which would have 1
as one of its entries, along with whatever other sites are neighbours of site 2.
And so on for the entire lattice. This set of lists defines the topology of the
lattice, and allows us to perform quick evaluations of the Hamiltonian or
13.2 Data structures 343

any other observable defined on the lattice: we simply run through the sites
on the lattice adding terms for the interactions of each site with each of its
neighbours. If we have three-point or higher interactions in the Hamilto-
nian we don't need to store any further lists; we can calculate all orders of
interactions from just the topological information contained in our lists of
nearest neighbours.

13.2 Data structures

Virtually all Monte Carlo simulations require us to store quite large amounts
of data in the memory of our computer. For lattice models, as discussed
in Section 13.1.1, we need to store the state of the spins or other variables
defined on the lattice. For random lattices we need to store lists of the nearest
neighbours of each site. For cluster algorithms we need to keep a record of
the spins in each cluster. For the conserved-order-parameter algorithms of
Chapter 5 we need to keep lists of which spins are up and which down. And
so on. Each case requires us to maintain a data structure to store the
relevant information. Data structures come in a variety of types, different
types being appropriate in different situations. The commonest types of data
structures are arrays, linked lists, trees and buffers. In following sections of
this chapter we describe each of these in turn and explain how to implement
them in a computer program. First however, we discuss briefly the different
variable types available in various computer languages. It is from these
variables that our data structures will be built.

13.2.1 Variables
All high-level computer languages provide a variety of different variable types
which can be used to represent the variables in our physical models. The
most common are integer variables and real or more correctly floating-
point variables. We assume that the reader is already familiar with these
types of variables and their implementation in the language of his or her
choice. Some languages, notably FORTRAN, also provide complex vari-
ables. For languages in which there is no complex variable type we can
usually create one using a structure or class (see below). Other variable
types which occur in some languages include Boolean (true/false) variables,
character (single letter) variables and strings (rows of letters such as words or
sentences). All of these may find occasional use in Monte Carlo calculations.
Many computer languages provide a selection of different precision ranges
for variables. Integers, for instance, may be stored in 16, 32 or 64 bits and
may be signed or unsigned. Floating-point numbers typically come in single
precision (32-bit) or double precision (64-bit) incarnations, while newer
computers often provide 80-bit or even longer representations. At the time of
344 Chapter 13: Lattices and data structures

the writing of this book, almost all new computers come with special-purpose
hardware for performing fast calculations with double precision floating-
point numbers, which makes these calculations just as fast as their single
precision counterparts. Unless memory space is an important consideration
therefore, there is usually no reason not to use double precision variables in
your simulations.
Two common extensions of the basic idea of a program variable are
pointers and references. Pointers, which occur in C and Pascal and deriva-
tive languages, are variables which store not the value of a quantity, but the
location of that value in the memory of the computer. Pointers are useful,
amongst other things, for efficient implementation of the linked list and tree
data structures which are discussed in following sections. References are in
some ways similar to pointers. A reference is a variable for which we can
specify where in the memory of the computer its value is stored. (Often we
are only allowed to do this indirectly by specifying that the memory location
should be the same as that of some other variable we already have.) Ref-
erences allow us to do pretty much the same things as pointers do, but are
sometimes more convenient to work with. References occur most notably in
C++, but are also found in a more limited form in some older languages,
such as FORTRAN and Pascal.
Two other useful features found in many modern computer languages
are structures6 and classes. A structure is a collection of variables which
we refer to by one name. For example, in a program which used complex
variables, we could define a structure consisting of two floating-point num-
bers to represent the real and imaginary parts of a complex number. This
is merely a convenience: there is nothing that can be done with structures
which cannot also be done with ordinary variables. However, one should not
underestimate the importance of such conveniences. By making programs
simpler and easier to read, structures can greatly reduce the number of bugs
introduced into a program when it is written, and help us to spot more easily
those that we do introduce.
Classes are found in object-oriented languages and are an extension of
the idea of structures. Like a structure, a class contains a number of vari-
ables which can all be referred to by one name, but a class can also contain
functions which perform operations on those variables. This again is just a
convenience, but a very useful one. A properly written class of complex vari-
ables, for instance, would allow us to perform straightforward arithmetic on
our complex numbers without ever worrying about the real and imaginary
parts; we could simply add or multiply our variables together and every-

6
The word "structure" here refers to a specific construction in a high-level computer
language and should not be confused with our more general use of the phrase "data
structure" throughout this chapter to refer to ways of storing the data in our Monte Carlo
simulations.
13.2 Data structures 345

thing would be taken care of automatically. Again, this can greatly improve
the readability of our programs and help us to avoid introducing too many
bugs.7
In the rest of this chapter we will look at a variety of data structures for
storing large numbers of variables in efficient ways. The variables in these
data structures can be any of the types described above. The techniques
are the same whether you are using integers or real numbers or complex
numbers or any other type of data.

13.2.2 Arrays
The most common data structure is the array, which is a collection of
variables stored in a block of memory on the computer and indexed by one
or more integer labels. Arrays are so important that all high-level computer
languages provide them as a feature of the language. They also provide the
perfect way of representing the variables on a periodic lattice, as described
in the first part of this chapter. We will assume that our readers are already
familiar with the idea of arrays and how they are used.

13.2.3 Linked lists

A common problem which crops up in many computer programs is that of
storing lists of values of one kind or another. The examples given most often
are of database applications which require the storage of ever-changing lists
of, for instance, names and addresses. In our Monte Carlo codes we are more
likely to want to store lists of numbers, such as the positions and values of
the non-zero elements in a sparse matrix or vector. We could store such a
list in an ordinary array, but this has problems. First, the length of a list
may vary, but arrays have a fixed size, which means that we have to decide
beforehand what the largest likely number of items is going to be. And
if the list ever grows longer than this estimate our program will probably
malfunction. More importantly, we often need to be able to add or remove
values from any point in a list. If the list is stored in an array, then adding
or removing a value somewhere in the middle can only be done by moving
all higher elements in the list up or down one place to make a hole or close
a hole up. For a large list such movements can take a long time.
One solution to these problems is to use a linked list. A linked list is
a data structure which allows us to store lists of arbitrary length and to
quickly insert or delete elements from them at any point in the list. These
features come at a price however. The main disadvantage of a linked list is
7
Typically classes also provide a number of other features, such as scope limitation and
inheritance, which are useful for large software development projects but may be of less
use for small Monte Carlo programs.
346 Chapter 13: Lattices and data structures

FIGURE 13.8 A linked list used, in this case, for the alphabetical
storage of names.

that it is not possible to read any particular element in the list without first
going through each of the preceding elements in turn. This makes linked
lists good for algorithms which only require sequential access to items in a
list (such as sparse matrix multiplications), but poor for algorithms where
"random access" is required. (For cases in which random access is required,
the tree structures described in Section 13.2.4 are often a good solution.)
A linked list is a set of data items, stored in any order in the memory of
the computer, with each of which is associated a pointer which points to the
memory location of the next item in the list. As long as we know the location
of the first item, we can then easily run through all of them by starting at
the first, reading its value, and then following its pointer to the second item
and reading that, and so on. We also need some way of indicating when an
item is the last one in a list. Typically this might be done by setting the
pointer for that item to a special value such as 0 or — 1.
Figure 13.8 is a schematic illustration of a linked list of names. In this
example, the names are stored in alphabetical order. If we want to add a new
name to the list, it should be inserted in the correct place in the alphabet.
This is actually very simple to do, as Figure 13.9 shows. To insert a new
element after an existing element en, we create a variable containing the new
element, set the pointer of element en to point to it, and set its pointer to
point to en+1. There is no need to shift any data around the memory of
the computer, making the list much quicker to change than an equivalent
array. Sometimes it may also be necessary to insert a new element before an
existing one en. This is a little more complicated. What we would like to do
is create a variable containing the new element and set the pointer of element
e n _1 to point to it. Unfortunately, we can't easily do this because we can't
go backwards from element en to get to element en-i; the pointers only point
one way along the list. Instead we use the trick illustrated in Figure 13.10.
13.2 Data structures 347

FIGURE 13.9 To add a new element ("Bohr") to a linked list after

an existing element ("Baxter"), we change the pointer of the existing
element to point to the new element, and set the pointer of the new
element to point to the next element in the list ("Bragg").

FIGURE 13.10 To add a new element ("Bohr") to a linked list before

an existing element ("Bragg"), we create a new element and copy the
existing element and its pointer into it. Then we put our new value
("Bohr") where the old one ("Bragg") was and set its pointer to point
to the newly created element.
348 Chapter 13: Lattices and data structures

We create a new variable and copy both the value and the pointer from
element en into it. Then we set the pointer of element en to point to this
new element, and we store our new value in en. This only involves looking
ahead along the list and not backwards, and achieves the desired result of
inserting the new value into the list ahead of the nth element.
We use a similar trick to remove an element from the list. If we wish to
remove element en, then what we would really like to do is set the pointer
of element e n _1 to point to en+1 and just throw en away. This again would
involve moving backwards in the list, which we cannot easily do. So instead
we set the value of en equal to the value of en+1, set the pointer of en to
point to en+2, and throw away element en+1. This achieves the desired result
while only looking ahead along the list.
Sometimes, there will be cases where we really do need to be able to
move backwards as well as forwards through a list. In this case we can use
a doubly linked list in which each element includes pointers to both the
next and previous elements of the list. Making changes to such a list takes
longer than in the case of the singly linked list, since two pointers have to be
maintained for each element. For this reason we should use a singly linked
list wherever possible, reserving the doubly linked one for those cases where
the need to move backwards is unavoidable.
These methods, as we have described them, rely on two crucial features
of the computer language used: it should have pointers and it should allow
dynamic memory allocation. At the time of the writing of this book, this
restricts us to using C or C-like languages. In other languages a more prim-
itive implementation of the linked list is possible, using an array and storing
array indices instead of pointers to elements. Such structures have most of
the advantages of linked lists but their size is limited by the size of the array
used to store them, and so cannot expand arbitrarily, as a true linked list
can.

13.2.4 Trees
Both arrays and linked lists are good for certain types of task, but both have
their problems. As we saw in Section 13.2.3, a linked list allows us to add
or remove elements efficiently at any point in the list, and the list can grow
or shrink arbitrarily as the number of elements we wish to store changes.
Arrays do neither of these things, having a structure and size which cannot
be changed after they are first declared. On the other hand, arrays are good
for some other things which linked lists are not, such as allowing us to read
a specified value quickly without having to run through all the preceding
elements of the array.
The obvious question to ask then is whether there is some other data
structure which combines the good features of both arrays and linked lists.
13.2 Data structures 349

FIGURE 13.11 An example of a binary tree structure. In this case

the tree stores an alphabetically ordered list of names.

Sadly, there is no perfect solution to this problem. However, in many cases

the data structure we call a tree will do what we want. A tree is more
complicated to implement than either an array or a linked list, and in ad-
dition has some technical problems, particularly the tendency to become
unbalanced (see below), which can make it inefficient under certain circum-
stances. However, there are many cases in which an algorithm can be made
enormously faster by the use of a tree structure.
A tree is similar to a linked list in being made up of elements stored
in memory and associated pointers which point from one value to another.
The difference is that in a tree, each element or node can be accompanied
by more than one pointer. The most common type of tree is the binary
tree in which each node has two pointers to other nodes. This gives rise to
a branching structure like that illustrated in Figure 13.11. In this section
we will illustrate the use of trees with the example of a binary tree, but the
methods described can easily be generalized to other types of trees.
Typically we use genealogical terms to describe the relationships between
nodes in a tree: the parent of a node is the node which points to it, and
the child of a node is one which it points to. Sometimes we also use the
language of real green trees: the node at the very beginning of the tree is
often called the root node and the nodes at the very end, which don't point
350 Chapter 13: Lattices and data structures

to anything, are called leaves.

Let us look again at the simple example of the storage of a collection of
names. Typically we want to be able to add and remove names from the
tree and to check to see if a particular name exists in the tree. Neither an
array nor a linked list can do all of these things quickly, but a tree can.
The best way to organize a tree to store data of this kind is to put all
of the data items in the leaves of the tree, i.e., in the nodes at the very end
of the tree's branches. We don't store data in the nodes along the branches.
Instead we store information in these nodes which allows us to find the right
leaf quickly when we need to. In the case of the names, one way to proceed
would be to organize the tree alphabetically, and store at each node the
alphabetic range covered by the names which are descendents of that node.
This scheme is illustrated in Figure 13.11.
To find a name in the tree, we start at the root node and perform the
following steps:
1. We check whether the alphabetic ranges covered by either of the chil-
dren of the current node include the name we are looking for. If neither
of them do, then our name is not in the tree. If one of them does, we
proceed to that child.
2. We check whether the current node is a leaf, i.e., the end of a branch.
If it is, then it contains the name we are looking for. If it isn't, we go
back to step 1.
Typically, the number of steps needed to complete this search goes as the
logarithm (base 2 in the case of a binary tree) of the number of names or
other values stored in the tree. The best method for searching an array
containing the same ordered list of names is to use a binary search, which
also takes a time which scales logarithmically with the length of the array.
So in this respect the tree is as efficient as the array. (And it is much more
efficient than the linked list. It would take a time which scales linearly with
the number of names to search the equivalent linked list.)
To add a new name to the tree, we again start at the root node and
perform the following steps:
1. We check the alphabetic ranges covered by each of the children of the
current node. If our name falls in one of them, we proceed to that child.
If it doesn't, we extend the alphabetic range of one of the children to
cover the new name and then proceed to that child. (We must be
careful to do this in such a way that the ranges covered by the two
children of a node never overlap.)
2. We check whether the current node is a leaf, i.e., the end of a branch.
If it is not, we go back to step 1. If it is, then we add two new children
13.2 Data structures 351

to the current node. To one of them we assign the old name that used
to be stored in the current node, and to the other we assign the new
name.
This procedure also takes an amount of time which scales as the logarithm
of the number of names or other values stored in the tree. This is much
better than the time taken to add a new name to an alphabetically ordered
array, which goes linearly with the number of names. However, it is not as
good as the case of the linked list, for which the time taken to add a new
name is independent of the length of the list. For this reason you should use
linked lists where possible, reserving the binary tree for cases in which it is
important to be able to search for a particular value quickly.
Finally, to remove a name from the tree, we start once more at the root
node and perform the following steps:
1. We find the leaf which contains the name we want to remove, using
the search method described above. As we move through the tree, we
record the location of each node we pass through. These locations are
needed in the next two steps.
2. From the leaf containing our name, we retrace our tracks to the grand-
parent node of that leaf and alter it so that it points to the brother of
the node we are removing.
3. We check whether the alphabetic range recorded by the grandparent
node still correctly describes its children. If it does, we are finished.
If not, we correct it, and then move up to the great-grandparent, and
so on, repeating this step until we reach a node for which no changes
need to be made, or we reach the root node.
This process, like the addition of a name, takes a time which increases loga-
rithmically with the number of names or other values stored in the tree.
In fact, it is not always true that all these operations take an amount
of time going logarithmically with the size of the tree. This is the typical
result, but it is possible for trees to get into a pathological state in which it
takes much longer to perform searches or updates. If the number of leaves
which you can get to by choosing either path from a node is roughly the
same, then the logarithmic rule applies. Such trees are said to be balanced.
If we happen to add names to the tree in the wrong order however, it is
quite possible that the tree will become unbalanced and the efficiency of our
algorithms will fall dramatically. In the worst case it can take an amount of
time which scales linearly with the size of the tree to both search and update
it, which is worse than either an array or a linked list. There are a variety
of strategies for preventing this situation. Often we have some flexibility in
the way in which we add values to the tree. In the example given above,
352 Chapter 13: Lattices and data structures

for instance, we will sometimes add a new name which falls between the
alphabetic ranges covered by the two children of a node. In this case we
are free to choose the branch which we add the new name to. If we always
add the name to the branch which leads to fewer leaves this will help to
keep the tree balanced. There are times, however, when strategies like this
are insufficient to maintain balance. In these cases we can employ one of a
number of algorithms which have been developed for rebalancing trees. The
working of rebalancing algorithms is rather technical in nature however, and
we won't go into it here. A good discussion is given by Sedgewick (1988).
An example of the use of a tree data structure in a Monte Carlo algorithm
can be found in Section 11.2.2, where we describe an efficient algorithm for
simulating the diffusion of adatoms on a crystal surface.

13.2.5 Buffers
A buffer is a data structure used to store the values of variables temporarily,
and retrieve them later. Buffers come in a number of different varieties. Here
we describe the two which occur most commonly in Monte Carlo programs,
the last in/first out (LIFO) buffer or stack, and the first in/first out
(FIFO) buffer or queue. Both of these can be created easily using arrays.
The descriptions here assume arrays whose indices start at zero as in C,
rather than at one as in FORTRAN. However, it is very straightforward to
adapt the same ideas for use in FORTRAN programs.
A last in/first out buffer operates exactly as its name suggests. We
"push" the values of as many variables as we like into the buffer, and at
any point we can "pop" a value out again. The values come out in the
opposite order to the way we put them in, so that the last one which went
in is the first one out. To create a LIFO buffer in a computer program we
make a one-dimensional array of the appropriate variable type with enough
elements to store the maximum number of values which the buffer will have
to contain—let us call this number L—and we also create an integer variable,
m say, to store the number of values in the buffer. Initially m = 0. When we
push a value onto the stack, we place the new value in the mth element of
the array and then increase the value of m by one. When we want to pop a
value out again we decrease m by one and read the value in the mth element
of the array. At any time the number of values in the buffer is equal to the
value of m. If m ever reaches L, then the buffer is full and no more values
can be added. If m = 0 then the buffer is empty and no more values can be
removed.
A first in/first out buffer is one in which the values stored pop out in the
same order as they were put in, so that the first one in is also the first one
out, just as the name says. One simple way to implement a FIFO buffer in a
computer program would be to create an array of L elements and an integer
13.2 Data structures 353

variable m to store the number of values in the buffer, just as in the LIFO
case, with m = 0 initially. Just as before, when we add a value to the buffer
we place the new value in the mth element of the array and then increase
m by one. Now however, when we want to pop a value out of the buffer,
we read the first element of the array (which would have index zero in C),
decrease m by one, and then move all the other elements down one place,
so that a new one becomes the first element, ready to be popped out in its
turn.
Simple though it is, this is not a good way to implement our buffer. It
will work, but it will be slow. Every time we pop a value out of the buffer
we have to reassign the values of m elements in the array. This takes an
amount of time proportional to m and if m is very large it could be a very
slow process. Luckily, there is a much better way to make a FIFO buffer,
using circular buffering. Circular buffering also makes use of a single
array of size L to store the contents of the buffer, and in addition it uses
two integers m and n which point to the first and last values in the buffer.
Initially m and n are both set to zero. When we want to add a value to the
buffer we place the new value in the mth element of the array and increase
m by one, modulo L. When we want to remove a value we read the nth
element of the array and then increase n by one modulo L. The number of
values in the buffer at any time is equal to m — n (possibly plus L because
of the modulo operations).
This way of implementing the FIFO buffer is much more efficient than
the first one we proposed. Each push or pop operation requires us to read
or write the value of only one variable, and can be completed in an amount
of time which remains constant as the number of values in the buffer grows.
There are a couple of things we need to be careful about however. First,
just as in the case of the stack, a FIFO buffer will overflow if we try to put
more than L values into it. To guard against this we should compare the
values of m and n after each value is added to the buffer. If m = n after a
value has been added, then the buffer is full and adding any further values
will probably cause our program to malfunction. Second, the buffer can
underflow if we try to remove a value from it when there are none there. To
guard against this we should compare the values of m and n after removing
each value. If m = n after removing a value then there are no more values
left in the buffer.
As an example of the use of buffers in a Monte Carlo algorithm, consider
the Wolff cluster algorithm for the Ising model, which was discussed in Sec-
tion 4.2. We summarized a step of the algorithm as follows in Section 4.2.1:
1. Choose a seed spin at random from the lattice.

2. Look in turn at each of the neighbours of that spin. If they are pointing
in the same direction as the seed spin, add them to the cluster with
354 Chapter 13: Lattices and data structures

probability Fadd = 1 - e- 2 B J .
3. For each spin that was added in step 2, examine each of its neighbours
to find the ones which are pointing in the same direction, and add
each of them to the cluster with the same probability Padd- This step
is repeated as many times as necessary until there are no spins left in
the cluster whose neighbours have not been considered for inclusion in
the cluster.
4. Flip the cluster.
The simplest way for a computer program to carry out this procedure
is to store the spins of the current cluster in a buffer as follows. Starting
off with an empty buffer, we first choose one of the spins on the lattice at
random to be our seed. We look at each of the neighbours of this spin, to
see if it points in the same direction as the seed itself. If it does, we generate
a random real number r between zero and one, and if r < Padd, we add
that spin to the cluster and we add its coordinates to the buffer. When we
have exhausted the neighbours of the seed spin we are looking at, we pop
a spin out of the buffer, and we start checking its neighbours one by one.
(If some of its neighbours have already been added to the cluster then we
should miss those out, otherwise the algorithm will never stop.) Any new
spins added to the cluster are again also added to the buffer, and we go on
popping spins out of the buffer and looking at their neighbours in this way
until the buffer is empty. This algorithm guarantees that we consider the
neighbours of every spin added to the cluster, as we should.
This method will work equally well with either a FIFO or a LIFO buffer
and, statistically speaking at least, we should get the same answers whichever
we use. Furthermore neither buffer type gives an algorithm significantly more
efficient than the other. However, it is worth noting that there are differences
between the two in the way in which the clusters grow. Figure 13.12 shows
how the same cluster grows using each type of buffer. With the FIFO buffer,
the cluster grows in a spiral fashion, remaining, on average, roughly isotropic
throughout its growth. With the LIFO buffer, the cluster first grows along a
line in one direction, and then backs up along its tracks and begins to grow
sideways. Because of these differences in cluster growth patterns, these two
versions of the Wolff algorithm can provide useful checks against potential
problems in the program, such as bugs or deficiencies in the random number
generator used. (The Wolff algorithm is known to be unusually sensitive to
imperfections in random number generators (Ferrenberg et al. 1992).) In
addition, there some variations on the basic Wolff algorithm for which one
or other buffer type may be more efficient. For example, if we wish to place
constraints on the maximum size of a cluster, as is done in the limited
cluster flip algorithm (Barkema and Marko 1993), then an implementa-
tion making use of a FIFO buffer is usually faster.
13.2 Data structures 355

FIGURE 13.12 The numbers indicate the order in which sites are
added to a cluster in the Wolff algorithm. If a FIFO buffer is used
(left) the sites are added in a spiral around the initial seed spin. If a
LIFO one is use (right) the cluster tends to grow first in one direction,
and only later spreads out.

Problems
13.1 If we pack a two-dimensional space with identical circular disks, what
fraction of the space can we fill if the disks are packed with their centres
lying on (a) a square lattice and (b) a triangular lattice?
13.2 As described in Section 13.1.3, the set of points with integer coordi-
nates (h, k, l) where h, k and l are either all even or all odd lie on a bcc
lattice. If we stretch this lattice in the z-direction by a factor of v2, we get
another periodic lattice. What lattice is this?
13.3 A common problem that comes up in many Monte Carlo algorithms
is choosing a single value at random from a list. If the values are stored
in consecutive elements of an array this is easy, but it is harder if they are
stored in a binary tree of the type described in Section 13.2.4. Suppose we
have a number n of values stored in the leaves of such a tree. Devise an
algorithm which selects one of them uniformly at random, given a random
integer 0 < r < n. (Hint: you will need to add to the data stored in the
tree.)
13.4 The time taken to find a particular element stored in a balanced bi-
nary tree varies as the number of levels of the tree which we have to search
through, which is log2 N, where N is the number of elements stored. If a
binary tree is unbalanced in such a way that one child of each node has
roughly twice as many descendants as the other, the average search time
still scales as log2 N but with a larger multiplicative prefactor. How much
larger is this prefactor?
14
Monte Carlo simulations on
parallel computers

Some of the simulations we would like to perform require so much computing

power that it is not possible to finish them in a reasonable length of time
on any available computer. Under these circumstances we have two choices:
either we can wait a few years for a more powerful computer to become
available, or we can perform the calculation on several computers. Since
waiting a few years for the answer to a problem is not always a practical
course of action, the latter approach is becoming increasingly popular and
has led to the development of hardware and software for distributed and
parallel computing. In this chapter we explore the ways in which these
techniques can be applied to Monte Carlo simulation.
The term "distributed computing" refers to the linking up of many indi-
vidual computers to perform a task. A parallel computer simplifies our job
by physically bringing many CPUs together in one box, often with additional
electronics to allow them to communicate with one another at high speed.
From the point of view of someone developing Monte Carlo programs, the
problems presented by parallel computers and distributed computers are es-
sentially the same and we will not distinguish between them in this chapter.
Parallel computers come in two principal varieties: those with distri-
buted memory and those with shared memory. In a parallel computer
with distributed memory, each CPU or processor has its own memory which
cannot be read or written in by any of the other processors. This means
that if our algorithm requires that a processor know the contents of another
processor's memory, the appropriate data must be sent in the form of a
"message" from the one processor to the other. One day, such messages may
be handled automatically by compilers or other standard software, but as
the technology stands at the moment they have to be put in by hand by
Chapter 14: Monte Carlo simulations on parallel-computers 357

the programmer, which adds an extra level of complexity to our programs.

In addition, the transfer of messages between processors is rarely as fast as
the transfer of data from memory to processor, and so can slow the program
down. These problems can be overcome by using a parallel computer with
shared memory. In such computers all the processors share the same memory
and can all read from and write to it simultaneously. For the purposes of
Monte Carlo simulation at least, shared memory computers are undoubtedly
superior to distributed memory ones. Unfortunately, they are also much
harder to build. As a result, almost all the parallel computers commercially
available at the time of the writing of this book are distributed memory
machines. This may change in the future, but for the moment at least, if
we are going to make use of parallel computers, we will have to learn the
techniques of programming using distributed memory architectures. It is on
these techniques that we focus in this chapter. All distributed computers
necessarily also use the distributed memory model. So the techniques of this
chapter are applicable to distributed calculations as well as parallel ones.
The holy grail of parallel programming is to devise an algorithm which
displays linear speed-up in the number of processors used. In other words,
we want the time taken to complete a certain calculation to halve every time
we double the number of processors used to run the program. Often people
quote the efficiency of the algorithm, which is the ratio of the fraction by
which the calculation speeds up when we increase the number of processors
used, to the fractional increase in the number of processors. If the efficiency is
100%, we have found our holy grail. The main reason why we don't usually
achieve an efficiency of 100% is because, as discussed above, the different
processors need to send one another messages as part of the operation of the
algorithm and this places a communication overhead on the program. In
particular, if the average amount of data which a processor needs to send
and receive goes up with increasing number of processors (as it usually does)
then we can never achieve a linear speed-up.
There are three primary classes of techniques for creating a parallel algo-
rithm to perform a task: trivial parallelization, functional decompo-
sition and domain decomposition. Trivially parallel problems are ones
which can be split up into separate tasks which are completely unrelated
and can be performed by separate programs running on isolated processors
without the need for inter-processor communication. For more complicated
problems we have two ways to go. Functional decomposition refers to the
breaking up of a task into a variety of different jobs: each processor in a pro-
gram which carries out such a task is performing a different type of work,
and the contributions of all the processors put together perform the com-
plete task. We could imagine for example delegating separate processors in a
Monte Carlo calculation to evaluation of a Hamiltonian or other observable,
construction of clusters, updating lattice variables, or any number of other
358 Chapter 14: Monte Carlo simulations on parallel computers

elementary chores. This however is not a very common approach to the

kinds of calculations this book is concerned with. Monte Carlo simulations
almost always use domain decomposition, which means breaking up the cal-
culation into separate simulations of different regions of the system under
study. Since Monte Carlo simulations are usually concerned with systems
defined on a lattice this approach is often quite straightforward to imple-
ment. The processors in such a calculation all perform essentially the same
task on different parts of the lattice, and indeed are often running exactly
the same program.

14.1 Trivially parallel algorithms

The aim of most Monte Carlo calculations is to generate a large number of
statistically independent configurations of the system of interest, in order
to make an estimate of some observable of interest. In many cases there is
no reason why these independent configurations need all be generated by
a single simulation. We could just as well run our program N times and
generate s samples each time as run it once and generate Ns samples. For
problems of this type, a very simple form of parallel algorithm suggests itself:
we can run our program simultaneously on N processors, thereby dividing
the time taken by the calculation—in the ideal case—by N. Such algorithms
are called trivially parallel algorithms. They are also sometimes called
embarrassingly parallel algorithms, presumably by people who consider
themselves to be above using such simple tricks. We however, as physicists,
should never be embarrassed to use such an approach. Trivially parallel
algorithms are easy to write and if they get you the answer you want quickly,
then you should use them. We might even go so far as to say that trivially
parallel algorithms are the ideal application for parallel computers.
There are however many cases in which the trivially parallel approach
will not work. In the case of an equilibrium simulation, performing many
simulations of a system instead of one long simulation means that we have to
equilibrate our system many times, once for each processor. This means that
N times as much CPU time is wasted by the parallel program as by the serial
one on equilibration. If the equilibration time is only a small fraction of the
total time taken by the simulation then this is not a problem. However, if
it is a large fraction of the total time then using the parallel computer may
not help us much.
Another problem with trivially parallel simulations is that they cannot
simulate any larger a system than a single, serial simulation. Suppose we
want to study a system so large that we cannot get any results for it using
a serial approach, either because the correlation or equilibration time of
the system is too long, or simply because the system will not fit into the
memory of a single computer. In this case it is clear that a trivially parallel
14.2 More sophisticated parallel algorithms 359

simulation will do no better, since none of the individual simulations running

on separate processors will give any results either.
Occasionally, we may also run into the problem that the quantity we
want to measure depends on the very long time behaviour of an observable
in our simulation, such as an autocorrelation function (see Section 3.3.1). In
this case again, performing many short simulations will not give us the same
answer as performing one long one.
For Monte Carlo simulations, the solution to all of these problems is to
develop an algorithm using domain decomposition. We address this topic in
the next few sections.

14.2 More sophisticated parallel algorithms

In the following sections we study parallel Monte Carlo algorithms which
work by domain decomposition, splitting up the lattice or other space occu-
pied by a model and giving each processor a separate portion to work on.
Unfortunately, programs to perform such simulations are considerably more
complicated to write than the trivially parallel ones discussed in the last
section, and there are no universal techniques which will work for all prob-
lems. Different models require different approaches, and a certain amount
of ingenuity is needed to find an algorithm which works in any given case.
Here we give two examples of domain decomposed parallel algorithms for
simulating the Ising model in equilibrium, one based on the Metropolis al-
gorithm (Section 3.1) and the other based on the Swendsen-Wang cluster
algorithm (Section 4.4.1). We hope that these examples will give you a hint
about the types of approaches that work with parallel computers.

14.2.1 The Ising model with the Metropolis algorithm

As we saw in Chapter 3, the fastest way of simulating the Ising model away
from its critical point is to use the single-spin-nip Metropolis algorithm (Sec-
tion 3.1). It actually turns out to be quite simple to get this algorithm to
work on a parallel computer using domain decomposition.
Suppose we partition our lattice into a number of domains, as illustrated
in Figure 14.1.1 We can then store one of the domains in the memory of each
of our processors, and have that processor perform Metropolis-type spin flips
on only the spins in its own domain. The only problem with this approach
comes when we want to flip the sites on the edge of a domain. The formula
for deciding whether to flip a spin or not involves knowing the values of all
1
The word "domain" is used in a different sense here from its use in Chapter 4 to
describe groups of similarly oriented spins. Here it just refers to the division of the lattice
between processors.
360 Chapter 14: Monte Carlo simulations on parallel computers

FIGURE 14.1 Different processors can simulate different regions of a

lattice, as long as these domains are separated by strips of sites in which
the spins are fixed. Here, six processors are used for the simulation of
a model on a 33 x 22 lattice. Each processor takes care of a 10 x 10
domain (the gray areas), and these areas are separated by strips of
fixed spins (the white areas).

the surrounding spins (see Equation (3.10)), and for the spins on the edge
of a domain the values of one or more of the surrounding spins are stored in
the memory of another processor and are not available. One solution to this
problem might be for every processor to keep a record of the values of all
the spins just outside the border of the domain which it covers. This would
require each processor to inform its neighbour whenever it changed the value
of a spin on its border, so that the neighbour can keep its records up-to-date.
This approach has its problems however, the main one being that it requires
all the processors to run in perfect synchrony. Since this rarely occurs in real
computers, one would have to ensure synchronization by having processors
wait after each Monte Carlo step until the slowest amongst them had caught
up with the rest. This is wasteful of CPU time and besides, there is a much
better way of doing it.
The efficient way to perform the simulation is simply not to flip the spins
on the border of a domain. We flip all other spins as usual, but not the
spins on the borders (see Figure 14.1 again). This doesn't affect detailed
balance, since the forward and backward probabilities for flipping a border
spin are both zero, so that Equation (2.12) is still obeyed. It does however
destroy the ergodicity of our algorithm, since there are some states (the ones
14.2 More sophisticated parallel algorithms 361

in which the border spins have been flipped) which can never be reached.
To get around this problem we move the domain borders periodically, so
that all spins get a chance to be in the interior of a domain. When we move
a border, some spins pass out of the domain covered by one processor and
into that covered by another, which means that we have to send the current
values of those spins from the old processor to the new. This of course
requires us to send some inter-processor messages, which, as we pointed out
at the beginning of the chapter, is a comparatively slow process. On the
other hand, we don't have to send such messages very often. The ideal time
interval between successive moves of the domain boundaries turns out in
fact to be the correlation time of a single simulation the size of one of our
domains. Under any circumstances this time is at least one Monte Carlo step
per site, which means we still get to do quite a large chunk of simulation in
between one reorganization of the domains and another.

14.2.2 The Ising model with a cluster algorithm

As we saw in Chapter 4 the Metropolis algorithm becomes a very ineffi-
cient way of simulating the Ising model close to the critical point. In such
cases cluster algorithms like the Wolff and Swendsen-Wang algorithms of
Sections 4.2 and 4.4.1 work much better. In this section we take the ex-
ample of the Swendsen-Wang algorithm, and look at how it can be made to
work on a parallel computer, assuming again that, for one reason or another,
the system simulated needs to be spread over many processors by domain
decomposition, rather than employing the trivially parallel approach of Sec-
tion 14.1.
Recall that a step of the Swendsen-Wang algorithm consists of making
"links" between similarly oriented nearest-neighbour spins on a lattice with
probability Padd = 1 — e-2BJ so that the entire lattice is divided up into
clusters of sites joined by these links. Then we go through each cluster in
turn, randomly setting all its spins to point either up or down with prob-
ability 1/2. This algorithm presents more of a challenge to the programmer
of a parallel computer than does the Metropolis algorithm of the previous
section. We can break our system up into domains as illustrated in Fig-
ure 14.1 just as before. Then each processor can make the required links
between nearest neighbour spins in its own domain. It can also find the
groups of spins which are joined into clusters by these links, but only within
its own domain. If a cluster extends across the domains covered by two
or more processors, then it will appear as several separate sub-clusters in
the memories of different processors. To get around this problem we need
a "master" processor which oversees the process and joins up sub-clusters
to form the correct Swendsen-Wang clusters. The same master process can
also then decide, with probability1/2,whether the spins in each cluster should
362 Chapter 14: Monte Carlo simulations on parallel computers

be flipped, and communicate this decision to the other processors so that

they can carry out the actual spin flips.
This approach can speed up the Swendsen-Wang algorithm by about a
factor of three (Barkema and MacFarland 1994), but it is difficult to do
any better than this, since the speed of the program is limited by the time
the master processor takes to do its part of the job. Since this part of
the algorithm is performed by just one processor, increasing the number of
processors will make no difference to the time taken, and the efficiency of the
algorithm is guaranteed to tend to zero as the number of processors becomes
large.
Above the critical temperature, where the average cluster size is rela-
tively small, we can use a different approach. Since the clusters are small,
many of them fall entirely within a single domain. It turns out that it works
quite well to flip these clusters with probability1/2as before, but to leave any
clusters which cross the domain boundaries untouched. As with our par-
allel version of the Metropolis algorithm in Section 14.2.1, this satisfies the
condition of detailed balance for the same reasons the original Swendsen-
Wang algorithm did, but does not satisfy the condition of ergodicity. And, as
with the Metropolis case, we can get around this by periodically shifting the
boundaries between the domains. Again only the shifting of the boundaries
requires communication between processors, while the cluster-flips them-
selves can be performed by the individual processors independently. This
approach leads to a sizeable increase in the speed of the simulation, and one
which scales approximately linearly with the number of processors employed.
A similar approach works well for creating a parallel version of the Wolff
algorithm of Section 4.2. As long as we are working at temperatures high
enough that the average cluster size is well below the size of the domain
covered by a single processor, we can grow clusters separately in each domain
and flip only those which do not cross the domain boundaries. By moving the
domain boundaries periodically we can ensure that the algorithm is ergodic
as well as respecting detailed balance.
Unfortunately, no simple parallel version of the Wolff algorithm exists
which works well for lower temperatures at which the typical cluster size
is on the order of or larger than the size of a domain. In this regime, the
Swendsen-Wang algorithm is a better choice.

Problems
14.1 (a) The lattice in Figure 14.1 is divided into six regions of equal size
by fixing 126 spins. Is it possible to divide it into six such domains but fix
fewer spins? (b) What is the biggest lattice that can be divided into eight
domains of equal size with 1000 fixed spins?
14.2 In Figure 14.1 a 33 x 22 lattice is divided into six square regions.
14.2 More sophisticated parallel algorithms 363

The Monte Carlo algorithm of Section 14.2.1 for the Ising model will not be
ergodic if the boundaries are not moved, since the boundary spins are never
changed. Can we make the algorithm ergodic by alternating between two
different positions of the boundaries which are shifted with respect to one
another?
14.3 In the Ising model algorithm described in Section 14.2.1, we shift the
boundaries between regions of the lattice about once every T Monte Carlo
steps per site, where T is the correlation time of a simulation performed
on a lattice the size of the region covered by a single processor. Calculate
how the fraction of time spent on communication scales with the number of
processors for fixed system size, in terms of the dimension d of the system
and the dynamic exponent z. Now perform the same calculation for the
other algorithm suggested in Section 14.2.1, in which the values of the spins
on the borders of each region are transmitted to neighbouring processors
every time they are changed.
15
Multispin coding

Multispin coding is a programming technique which allows us to speed

up some Monte Carlo simulations (or other programs) by a significant factor
by making use of the low-level bit manipulation functions provided by the
CPU of our computer. These functions include logical operations like AND
(A), OR (V) and exclusive-OR (0), as well as things like shifts, additions
and subtractions.
The basic idea behind multispin coding is to store the states of several
variables, such as spins in a spin model for example, in the bits of a single
word on our computer. (A "word" is the number of bits of information the
CPU of the computer can process at once, and is usually, at least at the
time of the writing of this book, either 32 or 64 bits.) Then we write our
Monte Carlo algorithm in terms of operations which act on an entire word at
a time. The result is that we can perform operations on several variables at
once, rather than performing them sequentially, which improves the speed
of our calculation, thereby giving us better results for a given investment in
CPU time.
There are a number of different ways of actually putting this idea into
practice. The most common ones are synchronous update algorithms in
which the bits in a word represent several spins or other variables on the
lattice of a single system so that one multispin-coded Monte Carlo step up-
dates many sites at once, and asynchronous update algorithms in which
the bits within a word represent spins or other variables on separate lat-
tices so that one Monte Carlo step simultaneously updates spins in many
different systems. Asynchronous algorithms are usually simpler to program
than synchronous ones and it is primarily on these algorithms that we will
concentrate in this chapter. Synchronous algorithms are discussed briefly in
Section 15.5.
Asynchronous algorithms effectively perform a number of independent
15.1 The Ising model 365

simulations simultaneously and for this reason are suitable for the same types
of problems as the "trivially parallel" Monte Carlo simulations discussed
in Section 14.1, i.e., ones for which performing many separate simulations
will give us results as good as performing one long simulation. As with our
trivially parallel simulations, if the equilibration time of our system is a large
fraction of the total simulation time, or if we want results for particularly
large systems or long times, then this type of multispin coding will probably
not work. Moreover, don't even think about using multispin coding if your
Monte Carlo algorithm is a complex one. If the number of lines in the core
part of the algorithm is larger than about a hundred, then multispin coding
is not the way to go. Multispin-coded programs are hard to write, hard to
debug, and hard to alter if you decide to change the way the algorithm works.
Getting such a program to work for a complicated Monte Carlo algorithm
would be difficult and painful, and there's a good chance that you would
never get it to work at all.
However, if you have a simple Monte Carlo algorithm which you wish
to implement—the Metropolis algorithm is a good example—and if your
problem is simply that you can't run your simulation for long enough to get
good statistics for the quantity you want to measure, then multispin coding
could be the answer to your difficulties.

15.1 The Ising model

As a first example of multispin coding we demonstrate in this section how one
would go about writing a multispin-coded Monte Carlo program for the Ising
model using the single-spin-nip Metropolis algorithm of Section 3.1. First
of all we look at the problem in one dimension, where everything works out
very simply, and then in two dimensions, which is a more realistic problem
and also a harder one.

15.1.1 The one-dimensional Ising model

In this section we develop a multispin-coded Monte Carlo algorithm for
the one-dimensional Ising model. No one really wants to simulate the one-
dimensional Ising model—the problem has already been studied very thor-
oughly using analytic techniques—but the model illustrates in a nice simple
context all the important ideas of multispin coding. If you can follow the
developments of this section, then you will have a good understanding of
how an asynchronous multispin algorithm works.
Multispin coding requires that we store the lattice variables of the system
being simulated—spins in this case—as bits in the words of our computer's
memory. For the Ising model this is particularly simple because the spins
have only two states, up and down, which we can represent as single bits,
366 Chapter 15: Multispin coding

0 or 1. Let us decide that up-pointing spins will be represented by 1s and

down-pointing spins by 0s. (For many other models the representation of
the system in terms of bits is not as simple as this, but it is usually possible
to find a reasonably convenient representation which works in any particular
case.)
One step of the Metropolis Monte Carlo algorithm for the Ising model
consists of choosing a spin from the lattice and calculating the change A.E in
the energy of the system if we were to flip that spin. If AE < 0 we definitely
flip the spin over. If AE > 0 we flip it with probability exp(—(3AE). Another
way of phrasing this in the case of the one-dimensional Ising model is that
we always flip the chosen spin if either one or both of its neighbouring spins
are pointing in the opposite direction to it. If both of the neighbouring spins
are pointing in the same direction as the chosen spin then we flip it over
with probability exp(—4BJ), where J is the spin-spin coupling constant.
Suppose that we denote the bit representing the spin at site i by ai. (We
use a rather than 5 here in order to distinguish variables which take the
values 1 and 0, rather than +1 and — 1.) If we take the bitwise exclusive-OR
of two such spins at different sites ai + aj we get 1 if and only if the two
spins are not aligned. Thus the expression (ai + ai_1) V (ai + ai + 1) is 1 if
either one or both of the neighbours of spin i are pointing in the opposite
direction to it. If in addition we can generate a random bit r which is 1 with
probability exp(—4BJ), then the expression (ai+ai-1) V (ai + ai+1)Vr is 1
if we should flip spin i and 0 otherwise. In other words, if we choose a spin
i from the lattice and set its value to a'i, where

then we have performed one step of our Monte Carlo algorithm. We call this
expression the master expression for our multispin-coded Monte Carlo
algorithm. This particular master expression is quite a simple one. As we
will see in later sections of this chapter, deriving a master expression for a
more complicated model is often quite hard work.
The point of all this is that we can now put many bits, typically 32 or 64
of them, representing many different spins, into one word on our computer,
and use Equation (15.1) to perform our Monte Carlo step on all of them
simultaneously. Notice that we can just as well apply (15.1) to an entire
word full of bits as to a single bit at a time; the expression applies the
same operation to each bit in the word independently and the bits to do not
interfere with one another.
In practice, the simplest way to perform the simulation is to simulate
many systems at once asynchronously, as described above. Let us assume
that the computer we are using employs 32-bit words. Then we would sim-
ulate 32 different systems simultaneously by storing bit i of each of the 32
systems as one of the bits in the ith word of a lattice made up of such words,
15.1 The Ising model 367

and applying Equation (15.1) directly to these words. Each step of such a
Monte Carlo algorithm takes only slightly longer than an equivalent step of
the normal Metropolis algorithm, but generates 32 times as many measure-
ments of the magnetization or energy, or whatever quantity it is that we
are interested in. In our own experiments with the one-dimensional Ising
model we have measured an effective increase in the speed of the simulation
by a factor of 28 on a 32-bit computer. Using a 64-bit computer we have
measured an increase of a factor of 56.
One point which we haven't dealt with is that in order to use the algo-
rithm described, we need to be able to generate a random word of 32 or 64
independent bits in which each bit is 1 with a given probability exp(—4BJ).
We discuss how such words can be generated in Section 16.3, after we have
described how normal random numbers are generated.

15.1.2 The two-dimensional Ising model

In this section we tackle a more realistic problem, the construction of a
multispin version of the Metropolis algorithm for the two-dimensional Ising
model on a square lattice. As well as being more realistic, it is also more
difficult.
The Metropolis algorithm for the Ising model on a square lattice can be
described as follows. We choose a spin from the lattice and if two or more
of its nearest-neighbour spins are pointing in the opposite direction to it,
we definitely flip it over. If only one neighbouring spin is pointing in the
opposite direction, we flip our spin with probability exp(—4BJ), where J is
the coupling between spins. If no nearest-neighbour spins at all are pointing
in the opposite direction to the spin we chose, then we flip it with probability
exp(—8BJ). The master expression for a spin with lattice coordinates i and
j (the equivalent of Equation (15.1) in the one-dimensional case) is thus

Here .Ro and -Ri are logical expressions which are 1 if zero or one of the
spin's nearest neighbours are anti-aligned with it respectively, and R>2 is
1 if two or more are anti-aligned. The variables ro and T1 are random bits
which are 1 with probability exp(—8BJ) and exp(—4BJ) respectively.
This equation will work fine, but it is slightly unsatisfactory, mainly be-
cause the expression for R1 turns out to be quite complicated. An alternative
and equivalent expression is

Here R>0 is 1 if zero or more neighbours are anti-aligned and R>1 is 1 if

one or more are anti-aligned. In order to make this expression work we must
368 Chapter 15: Multispin coding

redefine our random bit variables. In fact, r'0 is just the same as r0; it is
a random bit which is 1 with probability exp(—8BJ). However, r'1 is not
the same as r1.. Notice that if R>1 = 1, then necessarily R>0 = 1 also,
since if there are one or more anti-aligned spins, then there must logically
also be zero or more anti-aligned spins. In this case the probability of the
expression inside the square brackets being 1 is the probability that either
one or both of r'0 and r'1 is 1, and we would like this probability to be equal
to exp(—4BJ). If we write the individual probabilities of r'0 and r'1 being 1
as po and p1, then the probability of either of them being 1 is1

Setting this equal to exp(—4BJ), putting p0 = exp(—8BJ) and rearranging,

we find that r'1( should be 1 with probability

Equation (15.3) is easier to work with than Equation (15.2) because R>0
and R>0 are relatively simple to evaluate. In fact, since we always have zero
or more anti-aligned neighbours of any spin we pick we can immediately see
that.R>o = 1, so we can write the master expression as

R>1 is a little more complicated. We first define four quantities thus:

which are 1 if and only if the corresponding pair of spins are pointing in
opposite directions. In terms of these variables we can then write R> 1 as

R>2 can also be expressed in terms of the a variables as

With a little juggling, this can be simplified to2

1
To prove this we just note that the probability that neither of them is 1 is given by
l-p=(l-po)(l-p1).
2
In order to demonstrate this, recall that the logical AND and OR operators satisfy
the same rules of distribution and association as multiplication and addition in ordinary
algebra.
15.2 Implementing multispin-coded algorithms 369

Combining all of these expressions and feeding them into Equation (15.6)
we now have our complete algorithm. As in the one-dimensional case, the
simplest way to proceed is to simulate many different systems separately
with the corresponding spins of all systems stored in the bits of one word
on the computer. An example program to perform a simulation using this
algorithm is given in Appendix B.
Since the logical expressions we need to evaluate at each Monte Carlo
step are relatively complex, the gain in efficiency we get from the multispin
coding is not as great in the two-dimensional case as it was in the simpler
one-dimensional one. Running on a computer with a 32-bit CPU we have
measured an effective increase in the speed of the simulation by a factor of
about 21. On a 64-bit computer we measure a factor of 38.

15.2 Implementing multispin-coded

algorithms
Once we have derived a master expression for our multispin Monte Carlo
algorithm, such as Equation (15.1) or Equation (15.6), implementing it in
a computer program is a very straightforward matter of translating the ex-
pression into the computer language of our choice. The only catch is that
not all computer languages provide the necessary bit manipulation opera-
tors for performing this translation. In fact, at the time of writing, the only
mainstream scientific computer languages which provide the necessary oper-
ators are C and its extensions, such as C++ and Objective C. In particular,
neither FORTRAN nor Pascal provide suitable bit manipulation operators.
If you wish to program in either of these languages, you may be able to find
subroutine libraries which add the necessary operators to the language, or
you may be able to write such libraries yourself using another language such
as C or assembly language. You may even be able to write the necessary
parts of the multispin algorithm itself in assembly language. As things stand
at the moment, however, the best solution is to write the program in C or
one of its derivatives. In Table 15.1 we list the bitwise operators commonly
used in multispin-coded algorithms, along with their representations in C.
Note that in addition to the basic AND, OR, XOR and NOT operators,
we have also included left and right shifts in the table. We will use these
operators in one of the algorithms described later in this chapter.

15.3 Truth tables and Karnaugh maps

In the Ising model examples of Sections 15.1.1 and 15.1.2 we derived the
logical expressions which went into the master expressions intuitively. These
examples were simple enough that we could see quite easily what form the
370 Chapter 15: Multispin coding

operation symbol in C
AND A &
OR V
XOR
NOT — -
shift left
shift right

TABLE 15.1 Bit manipulation operators used in this chapter, and

their representation in the computer language C.

master expression should take and how to construct it out of the available
variables such as spins or random bits. For more complicated models how-
ever, it can often be quite difficult to just write down the equations in this
way, and so a number of analytic tools have been developed to help us. The
most important of these are truth tables and Karnaugh maps.
A truth table is a list of the values of one or more Boolean or single-
bit variables which are functions of other such variables. If we wish to find
a compact logical expression for a certain quantity, such as the quantity
R>2 defined in Equation (15.2), then a good first step is to write down in
a truth table the values we would like it to take for all possible values of
the independent variables. In Table 15.2 we give an example of such a truth
table for a fictitious quantity A which is a function of four other quantities
B1... B4. As you will see, the left part of the table lists every possible
combination of values of the B variables, and the right part lists the values,
0 or 1, which we would like A to take for each combination of inputs. If
there are values of the Bs for which we don't care about the value of A then
we mark these with an X. Often this occurs because we know that for one
reason or another that combination of Bs will never arise in our algorithm.
Once we have a truth table for the quantity we want, we can immediately
write down a logical expression which will calculate that quantity for us. To
do this we use the disjunctive normal form of the expression. Let us
illustrate what this means with the example of the quantity A above. There
are nine 1s in the rightmost column of Table 15.2. For each of these we can
write an expression involving the independent variables B1... B4 which is 1
only for the values in that row, and 0 for every other row. For example, the
first 1 in the truth table occurs in row two. The expression B1 A .B2A .B3A .B4
is 1 only for the values of the Bs in this row and not for any other. The
corresponding expression for the fourth row is B1 A B2 A B3 A B4, and so on.
Combining nine such expressions, one for each of the nine 1s, we derive the
15.3 Truth tables and Karnaugh maps 371

B B2 B2 B4
A
0 0 0 0 X
0 0 0 1 1
0 0 1 0 0
0 0 1 1 1
0 1 0 0 1
0 1 0 1 1
0 1 1 0 0
0 1 1 1 1
1 0 0 0 1
1 0 0 1 1
1 0 1 0 0
1 0 1 1 X
1 1 0 0 1
1 1 0 1 1
1 1 1 0 0
1 1 1 1 0

TABLE 15.2 An example of a truth table.

expression

The trouble with this approach, as you will no doubt agree, is that Equa-
tion (15.11) is rather complicated. This makes it slow to evaluate on our
computer and prone to the introduction of errors. To get around these
problems we would like to simplify the equation to give a more compact
expression for A which we can evaluate more quickly. One way to do this is
just to make use of the rules of Boolean algebra to find a good simplifica-
tion. This however is a somewhat hit-or-miss operation, and it too is prone
to error. A quicker and more reliable tool for simplifying logical expressions
is the Karnaugh map.
Figure 15.1 depicts the Karnaugh map corresponding to Table 15.2. Each
of the sixteen squares in this map corresponds to one of the sixteen possible
sets of values of the four independent variables B1.. .B4 in our truth table;
the four black bars along the edges of the map denote the rows and columns
372 Chapter 15: Multispin coding

FIGURE 1 5 . 1 The Karnaugh map

corresponding to Table 15.2 Using
this map, we find that
A = B3 V (B4 A B1}.

in which the corresponding independent variable is equal to 1. The reader

might like to verify that this arrangement does indeed give exactly one square
for each possible set of values. It also has the special property that, when
we cross any line between two of the squares in the map only one of the B
variables changes value. This is also true if we walk off one side of the map
and come back onto it at the opposite side: Karnaugh maps have periodic
boundary conditions. This property of only changing one bit at a time is
the key to using the map to find a simple expression for A. It means that, all
rectangular blocks on the map which have sides whose lengths are powers of
two correspond to simple equations in terms of the four B variables. This
includes blocks which wrap around the boundary conditions. Some examples
are: all 2 x 4 blocks on the map correspond to either Bi. — 1 or Bi, = 1 lor
some i; all 1 x 4 and 2 x 2 blocks correspond to expressions of the form
B2 A. Bj = 1, or similar expressions with Bi or Bj; and all 1 x 2 blocks
correspond to B., A B1, Bg. = 1. or similar. Here is how we make use of these
observations to find a simple expression for A.
First, we fill in all the squares in our Karnaugh map with the corre-
sponding values of A taken from the truth table. Just, as in the truth table,
we place an X in any squares for which we don't care about the value of
.4. Next, we attempt to group all the 1s on the map into as few blocks as-
possible, where each block is a rectangle with sides of length a power of two,
as discussed above. We also try to make the blocks as large as possible, since
larger blocks correspond to simpler expressions. In choosing our blocks we
can if we wish cover the same squares with more than one block. We can
also include in a block any of the squares with an X in, if that will make
things easier, although we can also leave them out if we want to. The only
rule is that all the 1s should end up in a block, and all the 0s should be
outside the blocks.
15.4 A multispin-coded algorithm for the repton model 373

Finally, we write down the logical expressions corresponding to each of

our blocks, and take the logical OR of all of them. In Figure 15.1 we show
how our quantity A can be represented using just two blocks on the Karnaugh
map, one 2x2 block, which corresponds to the expression B4 A B1, and one
2x4 block (which extends off the top of the map and comes back on at the
bottom), corresponding to the expression B3. Our final expression for A is
therefore

As you can demonstrate for yourself by referring to the original truth table,
this expression is indeed correct, and it is clearly much more satisfactory
than Equation (15.11).
Karnaugh maps can be used for problems with other numbers of indepen-
dent variables as well. For a function of three variables we would use a 2 x 4
map. For a function of five variables we need to use a three-dimensional map
with two layers each comprised of a 4 x 4 map of the kind we have used here.
A function of six variables requires a 4 x 4 x 4 map and larger numbers of vari-
ables than this require maps with four or more dimensions. High-dimensional
maps are quite hard for humans to visualize, which makes finding blocks by
hand a difficult task when the number of variables is large. Computers, how-
ever, have no such problems, and algorithms have been developed to allow a
computer to find the best choice of blocks on a high-dimensional Karnaugh
map. An example is the Quine-McCluskey algorithm, which is described by
Booth (1971).

15.4 A multispin-coded algorithm for the

repton model
In Chapter 12 we looked at the repton model of gel electrophoresis as an
example of an application of the Monte Carlo method to a problem in bio-
physics. This model is a good candidate for a multispin-coded algorithm of
the type we have been considering in this chapter; the states at the sites of
the lattice are of only a small number of types (three in fact) and the rules
for changing the state at a particular site can be expressed as quite a simple
set of logical conditions. In the rest of this chapter we show in detail how
to create a multispin algorithm for this model. As we will see, the resulting
algorithm is quite a bit more complicated than the algorithms for the Ising
model which we looked at in Sections 15.1.1 and 15.1.2.
To create a multispin-coded algorithm for the repton model we go through
exactly the same steps as we did for the Ising model. We first choose a rep-
resentation of the states of the system in terms of bits stored in words, and
then we try to devise an algorithm which uses only bitwise operators like
AND and OR acting on these words to perform a Monte Carlo step.
374 Chapter 15: Multispin coding

u a1 b1 a1 b1
0 0 0 X X
0 0 1 1 1
0 1 0 1 0
0 1 1 1 0
1 0 0 X X
1 0 1 0 1
1 1 0 1 1
1 1 1 0 1

TABLE 15.3 Truth table for moves of the leftmost repton in the chain.

As suggested in Section 12.3.3, we can represent the state of a repton

chain by storing the coordinate X1 of the first repton on the chain, plus
the displacement Si = xi+1 — Xi of each subsequent repton relative to its
neighbour. The dynamics of the repton model limits the variables Si to just
three values: si = —1, 0 or +1. To represent these three values in our
multispin algorithm we need two bits, which we will call ai and bi. As it
turns out, a convenient representation is to use (ai,bi,) =(0,1), (1,1) and
(1,0) for Si = —1, 0 and 1 respectively.3
A Monte Carlo step for the repton model consists of choosing a repton
at random from the chain and a random direction in which to move it. If
the chosen repton is allowed by the dynamics of the model to move in the
chosen direction then we make the move, otherwise we reject it. For our
multispin algorithm we need to examine three different cases: moves of the
reptons on the left and right ends of the chain, and moves of reptons in the
interior of the chain. Let us start with the reptons on the ends of the chain,
since these are simpler than the interior ones.
Suppose then that the repton we choose to move turns out to be repton
number 1, the one on the leftmost end of the chain. To decide in which
direction we are going to move it, we generate a random bit u. We will
say (quite arbitrarily) that u = 1 represents an upward move (one in the
direction of increasing x), and u = 0 represents a downward move. Whether
this move is allowed or not depends only on u and on the relative position of
the first and second reptons in the chain, which is stored in the bit variables
a1 and b1. If the move is allowed, then we need to perform it, and update
3
There are a number of other possible choices, of course. The particular choice we have
made here turns out to give relatively simple logical expressions for the final algorithm.
There is however no way to know this beforehand. The process of developing a multi-
spin algorithm is often one of trial and error; you just have to experiment with different
representations of your system until you find one which gives simple Karnaugh maps.
15.4 A multispin-codcd algorithm for the repton model

FIGURE 15.2 Karnaugh maps for moves of the leftmost repton in the
chain. Using these maps we find: a'1 — aVb1 (left map), and b'1 — uV77i
(right map).

a1 and b1 accordingly. If it is not a1 and b1 will keep their current values.

In Table 15.3 we list all the possible combinations of values for n, a3 and b1,
and the correct now values a'1 find b'1 latter two which should result.
In Figure 15.2 we show these values as two Karnaugh maps, with our choice
of blocks shaded in. The muster expressions for a'1 and b'1, which we derive
from these two maps are

For the; rightmost rep ton on the chain the the illation follows similar lines.
In this ease acceptance of the move depends on the direction u in which wo
propose to move the repton and the values of the hits an-1 and bN-1 which
represent the relative position of the last, two reptons. The truth table and
Karnaugh maps are very similar to (he ones for the leftmost repton and the-
Olid result is that

Readers may wish to check this result themselves. It doesn't take long.
The rules for updating the rest of the reptons in the chain all the ones
in the middle—-are a little more complex, but deriving them involve;, exactly
the same steps. Suppose we choose a repton somewhere in the middle of
the chain as the one we are going to move. Let us call this repton i, where
] < i < N. As before, we also generate a random bit u to represent. the
direction in which we propose to move the repton. To decide whether or not
the proposed move is an allowed one we need to take into account the value
of u and the relative position of the two reptous to either side of repton i,
which are represented by the bits ai_1, b2-1, a2 and bi).;. In Table 15.4 we
376 Chapter 15: Multispin coding

u ai-1 bi-1 ai bi a'i-i 6 - _ i o{ b'i

0 0 0 0 0 X X X X
0 0 0 0 1 X X X X
0 0 0 1 0 X X X X
0 0 0 1 1 X X X X
0 0 1 0 0 X X X X
0 0 1 0 1 0 1 0 1
0 0 1 1 0 0 1 1 0
0 0 1 1 1 0 1 1 1
0 1 0 0 0 X X X X
0 1 0 0 1 1 0 0 1
0 1 0 1 0 1 0 1 0
0 1 0 1 1 1 1 1 0
0 1 1 0 0 X X X X
0 1 1 0 1 0 1 1 1
0 1 1 1 0 1 1 1 0
0 1 1 1 1 1 1 1 1
1 0 0 0 0 X X X X
1 0 0 0 1 X X X X
1 0 0 1 0 X X X X
1 0 0 1 1 X X X X
1 0 1 0 0 X X X X
1 0 1 0 1 0 1 0 1
1 0 1 1 0 0 1 1 0
1 0 1 1 1 1 1 0 1
1 1 0 0 0 X X X X
1 1 0 0 1 1 0 0 1
1 1 0 1 0 1 0 1 0
1 1 0 1 1 1 0 1 1
1 1 1 0 0 X X X X
1 1 1 0 1 1 1 0 1
1 1 1 1 0 1 0 1 1
1 1 1 1 1 1 1 1 1

TABLE 15.4 Truth table for moves of a repton i in the middle of the
chain.
15.4 A multispin-coded algorithm for the repton model 377

show what the correct values a'i_1, b'i_1, a\ and b( of these four variables
should be after the move has been made or rejected, and in Figure 15.3 we
show the corresponding Karnaugh maps. The resulting expressions are:

Using Equations (15.13-15.20), we can create an asynchronous update

multispin Monte Carlo algorithm for the repton model as follows. For each
site in a chain of N reptons we create two words of n bits, where n will
normally be either 32 or 64, depending on the architecture of the computer
used. One of these two words holds the ai bits for the corresponding position
on the chain for each of n different systems. The other holds the fr, bits. We
also need to create an array of n integers to hold the positions x1 of the
leftmost repton in each system. It doesn't matter greatly what values we
give our variables initially, but a sensible choice would be to set x1 = 0 for
each system and set all of the bits ai and bj to 1, which represents a perfectly
flat repton chain.
One step of our algorithm then goes like this. First we pick a repton i
at random from the N possibilities, and we generate a word of n random
bits, which tells us whether the corresponding reptons are to be moved up or
down. Now if i = 1 or i = N, then we are either at the left end or the right
end of the chain, and we should apply Equations (15.13) and (15.14), or
Equations (15.15) and (15.16). Otherwise, we are in the middle of the chain
and we should apply Equations (15.17-15.20). The only additional step is
that every time we move the repton at the leftmost end of the chain we must
also update our record x1 of the absolute position of this repton. This is the
only part of the simulation which we cannot perform in a multispin-coded
fashion. However, we only have to do it once every N Monte Carlo steps on
average, so if N is reasonably large the time wasted in this way is a small
fraction of the total time taken by the simulation.
If we want to perform a simulation of the repton model in zero electric
field, then we should generate our random bits u with equal probability
to be 0 or 1. If we want a non-zero electric field E then, as described
in Section 12.3.1, we should generate upward moves (1s) with probability
a = [1 + expE]- 1 , and downward moves (0s) with probability 1 — a. The
generation of random words with the bits biased in this fashion is discussed
in Section 16.3.
Our multispin-coded Monte Carlo algorithm for the repton model allows
us to simulate n different systems simultaneously, without expending much
more CPU power than the straightforward algorithms described in Chap-
378 Chapter 15: Multispin coding

FIGURE 15.3 The four Karnaugh maps for moves of reptons in the
middle of the chain. Note that each map is a three-dimensional 2 x 4 x 4
one. We have not shaded the blocks of 1s in this case, since this is
rather hard to do clearly in three dimensions.
15.5 Synchronous update algorithms 379

ter 12. Certainly there is some overhead arising from the complexity of
expressions like Equations (15.17-15.20). But in practice we find that the
algorithm performs very well. For large chain lengths (N > 100 or so), we
have compared our multispin algorithm with the standard algorithm of Sec-
tion 12.3 and find that the multispin algorithm outperforms the standard
one by a factor of about 27 on a 32-bit computer, and by a factor of about
48 on a 64-bit one.

15.5 Synchronous update algorithms

Almost all of this chapter has been devoted to asynchronous update multi-
spin algorithms—ones which use the bits of a word to represent parts of
separate systems. This approach is particularly simple because these sepa-
rate systems do not interact with one another, so our multispin algorithm
operates on each bit in a word separately. Occasionally however, simulating
many systems in parallel is not as good as simulating one large system. In
these cases, we may wish to use a synchronous multispin algorithm in which
the different bits within a word represent parts of the same system, so that
many parts of the one system get updated at each Monte Carlo step. In this
section we describe briefly one technique which can be used to create such
algorithms.
The simplest way of creating a synchronous algorithm is to start with
an asynchronous one which simulates n different systems in parallel, and
then "glue" these n systems together in some way to make a system n times
larger. Consider, for example, the case of the one-dimensional Ising model.
Normally we apply periodic boundary conditions to this model so that, in
a system of size L, site L is a neighbour of site 1. If, however, we have n
such systems and we can arrange for site L in system k to be the neighbour
of site 1 in system k + 1 (modulo n) then we have achieved our goal. This
situation is illustrated in Figure 15.4.
An elegant way to do this in practice is to make a copy of the word
containing the Lth spin of each system and place it at the other end of the
system, as an extra spin 0 (see the figure). In addition, in order that the
n systems are joined together correctly, we need to rotate this word round
by one bit4 using the shift operator >> We also need to make a copy of the
word which contains the first spin of each system, rotate that one bit in the
opposite direction and add it as an extra spin L + 1 to the other end of the
system. Note that we have to update these copies every time we perform a
Monte Carlo step on spins 1 or L.
4
Depending on the computer language used, shift operators may or may not perform
a real rotation. Some such operators just discard the last bit in a word and introduce a
zero in its place at the other end. This is the case in C for example. In this case, you
380 Chapter 15: Multispin coding

FIGURE 15.4 A way of "gluing" four independent simulations to-

gether to make one simulation of four times the size.

Problems
15.1 Consider the "asymmetric exclusion process", which is defined as fol-
lows. We have m particles located on a one-dimensional lattice of N sites
with periodic boundary conditions. No two particles can occupy the same
site. Particles attempt to hop to the site immediately to their left with av-
erage rate p per unit time, and to the site immediately to their right with
average rate q < p. Hops are only allowed if the target site is unoccupied.
An ordinary Monte Carlo algorithm to simulate this model might work as
follows. We select at random a pair of adjacent sites i and j = i + 1 (mod-
ulo N) and attempt to exchange their values. If site i is empty and site j
is occupied, we accept the move with probability 1. If i is occupied and j
is empty we accept it with probability q/p. Otherwise we reject the move.
(a) Suppose we represent the state of the lattice by variables s,; which are 1
for occupied sites and 0 for unoccupied ones. Write down the truth tables
for the variables si and Sj giving their values after their contents have been
exchanged. Use these to derive the master expression for the case p = q.
(b) If r is a random variable which is 1 with probability q/p and 0 other-
wise, write down the master expression for the simulation in the general case
where q < p.
15.2 Consider de Gennes' model for polymer diffusion in two dimensions as
described in Problem 12.2. Suppose we represent the ith link in the chain
by two bits a,: and bi with (ai,bi) = (0,0), (1,1), (0,1) and (1,0) signifying

must move the last bit in the word explicitly yourself.

15.5 Synchronous update algorithms 381

up, down, left and right respectively, (a) Write down the truth table for the
variable h that equals 1 if and only if links i and j = i + 1 are anti-parallel.
Hence obtain a logical expression for h. There is another simpler way of
expressing h which involves the XOR operation. Can you find it? (b) Using
the previous result, write down a master expression for moves in the interior
of the chain. (Hint: you will need to use some random bits for this.)
16
Random numbers

The fundamental constant which links all Monte Carlo methods together,
the common factor which makes them all Monte Carlo methods, is that
they contain an element of randomness. Things happen in a probabilistic
fashion in a Monte Carlo calculation, and it is only the average over many
unpredictable events that gives us an (approximate) answer to the question
we are interested in. To generate such unpredictable events, all Monte Carlo
methods require a source of random numbers. There are many ways of
generating random numbers. In this chapter we examine some of the most
common of them.

16.1 Generating uniformly distributed

random numbers
The basic problem in random number generation is to generate a sequence
of random real numbers r uniformly distributed in the range 0 < r < 1. If
we can do this, then techniques exist for transforming these numbers into
random numbers with any other distribution we might be interested in. For
example, a random real number R uniformly distributed in some other range
-Rmin < R < Rmax. can be derived from r thus:

A random integer i in the range i m j n < i < imax can be generated by

operating on this expression with the "floor" function:1

'The floor function [x] is defined as the largest integer not greater than x. Basically,
it's just what you get when you chop the digits after the decimal point off a number.
One must be careful when dealing with negative numbers however. The floor function
16.1 Generating uniformly distributed random numbers 383

Another situation which arises frequently in Monte Carlo methods is when

we want to perform some action (such as the acceptance of a move) with a
certain probability p. In that case, we generate a random real number r as
above, and then we perform the action if r < p, and not otherwise.
Sometimes we also need to generate random numbers from some more
complicated distribution, such as a Gaussian distribution. There are a num-
ber of methods which allow us to do this given a source of random reals in
the interval zero to one, as above. We will deal with these methods in detail
in Section 16.2. For the moment however, we address the issue of generating
uniformly distributed random real numbers.
Almost all the random numbers used in Monte Carlo calculations are in
fact only "pseudo-random" numbers, which means that they are generated
by a computer program using a deterministic algorithm. The algorithm is
chosen so that the sequence of numbers generated covers the desired interval
(in this case the interval between zero and one) uniformly, and the numbers
will certainly have no pattern discernible to the casual observer. As we will
see in the next few sections, these pseudorandom number generators can be
quite sophisticated and for the most part are adequate for our simulations.
However, the fact still remains that the numbers are generated by a deter-
ministic process, and therefore their sequence is predictable if one knows the
algorithm used. Thus, there are, in a sense, correlations between the mem-
bers of the sequence, and these correlations could possibly have an adverse
effect on our Monte Carlo calculations. In a 1992 paper, Ferrenberg, Landau
and Wong employed a handful of different, widely available pseudo-random
number generators as the source of random numbers for Monte Carlo simu-
lations of the two-dimensional Ising model using the Wolff cluster algorithm
described in Chapter 4. Since the properties of the 2D Ising model have
been solved exactly, they were able to compare their results with the known
correct answers, and found that, while some of their random number gen-
erators produced answers in good agreement with the exact results, others
produced answers as much as a hundred standard deviations away. Clearly
such an error cannot be ascribed merely to chance, and the authors con-
cluded that subtle correlations in the sequence of pseudo-random numbers
generated were responsible for the errors. The majority of the techniques
we describe in this section will be aimed precisely at reducing correlations of
this kind in pseudo-random number generators. However, before we tackle
that subject, let us address briefly the possibility of generating true random
numbers.

always rounds downwards, which means that negative real numbers get rounded away
from zero. In C the floor function is implemented using the integer cast (int), or the
function floor(). In FORTRAN it is implemented using the INT function.
384 Chapter 16: Random numbers

16.1.1 True random numbers

For a few special purposes, pseudo-random numbers are not sufficient; any
random number generator whose sequence is even in theory predictable is
problematic. A classic example is cryptography. Military and other organi-
zations require sources of true random numbers for use as "one-time pads"
for encoded communications. To meet this need, companies exist which
market CD-ROMs or DVDs which contain nothing more than hundreds of
millions of random numbers, one after another. These numbers are usually
generated from measurements of the products of radioactive decay.2 Al-
though the overall rate of decay of a radioactive isotope can be measured
very accurately, the precise moment at which any unstable nucleus will decay
is unknown, and indeed unknowable, depending as it does on the probabilis-
tic nature of quantum mechanics. All we know is that the probability per
unit time of such a decay is a constant. This fact can be used to generate
truly random numbers from the timing of the decay of individual atoms in
a sample, and these numbers can be stored by a computer and eventually
recorded onto CD-ROM. More recently, it has become possible to purchase
a circuit board which you can plug into your computer which contains a
(low-grade) radioactive sample and a detector, along with some associated
processing machinery, which can generate for you a sequence of as many true
random numbers as you like.
Important though these techniques may be for cryptographic purposes
however, none of the Monte Carlo methods we have discussed in this book
requires random numbers of this quality, and the expense of buying CD-
ROMs full of them, or specially built random number generator boards, is
not justified. In fact, even in cryptographic circles such random number
sources are now rare as a result of new encryption schemes whose security is
based on the problem of factoring the products of very large prime numbers.
Indeed, in a rather delightful twist, Press et al. (1988) have pointed out that
these same cryptographic schemes can be turned on their head and used
as a source of very high-quality pseudo-random numbers. In their excellent
book Numerical Recipes, they describe a method whereby the common code
known as the Data Encryption Standard (DES) can be employed as a random
number source. Unfortunately, the DES is a rather complex algorithm and
a large amount of CPU time would be needed to generate each random
number, which makes the idea impractical for our applications.

2
An alternative technique was, and still is, used by the now ancient British computer
ERNIE, which picks the numbers of winning premium bonds (essentially a form of lottery)
using the pattern of gas bubbles passing through a liquid.
16.1 Generating uniformly distributed random numbers 385

16.1.2 Pseudo-random numbers

In this and the following few sections we look at computer algorithms for
generating pseudo-random numbers. Most of the common techniques for
doing this work with integers rather than real numbers. Typically they
generate an integer i between zero and some maximum value m — 1. In
order to turn these integers into random real numbers between zero and
one, we simply divide by m.
The simplest and most widely used method of generating a sequence of
pseudo-random integers in is to act with some function / on the previous
value in the sequence:

The function / should incorporate only integer arithmetic, such as addition

or multiplication or integer division, in order that it always produce integers.
In order to get the process started we also need to provide the first random
number i0 for the sequence. This first number is called the seed for the
random number generator. It is in fact extremely useful that the generator
requires a seed. It means that we can produce different sequences of pseudo-
random numbers by feeding different seeds into Equation (16.3), or we can
generate the same sequence more than once by reusing a single seed value.
This second possibility may sound like an odd thing to do, but it can come
in very handy for debugging Monte Carlo algorithms. If the algorithm does
something strange on a particular run of the program, it may not repeat this
strange behaviour on another run with a different set of random numbers.
However, we can always duplicate the strange behaviour by using the same
seed to reproduce the same set of random numbers, and we can do this as
many times as we like until we track down the source of the problem.
Even before we start considering particular forms for the function / in
Equation (16.3), one thing which is clear is that random number generators
of this form will always produce a cycle of integers. If at any point during
the sequence we produce a number in which is the same as one we have
produced before in-k, then Equation (16.3) tells us that the sequence will
obey in = in-k for all subsequent values of n and hence the generator will
fall into a cycle of length k. Since there are only m different values which in
can take, the longest we will have to wait before this happens is m steps of
the sequence, and this is therefore the longest possible length for the cycle.
A large part of the task of designing a good random number generator is to
find functions / which have a long cycle.
More sophisticated generators make use of two or more of the previous
values in the sequence:

Generators of this form are also ultimately guaranteed to fall into a repeating
386 Chapter 16: Random numbers

cycle of values, for essentially the same reasons as before, although for a
generator which uses k previous values of the sequence to generate the next,
the cycle can be up to mk steps long, which could be a very large number
indeed for quite modest values of k.
It is not our intention here to go into the mathematics of random number
generators in detail, since this is a book about Monte Carlo methods and
not about random numbers. In this chapter we merely describe some of the
most widely used and best-behaved functions for generating pseudo-random
sequences, without attempting to prove their properties with any rigour.
The information we give should be enough for you to choose a suitable
random number generator for your Monte Carlo simulations and implement
it on a computer in the language of your choice. For the reader who is
interested in investigating the subject more thoroughly, we recommend the
discussion by Knuth in Volume 2 of his classic work The Art of Computer
Programming (1981).

16.1.3 Linear congruential generators

By far the most widely used type of random number generator is the linear
congruential generator, first introduced by Lehmer (1951), which is a
generator of exactly the type described by Equation (16.3). The function
used to produce the sequence is

where p mod q represents the modulo operation, which returns the remainder
after p is divided by q. (In C it is written as p%q, in FORTRAN as MOD(P, Q).)
The highest random number that this equation can produce is m — 1, and
so the longest sequence of numbers that can be produced has m elements,
all of them different. Thus in order to make the sequence long we need to
make m large. The maximum possible value of m is equal to the largest
value that your computer can store in an integer variable, plus one. Let us
call this number w. On modern computers integers are normally stored in
32 bits, which means that w — 232. Choosing m = w is very convenient,
because we can then perform arithmetic modulo w simply by adding and
multiplying integers in variables of one word each and ignoring any overflow
that arises during the operations. Unfortunately, however, it turns out that
the random sequences produced by Equation (16.5) when m = w are rather
poor in one respect: the low order bits in the binary representation of the
numbers will not be very random. An extreme example is the lowest order
bit, which for m — w will, depending on the values of a and c, either be
a constant or will alternate between 1 and 0 for successive numbers in in
the series. For applications which make use of the values of the bits in our
random numbers (such as the multispin coding methods of Chapter 15) this
16.1 Generating uniformly distributed random numbers 387

could be disastrous. Thus it is advisable to make some choice other than

m = w. However, this in turn leads us to another problem. If we make some
other choice of m then we have to perform the modulo operation explicitly
ourselves. But in order to do this correctly, we must be certain not to let the
quantity ai n _i + c in Equation (16.5) overflow our integer variables. Since
all the numbers in produced by our generator are less than m, we will be
safe if we ensure that a(m — 1) + c < w, but this places limits on the size of
m, making it considerably smaller than w for all sensible choices of a and c.
There are other considerations in the choice of values for the constants.
The length of the sequence generated is not always equal to m; the value
of m merely provides an upper bound on the length. To see this consider
for example the case of a, c and m all even. In this case the algorithm
will produce only even integers, and clearly the sequence can then be no
more than |m in length. In addition to the length of the sequence there are
more subtle problems associated with poor choices for the constants. For
bad choices the numbers generated may simply be "not very random". A
lengthy discussion is given by Knuth (1981), who notes that there are certain
rules of thumb governing good choices of the constants, such as ensuring that
a and m are coprime (i.e., have no factors in common other than 1), but to
a large extent the choice of good values is simply a matter of trying out
many of them. Knuth also gives a set of tests which may be applied to
sequences of numbers to help judge how random they are. However, rather
than go into the subject in more detail, we prefer to just give you some good
values for use in Equation (16.5). Generators using these values have passed
Knuth's tests and are acceptable for purposes not particularly sensitive to the
quality of the random numbers generated. (For more sensitive applications,
you should use one of the more sophisticated generators described in the rest
of this chapter.)
The choice of constants does depend on whether one is working in a
language like C or Pascal which provides facilities for performing unsigned
integer arithmetic. For such languages an integer of 32 bits really can store
any number up to 232. In that case we recommend the values a = 2416,
c = 374441 and m = 1771875. For languages such as FORTRAN, which
only provide signed integer arithmetic, a 32-bit integer can only store a
positive number up to 231, since one bit is used to hold the sign. In this
case we recommend the values a — 9301, c = 49297 and m = 233280. Both
these sets of numbers achieve the maximum possible sequence length of m,
and satisfy moderately stringent tests of their quality. For computers which
use integers of lengths other than 32 bits, a more comprehensive list of good
values for a, c and m is given in Press et al. (1988).
There is however an alternative to using these relatively small values of
TO. Schrage (1979) has demonstrated a trick which can be used to multiply
two 32-bit integers together, modulo a third 32-bit integer, without overflow-
388 Chapter 16: Random numbers

ing our 32-bit variables. This allows us, without too much computational
overhead, to implement a linear congruential generator with the maximum
useful value of m = w — 1. The trick requires us to use signed integer arith-
metic however, so we have to take m — 231 - 1. As it turns out, one of the
most thoroughly tested and widely used random number generators happens
to use this value of m. (It's no coincidence in fact, given the prevalence of
32-bit integer arithmetic on computers.) This generator was first given by
Lewis et al. in 1969, and makes use of the values a = 16 807 and c = 0. For
technical reasons Knuth recommends the choice c = 0 for all generators with
m = 2n ± 1, and in this case it is also quite convenient, since it speeds up
the arithmetic.
Schrage's trick works like this. Given m, we can define two numbers q
and r thus:

so that

For the values of a and m given above, we have q = 127 773 and r = 2836.
It is important for the trick to work that r < q, but that is indeed the case
here, so we are safe. Now it is clear that

This is true regardless of the value of q, since we can add or subtract any
integer multiple of m from ain without changing the value of the remainder
when we divide it by m. But now, using (16.7), we can write this as

The term ai n /q\r < in(r/q), and since r < q, this number is less than in,
which in turn is less than m. Furthermore, given that the number in mod q
lies between zero and q — 1, the term a(in mod q) < aq. The definition of
q, Equation (16.6), then ensures that this term is also less than m. Thus
both of these terms fit into our 32-bit signed integers, and, since neither
of them can be negative, so does their difference. The difference can be
negative however, which is why we need to use signed arithmetic to evaluate
it. Taking the result modulo m now becomes easy: if the difference of the
two terms is positive, we don't have to do anything; if it is negative we just
need to add m. In other words
16.1 Generating uniformly distributed random numbers 389

With the given values of q and r we can use this equation to implement
the random number generator of Lewis et al. An example, written in C,
is given in Appendix B. The code is a little more complex than that for
the straightforward linear congruential generator, but it has the significant
advantage of a longer period (about 2 billion numbers, which is adequate for
many smaller Monte Carlo simulations). It has another advantage too. All
linear congruential generators can produce only a certain number of differ-
ent possible integer values. If we convert these into real numbers between
zero and one, we can only get a certain number of different possible reals.
Of course, the available number of different reals between zero and one is
always finite, limited as it is by the precision with which the computer rep-
resents real numbers. However, with the values for a, c and m we suggested
for the simple 32-bit generator, for example, the number of different val-
ues generated by the algorithm is about 1.7 million, which is far less than
the number allowed by the machine precision on most modern computers.
(Double precision floating-point numbers typically have at least 48 bits of
mantissa, which gives about 1014 different values in each decade, and signif-
icantly more than this between zero and one.) For many applications, this
would not matter a great deal, but we can imagine cases in which it would.
One of the authors for example, has performed extensive Monte Carlo sim-
ulations on one-dimensional systems with several million lattice sites. If one
were not careful, it would be very easy to ignore the fact that not all the
sites in such a system can be reached by choosing a site number using a
single random number r and Equation (16.2), if r has only a million or so
possible values. The result would be a Monte Carlo algorithm which violates
the condition of ergodicity in a very bad way.
The generator described above still suffers from this drawback, but the
situation is a lot less severe than in the case of the straightforward linear
congruential generator. By using Schrage's trick, we have created a generator
that can generate m — 1 = 2 147 483 646 different numbers, which is enough
for most Monte Carlo applications. The method does have one slight problem
(as indeed do all generators which use c = 0) that if we seed the generator
with the number io = 0, we will just generate zeros forever afterwards,
since ain will always be zero. Thus we should avoid using zero as the seed.
The algorithm also never produces zero once seeded with any other number,3
though for the particular choice of a and m given here, it does produce every
other integer between 1 and m — 1. (This is why the number of different
values produced is m — 1 and not m.) If we are worried about an algorithm
which never produces zero, we can always subtract 1 from each number
generated.
A different solution to the problem of writing a good linear congruential
3
It can only produce zero if a and m have a common factor, which in this case they
don't. Actually, m doesn't have any factors; 231 — 1 is a prime number.
390 Chapter 16: Random numbers

random number generator is to write it in the machine language of the com-

puter. This not only allows the generator to work faster, since the type of
integer operations embodied in Equation (16.5) can be performed very effi-
ciently in machine languages, but it also obviates the problem of overflowing
integer variables, since most computers will allow you to perform the arith-
metic using double words. This allows you to choose any value of m you like,
and the usual choice is the same one we used above, w— 1. Of course, most of
us have no interest in learning the machine language of the computer we are
using, which makes writing a generator in it an unappealing prospect. How-
ever, almost all machines these days come with a linear congruential random
number generator already written in machine code which can be called from
any high-level language such as FORTRAN or C. While these packaged rou-
tines certainly benefit from the advantages described above, it is prudent to
exercise some caution in their use. Since we don't know what values of a,
c and m the programmer chose in writing them, we have no way of telling
whether they are actually good generators, unless we go to the trouble of
running some tests ourselves (for example those described by Knuth). It
may be that these generators are perfectly good, but there are also some
horror stories about machines which were released with disastrous random
number generators which could make a complete mess of your Monte Carlo
simulation. So our advice is to be very careful. If you have any doubt about
the quality of a random number generator supplied with your computer, you
should consider either writing one of your own using one of the algorithms
described in this chapter, or using the "shuffling" scheme we describe in the
next section to improve the randomness of the manufacturer's algorithm.

16.1.4 Improving the linear congruential generator

Although adequate for many applications, linear congruential random num-
ber generators have problems. First there is the length of the sequence. Even
the best of the generators described in the last section produces a sequence
of only about 2 billion numbers. For a Metropolis algorithm simulation of
the Ising model, for instance, which uses one random number to choose the
spin to be flipped and another to decide whether to flip it, this means we
could perform about 1 billion Monte Carlo steps before the cycle came round
and repeated itself. Typical Metropolis simulations these days run into tens
or hundreds of billions of Monte Carlo steps, so there is definitely the possi-
bility of introducing errors into the results through correlations of this sort
in the random numbers.
Another, more subtle problem concerns hidden correlations in the number
sequences produced by linear congruential random number generators. It
turns out (see Knuth (1981)) that if you take the numbers produced by one
of these generators in groups of k (which can be any number you like) and
16.1 Generating uniformly distributed random numbers 391

regard these groups as the coordinates of points in a k-dimensional space,

the points produced are constrained to lie on hyperplanes of co-dimension
one in the space. Or to put it more simply, the points only fill a very small
proportion of the k-space available to them, and are therefore obviously
not really random. These correlations are certainly well hidden and might
not matter for your particular application, but one must be cautious; as
Press et al. (1988) point out, the papers whose results are in question because
of poor random number generators form a significant portion of the Monte
Carlo literature. If you are considering spending a substantial amount of
time on a Monte Carlo calculation, you would do well to guard yourself
against criticism of this kind by employing a random number generator you
trust.
So how can we improve on the linear congruential generator? The most
commonly used method is simply to take the random numbers it produces
and shuffle them around a bit, to reduce their correlations and increase the
repeat period of the generator. This technique requires very little extra com-
putational effort after the numbers have been generated, and much improves
the quality of the sequence. If you want to use a machine-coded generator
which came with your computer, we would also suggest that you employ a
shuffling scheme since this will reduce the risk of your getting poor results
because someone messed up when they wrote the generator.
The standard shuffling scheme, due to Bays and Durham (1976), is this.
We create an array of N integers {jn} where N is typically around 100 (the
exact number is not important) and initially we fill it with random integers
between zero and m — 1 generated by our linear congruential generator. We
also generate one additional random integer, which we store in a variable
which we will call y. Then the procedure goes as follows:
1. We calculate the index k = [yN/m\, which is an integer between zero
and N - 1.
2. We return the kth element jk from our array as the new random number
generated by our shuffling algorithm, and in addition we set y = jk.
3. We generate a new random integer using our linear congruential gen-
erator and we set jk equal to this new number.
The numbers generated by this scheme depend on average on the last N
numbers generated by the linear congruential generator, and so can be ex-
pected to have a repeat cycle on the order of mN. For our purposes this is
essentially infinite and we can stop worrying about the cycle. Furthermore,
the subtle correlations concerned with hyperplanes that we mentioned are
destroyed by this shuffling of our random numbers, greatly reducing the
chances of spurious systematic errors being introduced into our Monte Carlo
results.
392 Chapter 16: Random numbers

The authors employed a linear congruential generator and a shuffling

scheme similar to the one described here in many of the calculations per-
formed during the writing of this book, and the results are, as far as we have
been able to tell, satisfactory.

16.1.5 Shift register generators

The linear congruential generators of Section 16.1.3, in combination with
the Bays-Durham shuffle of Section 16.1.4, give random numbers of suffi-
cient quality for most Monte Carlo simulations. However, we must always
be aware of the possibility that correlations in the sequence of numbers pro-
duced by a particular generator may give rise to systematic errors in our
results. One way to guard against this problem is to have another, different
random number generator at hand. If you suspect that your random number
generator may be causing you trouble, you can repeat your simulations with
the other generator and see if the problems go away. In fact, we recommend,
as a precautionary measure, that you should always repeat some part of
your simulation with another random number generator just to check that
the results do not change. To this end we describe two other widely used
types of random number generators in the next two sections: shift register
or Tausworthe generators, and lagged Fibonacci generators. Either of these
types of generators is good enough to provide a check on the results of our
simulations. Also, as it turns out, they both usually generate random num-
bers faster than our linear congruential generator. You might therefore wish
to consider using one of these types of generator as your primary source of
random numbers and the slower, but reliable, linear congruential generator
to double check the results, instead of the other way around.
First then, we look at shift register generators (Tausworthe 1965),
which generate a random integer in by manipulation of the binary digits in
the previous integer in-1 in the series. The standard algorithm consists of
two stages, a right-shift and a left-shift, as follows:
1. We shift the bits of in-1 first to the right a certain number of places s,
introducing zeros in the leftmost s bits which have just been vacated.
Then we exclusive-OR the result with the original number in-1. This
leaves us with an intermediate result, which we will call i'n_1. If we
denote the right-shift operation by R, then

were © represents the XOR operation.

2. Now we perform the same procedure using a left-shift L, shifting some
number t places to the left, introducing zeros in the rightmost t bits,
16.1 Generating uniformly distributed random numbers 393

and then XORing the result with i'n_1 thus:

In C, for example, the left- and right-shift operations are performed by the
operators « and » and the exclusive-OR operation by ~. All of these
are fairly quick operations, so the generator is usually quite fast even when
implemented in a high-level language. Furthermore, there is no problem
using all 32 bits of an integer with this algorithm, or however many bits
are available on your computer, since Equations (16.11) and (16.12) never
produce an overflow.
Since shift-register random number generators generate each number
from only the single preceding number in the sequence, the arguments given
in Section 16.1.2 immediately tell us that the longest sequence they can gen-
erate has length w, i.e., one greater than the maximum integer which your
computer can store. (In fact, as with the linear congruential generator, the
longest sequence actually has length w — 1, since we cannot use any sequence
which includes the number zero, because zero is mapped onto itself by the
equations above.) As we pointed out in Section 16.1.4 this is inadequate for
some longer Monte Carlo simulations. In this case, we can again employ the
Bays-Durham shuffling scheme, as we did for the linear congruential gen-
erator, to increase the period and at the same time improve the quality of
random numbers generated.
The only remaining question is what value the two parameters s and t
should take. As with the linear congruential generators of Section 16.1.3,
the choice of these numbers involves a certain amount of black magic. Here
we merely state that for a 32-bit generator the values s = 15 and t = 17 are
the most widely used. They also generate a sequence of numbers with the
maximum possible period of 232 — 1. For a 31-bit generator, s = 18, t = 13
and s = 28, t = 3 are the commonest choices. For most purposes these
choices will give adequate random numbers. A more thorough discussion of
the possible choices is given by Marsaglia (1992).

16.1.6 Lagged Fibonacci generators

A third class of widely used random number generators are the lagged Fi-
bonacci generators, which have the dual advantages of being fast and
also of generating very long sequences of numbers, which obviates the need
to employ a shuffling scheme, such as that of Section 16.1.4. In fact, as
Knuth (1981) has stated, these generators "may well prove to be the very
best source of random numbers for practical purposes". The only reason we
cannot recommend them whole-heartedly is that their theoretical founda-
tions are not as solid as those of the other generators we have discussed, so
it is possible that there lurk correlations in the sequences they produce which
394 Chapter 16: Random numbers

have yet to be discovered. However, if used in combination with another gen-

erator to safeguard against such possibilities, they can be extremely useful.
The authors have used one such generator extensively for some very large
calculations in which efficiency of random number generation was crucial
and obtained very satisfactory results.
Lagged Fibonacci generators are of the type described by Equation (16.4),
and may be written in the general form

where m, r and s are constants and o can be any of the operations + (plus),
— (minus), x (multiplication) or ® (exclusive-OR). As before, the choice
of the constants is crucial to producing random numbers of good quality.
Knuth gives a thorough discussion of possible values. We will merely list
some common ones.
Many people use the lagged Fibonacci generator with an exclusive-OR
operation (Lewis and Payne 1973). (These generators are sometimes referred
to as "generalized feedback shift register generators", for reasons which are
quite obscure.) This has the advantage that the modulo operation in Equa-
tion (16.13) is not necessary, since the exclusive-OR of two n-bit integers
can never itself exceed n bits. It turns out however that these generators
produce poor random numbers as well as possessing rather short periods,
unless the constants r and s are very large. A common choice for example is
r = 418, s = 1279, which requires us always to store the last 1279 numbers
generated. Considerably superior results can be obtained with much smaller
values of r and s if we use other operators instead, and we recommend us-
ing (16.13) with either addition or multiplication. Addition usually gives a
faster generator, but multiplication appears to give somewhat better random
numbers.
Unlike the exclusive-OR case, both additive and multiplicative lagged
Fibonacci generators require the use of the modulo operation in Equa-
tion (16.13). However, it turns out that the quality of random numbers
generated is not highly sensitive to the value of the modulus m, the only
restriction being that it should be an even number. Thus, it makes sense to
choose m equal to the number w (i.e., one larger than the largest number
which can be stored in an integer variable) so that we don't have to perform
the modulo operation explicitly—we can just let the addition or multiplica-
tion operation overflow our integer variables and ignore the overflow.4 As
4
This happens automatically in machine languages, and also in the C programming
language. Unfortunately, most implementations of FORTRAN and Pascal will not allow
integers to overflow—the overflow will cause a run-time error which will halt the program.
If you program in one of these languages it may be possible to disable this feature in your
compiler, or you may be able to use a generator written in C while writing the rest of
your program in the language of your choice.
16.1 Generating uniformly distributed random numbers 395

for the other constants, the most common choice is r = 24, s = 55, first sug-
gested by Mitchell and Moore in 1958 (unpublished). This choice appears to
give excellent results for both additive and multiplicative generators. Knuth
also suggests a number of other possibilities which you may like to play with.
These generators possess very long periods. In the additive case, for
instance, it can be proved that the period is at least 255 — 1, which should
be adequate for almost any purpose. They do have the disadvantage that
we must store the last 55 numbers generated at all times. This however
adds only a slight extra complexity to the algorithm and so is not a serious
objection. The numbers can be stored in an integer array organized as a
circular FIFO buffer of the kind described in Section 13.2.5. The values of
the elements of this array need to be initialized before the first call to the
generator—effectively the generator needs 55 seeds. These seeds could be
generated, for example, using a linear congruential generator.
Both the additive and multiplicative generators produce random num-
bers of very high quality, although the multiplicative generator appears to
be slightly better—it passes some extremely stringent tests of randomness
for the numbers it generates (Marsaglia 1985) and we recommend it for cal-
culations in which random numbers of high quality are important. It does
have a couple of problems though. First, it is usually slower than the addi-
tive generator, since multiplication normally takes longer than addition. On
modern RISC processors, however, this is not always true; many such pro-
cessors can perform integer multiplication just as fast as addition. Second,
it can only produce either even or odd integers, but not both. To see this,
consider what happens if even a single one of our 55 seed integers is even.
The product of this number with any other will produce an even result and,
since 24 and 55 are coprime, this means that our buffer will, after some time,
be entirely full of even numbers, and thereafter all numbers generated will
be even. Only if all the seeds are chosen odd can the algorithm go on gen-
erating odd numbers for an arbitrary length of time, but in this case it will
only generate odd numbers and no even ones. In fact, the normal practice
is to take the latter course and seed the generator with 55 odd integers so
that all numbers generated are odd. This reduces the number of different
values which can be generated to w/2, rather than w. This is not normally
a problem, but under certain special circumstances it could be, so it is as
well to be aware of it.5
Note that with the additive generator we should be careful to ensure that
not all the seeds are even, otherwise this generator will only ever produce
even integers. In both cases, the seeds should be uniformly distributed over
the entire range 0 to w — 1. If, for example, all the seeds were set equal to 1,
then the first few numbers produced by either algorithm would not be good
5
Note that it is only the number of different values which is reduced. The period of
the generator is still long enough that you should not usually have to worry about it.
396 Chapter 16: Random numbers

random numbers.
Although the theoretical foundations on which the lagged Fibonacci gen-
erators are built are less solid than those of the other methods we have
discussed, they have produced excellent results in many tests. In combi-
nation with another generator they can prove very useful when speed and
quality of random number generation are of the essence.

Armed with one of the random number generators described above, we

can now generate random real numbers rn between zero and one simply by
dividing each integer generated by its maximum allowed value:

And this is the fundamental random quantity which we use in Monte Carlo
simulation. Sample programs in C implementing a number of the generators
described here can be found in Appendix B.

16.2 Generating non-uniform random

numbers
In the first part of this chapter we have seen how we can use linear con-
gruential and other random number generators to generate pseudo-random
floating-point numbers which are uniformly distributed between zero and
one. Armed with these numbers and formulae such as those discussed at
the beginning of Section 16.1, we can carry out such important tasks as
choosing a site at random from a lattice and performing an operation with
a certain probability. This is all we need to implement, for instance, the
Metropolis algorithm for the Ising model. However, there are other random
processes which require random numbers of different types. For example,
the random-field Ising model of Section 6.1.1 has (at least in one version)
random local fields on every site of the lattice which have values Gaussianly
distributed about zero. How should we go about generating these Gaussian
random numbers? In this section we discuss techniques which allow us to
take our uniformly distributed random numbers and from them produce ran-
dom numbers with any other distribution we desire. Thus, we do not need
to have a different sort of random number generator for every distribution
of random numbers. Just the one generator will do when coupled with the
techniques outlined here for producing new distributions from the old ones.

16.2.1 The transformation method

The best method for producing non-uniformly distributed random numbers,
given uniformly distributed ones, is the transformation method. It goes
16.2 Generating non-uniform random numbers 397

like this. Suppose we want to produce real random numbers x which lie
between the limits x min and ormax and are distributed according to some
function f ( x ) . That is, the probability of producing a number in the inter-
val between x and x + dx should be f(x)dx provided xmin < x < xmax,
or zero otherwise. The function f(x) is a properly normalized probability
distribution such that its integral is unity:

The limits xmin and xmax are allowed to be ±00 if we want.

The fraction F(x) of these random numbers which lie below some value
x is given by

The same fraction of our uniformly distributed random numbers lies in the
interval 0 < r < F(x). What we want to do is map numbers from our uni-
form random number generator which fall into this region onto the numbers
between xmin and x in our new distribution. As it turns out, it's very easy
to arrange this. All we have to do is observe that the largest numbers in
each case should correspond to one another. In other words the number x
in our non-uniform distribution should be generated when the number

is produced by our uniform generator. Given the random numbers r, then,

all we have to do to get the non-uniform ones is invert this equation, to give
a formula for x. The only catch is that F(x) is defined as a definite integral
over the function /, so inverting the equation requires us first to perform
the integral. For some functions / this is easy, but for others the integral
cannot be done and in that case the transformation method will not work.
Let us see a couple of examples of cases in which the transformation
method does work. First, suppose we want to generate random numbers
between — oo and +00, drawn from the Lorentzian distribution

Here F is a free parameter, the "width" of the Lorentzian, and the factor of
e-1 and the F on top of the fraction are required so that the distribution
is normalized to 1 over the interval — oo to +00. Now Equations (16.16)
and (16.17) tell us that the Lorentzianly distributed random number x should
be generated every time our uniform random number generator produces the
number r, where
398 Chapter. 16: Random numbers

FIGURE 16.1 Demonstration of the the transformation method for

generating non-uniform random numbers. The histogram shows the
distribution of one million Lorentzianly distributed random numbers
generated using Equation (16.20). The dotted line is the Lorentzian
itself.

Now we can can invert this equuation to get

All we have to do now is generate random numbers r uniformly in the range

between zero and one using any of the techniques described in the first part
of this chapter and then feed them into this equation, and what we get out
is a set of numbers x which are also random, but now distributed according
to the Lorentzian, Equation (16.18). Just to prove that it actually works,
we have generated one million random numbers using this formula with
F = 1, and made a histogram of them in Figure 16.1. The dashed line is
the Lorentzian itself, and, as we can see, the agreement between line and
histogram is excellent.
Another example: suppose we want to generate a unit vector which points
in a random direction in three-dimensional space. We might want to do
this, for example, in order to implement the Metropolis algorithm for the
Heisenberg model as described in Section 4.5.3, which requires us to choose
a new random direction for one of our Heisenberg spins (which are three-
dimensional unit vectors) at each step of the simulation. We can represent
a unit vector by the two angles & and £ of spherical coordinates, such that
16.2 Generating non-uniform random numbers 399

the components of the unit vector are

We know that the element of solid angle in these coordinates is sin O do dO.
We want to generate random values of 9 and o, such that an equal number
of the vectors they describe fall in equal divisions of solid angle. In other
words we want to generate uniformly distributed values of <j> between 0 and
2r (which is easy) and we want to generate values of 6 between 0 and it
distributed according to the frequency function

where the factor of1/2is required to ensure that /(o) integrates to unity.
Again employing Equations (16.16) and (16.17), this implies that the value
o should be generated every time our uniform random number generator
produces the number r, where

Now we can invert this equation to give us 6:

So, in order to generate our random, spherically symmetric unit vectors, all
we need do is produce two uniformly distributed random numbers between
zero and one, feed one of them into this equation to get o, and the other into
Equation (16.1) to produce a value for 4> between 0 and 2r, and then feed
these angles into Equation (16.21) in order to get x, y and z.

16.2.2 Generating Gaussian random numbers

An issue which arises often is the generation of random numbers which are
distributed according to a Gaussian or normal distribution with standard
deviation a:

(Again, the leading numerical factor ensures that f ( x ) is normalized to

unity over the range —oo to +00.) Let us see what happens if we apply
our transformation method to this distribution function. Equations (16.16)
400 Chapter 16: Random numbers

and (16.17) tell us that the Gaussianly distributed random number x should
be generated every time our uniform random number generator produces the
number r, where

where erf (x) is the error function, which is essentially just the definite inte-
gral of a Gaussian. Unfortunately, there is no known closed-form expression
for the error function, which makes it impossible to invert this equation.6
Generating Gaussian random numbers is extremely important for many
applications however, so other methods have been developed to tackle the
problem. The standard way of doing it is a two-dimensional variation of the
transformation method. Imagine we have two independent random numbers
x and y, both drawn from a Gaussian distribution with the same standard
deviation a. The probability that the point (x, y) falls in some small element
dx dy of the xy plane is then

We could alternatively express this in polar coordinates as the probabil-

ity that the point falls in the elemental area r dr dd with radial coordinate
between r and r + dr and angular coordinate between 6 and 0 + dO:

Thus, if we can generate random values of r and 6 according to this dis-

tribution and then transform them back into Cartesian coordinates x and
y, we will have two random numbers which are distributed according to a
Gaussian with standard deviation a. Since most applications require many
random numbers, generating two in this way is not a problem; we simply
save up one of them for use later.
Generating the 6 variable according to Equation (16.28) is trivial—we
just need to produce a uniformly distributed real number between zero and
2?r, which we can do using Equation (16.1). The radial coordinate r can
be generated using the transformation method. The normalized distribution
function for r is

6
Some computer languages, including C, provide a library function which can evaluate
erf(x) using an asymptotic series approximation. However, no such library functions exist
for evaluating the inverse of the function.
16.2 Generating non-uniform random numbers 401

The transformation method then says that we should produce a value r for
this coordinate every time our uniform random number generator produces
a number p (we use p this time to avoid confusion between variables called
r) such that

Rearranging for r, this gives us

With this value for r and our random value for 6, the two numbers

are independent Gaussianly distributed random numbers.

A couple of brief points are worth making. First, notice that the term
inside the logarithm in Equation (16.31) is 1 — p, where p is a uniformly
distributed random number between zero and one, which comes from our
standard random number generator. It is tempting to say that therefore 1 — p
is also a random number between zero and one, so we can save ourselves the
subtraction and just write log p. This however would be a mistake, since, as
you will recall, the standard random number generator produces numbers in
the range 0 < p < 1, so that it is possible, if unlikely, that p will be exactly
zero. (Though slim, the chance is finite since the computer has only a limited
precision with which it can represent real numbers.) Such a zero value of p
will cause a program error when we try to evaluate the logarithm of zero.
No such errors will occur if we use the correct formula, Equation (16.31),
which never tries to evaluate the log of zero.
Second, we should point out that it is not really necessary that we be
able to generate Gaussian random numbers for any value of a, as we are here
considering. If we can generate random numbers with standard deviation
one, then multiplying each number by some constant a will give us Gaussian
random numbers with that value of a as their standard deviation. For this
reason most Gaussian random number generators use the algorithm above
with a = 1 and expect you to multiply the numbers yourself by whatever
standard deviation you want. Notice that this property is not true of all
distributions of random numbers. It only works for ones like the Gaussian
for which the distribution function can be written as a function of x/a.

16.2.3 The rejection method

If we want random numbers distributed according to some function f ( x ) ,
but we don't know the definite integral (16.16) of the function, then we
402 Chapter 16: Random numbers

can't use the transformation method described in the Section 16.2.1. In this
section we describe another method for generating random numbers, the
rejection method, which is simple to implement and can generate random
numbers according to any distribution, whether it is integrable or not. The
method does have some drawbacks, however, which make it inferior to the
transformation method for integrable functions:
1. It is considerably less efficient than the transformation method. It
requires us to generate at least two and often more than two random
numbers uniformly distributed between zero and one for every non-
uniform number returned.
2. It only works for distributions defined over a finite range. In other
words we can't have x min = —oo or xmax = +00 as we did in some of
the examples in the last two sections.
These drawbacks are offset by the generality of the method, and certainly
there are plenty of situations where the rejection method is the method of
choice.
In its simplest form, the rejection method works like this. We want to
generate random numbers x in the interval from x min to x max distributed
according to some function f ( x ) . Let fmax be the maximum value which the
function attains in the interval. We generate a random number x uniformly
in the interval between x min and xmax using Equation (16.1). (This only
works if xmin and xmax are finite, which is the reason for condition 2 above.)
Now we generate another random number r between zero and one and we
keep the random number x if

Otherwise, we reject x and generate another number between xmin and xmax.
The process continues until we accept one of our numbers, and that is the
number which our random number generator returns. The factor of fmax
on the bottom of Equation (16.33) ensures that the acceptance probabil-
ity f(x)/f max has a maximum value of one, which makes the algorithm as
efficient as possible.
Why does it work? Well, the probability that Equation (16.1) generates
a number in some small range x to x + dx is

The probability that it is accepted comes from Equation (16.33). It is just:

16.2 Generating non-uniform random numbers 403

And the probability that we return a value of x in this interval is then the
product of these two probabilities:

Clearly this is proportional to f ( x ) d x , as we want it to be. Notice that there

is no need in this case for the function f ( x ) to be normalized to unity over the
range of allowed values for x. The factor of fmax ensures that the results of
the algorithm will be unchanged if we multiply f ( x ) by any constant factor.
The inefficiency of the algorithm arises for two reasons. First, every
time we try a new value of x we have to generate two new random numbers
between zero and one. One of them is used to produce the value of x using
Equation (16.1), and the other is used in Equation (16.33) to decide whether
to accept or reject that value. Second, the very fact that we reject some
candidate numbers reduces the algorithm's efficiency. It means that we waste
time generating numbers and then throwing them away only to generate
more. We can calculate the average effect of these inefficiencies as follows.
The total probability of returning a value— any value—on one particular
iteration of the algorithm is the integral of (16.36) over the allowed range
of x, and the average number of iterations we have to perform to get one
acceptance is the reciprocal of this integral. Two random numbers between
zero and one are required for each iteration, so the total average number
of calls we need to make to our basic random number generator for every
random number we return is

As an example, let us look at the generation of Gaussian random num-

bers again. In Section 16.2.2 we saw that it is not possible to use the normal
transformation method to generate Gaussianly distributed random numbers,
but we did describe another method, based on a variation of the transforma-
tion method, which can generate two independent Gaussian random numbers
with the same standard deviation, given as input two independent random
numbers between zero and one. Let us compare this method to the rejection
method described here. First, we note that the rejection method cannot
generate numbers with an infinite (or semi-infinite) range, so we have to
choose finite values for xmin and xmax. What values we choose depends on
the precise details of our application, but for now we note that if we choose
the limits to lie at about 6 standard deviations from the centre of the dis-
tribution that will leave out less than one part in 107 of the area under the
distribution, which for most applications will be good enough. For a distri-
bution of random numbers centred at zero with a = 1, the function f ( x ) can
404 Chapter 16: Random numbers

then be written

and the total number of calls per Gaussian random number generated is

In other words we will have to make about ten calls on average for each
number we generate —ten times as many as for the method of Section 16.2.2.
The rejection method is therefore a poor way of generating Gaussian random
numbers. However it may still be useful for distributions for which no other
method exists.

16.2.4 The hybrid method

The rejection method described in the preceding section is a simple alterna-
tive to the transformation method when we want to generate non-uniform
random numbers with non-integrable distribution functions. As we saw,
however, it is an inefficient method, requiring several calls to our basic ran-
dom number generator for each number it returns. At the expense of a
certain increase in programming complexity, we can reduce this inefficiency
by using a hybrid method which combines features of both the transforma-
tion and rejection methods, while still being applicable to any distribution
function f ( x ) . The method works like this.
First we must find a function g(x) which approximates to f ( x ) , but which
is integrable, and which is greater than or equal to f(x) for all x in the
range between xmin and xmax. Then we apply the transformation method
to generate a random number distributed according to g(x). Assuming g(x)
is normalized, the probability of generating a number between x and x + dx
is

Now we accept or reject this number in a manner similar to the rejection

method, but with acceptance probability

Thus the total probability of generating a number in the given interval is

as it should be. The normal rejection method could be regarded as a special

case of this algorithm in which g(x) is just equal to fmax for all x. Clearly
16.2 Generating non-uniform random numbers 405

FIGURE 16.2 An example of suitable functions f(x) and g(x) for

use in the hybrid method described in the text. In this case f(x) is
a Gaussian (solid line) and g(x) is a Lorentzian (dotted line). The
Gaussian is scaled so that f(x) < g(x) for all x.

however, the better g(x) approximates to f ( x ) the more efficient the algo-
rithm will become. Note that f ( x ) does not have to be normalized to unity
in order for the method to work. In fact, it cannot be normalized to unity,
since we know that g(x) is normalized, and f ( x ) < g(x) for all x. Thus the
integral of (16.42) between xmin and xmax must be less than one, implying
that the method has less than perfect efficiency. However, it can still be a
lot more efficient than the simple rejection method. The hybrid method also
does not require that the limits xmin and xmax be finite.
As an example, let's take Gaussian random numbers again. Suppose we
choose for g(x) the Lorentzian function, Equation (16.18), with F = 1, which
has a bell shape similar to that of the Gaussian, but decays to zero slower in
the tails. In Figure 16.2 we show the Lorentzian, normalized to unity, with
the Gaussian f ( x ) scaled so that it lies below it for all values of x. In this
example, we found by simple trial and error that multiplying the normalized
Gaussian by 0.65 brought us very close to touching the Lorentzian.
Now we can apply Equation (16.20) to generate random numbers be-
tween plus and minus infinity with a Lorentzian distribution, and then
Equation (16.41) to decide whether to accept them or not. The integral
over Equation (16.42) then gives us simply 0.65 for the fraction of proposed
numbers which are accepted (since this is the factor by which we scaled the
normalized Gaussian curve to get f ( x ) ) . Given that we have to generate
two random numbers between zero and one for each proposed number, that
406 Chapter 16: Random numbers

means that on average about three random numbers are generated for each
Gaussian number returned, which is much better than the ten numbers we
had to generate with the simple rejection method.

16.3 Generating random bits

Occasionally the need arises for the generation of random binary digits—
bits—which are 0 or 1 with a certain probability. The principal context in
which we run across this problem is in multispin-coded algorithms of the
type discussed in Chapter 15. For example, in Section 15.1.1 we described a
multispin-coded Monte Carlo algorithm for carrying out the single-spin-flip
Metropolis algorithm on the Ising model. This algorithm requires a source of
random words (usually 32 or 64 bits) in which each bit is 1 with probability
exp(—4bJ). How do we go about generating such random words?
Suppose we want to generate words of n bits in which each bit is 1 with
probability p. The simplest case is when p = 1/2, in which case the words are
uniformly distributed random integers between zero and 2n — 1. We have
already seen a number of ways of generating such integers in Section 16.1.
Any of the generators described in that section can be used for multispin
coding applications and will produce words in which the bits are 0 or 1 with
probability 1/2, although the linear congruential generator of Section 16.1.3
will probably have too short a period for many applications. The improved
linear congruential generator of Section 16.1.4 which makes use of the Bays-
Durham shuffle is a better choice and is adequate in many cases, although
you should note that the implementation which we described only generates
31-bit random numbers; the top bit generated is always zero and so cannot
be used in a Monte Carlo calculation. The shift register generator described
in Section 16.1.5 will also work fine in most cases and generates true 32-
bit numbers. However, the best choices are probably the lagged Fibonacci
generators of Section 16.1.6, which are both quick and produce independent
random bits of quality suitable for most Monte Carlo applications. If you
use the multiplicative Fibonacci generator, you should bear in mind that
it always generates odd numbers, which means that the lowest order bit is
always one and hence cannot be used. If you use the additive Fibonacci
generator this problem does not arise.
Once we have a way of generating words made up of random bits which
are one with probability p =1/2,we can derive other values of p from them.
If, for instance, we take the bitwise AND of two such words, the probability
that any bit will be a one is p — 1/4. If we take the bitwise OR, we get
p = 3/4. We can then combine these words to generate further values of p. In
general, if we have a word Wp composed of random bits which are one with
probability p, and we use our random number generator to produce another
r with bits which are one with probability 1/2, then by taking the bitwise
16.3 Generating random bits 407

AND of the two we get a new word Wp> = r A Wp in which each bit is one
with probability

If we take the bitwise OR of the two Wpt = r V Wp we get

These relations tell us that by the judicious combination using AND and
OR operations of the appropriate number of independent random words in
which each bit is one with probability 1/2, we can produce independent bits
whose probability p of being one is any rational fraction with denominator
a power of two.
In practice, given a desired value of p, the best way to find the appropriate
sequence of operations to generate it is to work backwards from the result
we want until we get p =1/2.As an example, here is how we would generate
a word W19/32 using, in this case, five different random words r1 . . . r5 with
P=1/2 =

as
Putting these all together, we can write Wig/32

It is not hard to see that in order to produce a value of p with a denominator

of 2k in this fashion we will have to combine k different random words ri
using AND and OR operations.
This is clever, but it is not enough. We need to be able to produce
bits which are one with probability p being any floating-point number we
specify. It is true that we can get arbitrarily close to any real number with
a rational fraction, or even with a rational fraction whose denominator is a
power of two. However, if the denominator required to get sufficiently close
to a particular real number is very large, we are going to have to combine a
lot of different random words r in order to generate just one with the desired
value of p, and this could take a lot of time. So we use a different trick.
Suppose we want to generate a random word in which the bits are one
with probability p. And suppose we are able to generate two different random
words, one WP1 in which the bits are one with probability p1 < p, and one
WP2 in which they are one with probability p2 > p. We can do this, for
408 Chapter 16: Random numbers

example, using the techniques described above. Now let us choose between
these two random words at random, with probability q that we choose WP1
and 1 — q that we choose WP2. Then the probability that any bit in the
chosen word will be one is qp1 + (1 — q)p2. Setting this equal to the desired
probability p and solving for q we get

This then allows us to generate words with any real value of p we want.
In practice, the most efficient way to use this method is to decide first
with probability q whether we are going to choose WP1 or WP2 and then
to generate the appropriate word. This is obviously more efficient than
generating both words first and throwing one away. Nonetheless, we still
have to generate one such random word as well as generating a random
floating-point number in order to make the choice. There are other, more
subtle problems as well. In particular, this method tends to generate random
words in which there are correlations between the bits. Any particular bit
generated does indeed have exactly the desired probability of being a one.
But if one such bit is a one, then there is a statistical bias in favour of the
other bits in the same word being ones also. This is most obvious in the case
where we choose the two words WP1 and WP2 to be composed of all zeros
and all ones respectively. This choice satisfies the conditions we specified for
the two words regardless of the value of p, since p1 = 0 and pz = 1. However,
it would be rather a silly choice, since the correlations between the bits are
extremely bad. If any bit in a word generated in this way is a one, then all
the others will be ones as well. And if any bit is a zero, all the others will
be zeros.
In practice, we get the best results if we make the values of p1 and p2
as close as possible to the desired value of p, but there is clearly a compro-
mise to be struck here between the time taken to do this and the amount
of correlation between the bits which we are willing to tolerate. In fact, in
the case of the "asynchronous update" multispin algorithms we studied in
Chapter 15 in which variables from several different systems are packed into
the bits of one word, some correlation between random bits is acceptable
and quite widely spaced values of p1 and p2 such as, say, 0 and 1/2, usually
work fine. (The example program for the two-dimensional Ising model given
in Appendix B uses this choice, and gives perfectly satisfactory results.)
The correlation between the bits may give rise to some correlation between
the values of observable quantities measured in the different systems simu-
lated, and we should be careful that this does not lead us to underestimate
the statistical errors on such quantities. Other than this, however, a little
correlation between bits will do no harm.
16.3 Generating random bits 409

Problems
16.1 For a linear congruential generator, Equation (16.5), with c = 0 derive
a "skip formula" which gives the value of in+k in terms of in for any k,
without our having to actually carry out k iterations of the generator.
16.2 An alternative to the Bays-Durham shuffling scheme of Section 16.1.4
is as follows. We store an array of N integers {jn} just as before and each
time we wish to generate a new random number we produce a random integer
i using our linear congruential generator. We use this integer to calculate
an index k = \_iN/m\. We return jk as our new random number and put i
in its place in the array. Unfortunately, this scheme would be a very poor
one. Why?
16.3 How would you generate floating-point numbers x > 0 according to
the distribution p(x) a e-x?
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Appendices
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A
Answers to problems

Chapter 1
1.1 False. The probability of being in any particular state with energy E is
indeed proportional to e-bE, as we stated in Section 1.2. However, if there
are several states with energy E then the system is more likely to have that
energy than if there are few such states. Often this is expressed in terms of a
"density of states" p(E) which is the number of states with energy E. Then
the probability of having a certain energy varies in proportion to p(E) e-bE.
The density of states is discussed in more detail in Sections 4.5.3 and 6.3.
1.2 For this simple two state system, the sum rule (1.2) tells us that w1 =
1 — Wo. Using this relation we can write the master equation in the form

Since E0 and E1 are constant, we can directly integrate this equation to give
W0, with the integration constant being set by the initial conditions:

Taking the limit t —> oo, the exponential in the numerator vanishes, and by
rearranging we can show that the probability po = w0(oo) is

as in Equation (1.5). The solutions for w1 and p1 follow from the sum rule.
1.3 If we have n out of our N particles in state 1 then the total energy
of the system is H = E1n. The number of states with this energy is the

417
418 Appendix A: Answers to problems

number of ways of choosing n from N, and hence the partition function is

Using Equation (1.9), the internal energy is then

1.4 In one dimension, the Hamiltonian for the Ising model, Equation (1.30),
can be written as H = - J ^ i SjSj+i- Making the proposed change of vari-
ables this becomes

where n is the number of variablesCTJwhich are equal to +1. With periodic

boundary conditions n must be even, but we can ignore this constraint in
the limit of large TV, and the problem then becomes the same as the previous
one with E1 = 2J, except for the additive constant — JN. Thus the internal
energy of the system is

Chapter 2
2.1 The appropriate generalization of (1.1) to the case of a discrete time
variable is

Using Equation (2.5) we can show that the second term is just

and the required result follows immediately.

2.2 We should choose the transition rates to be inversely proportional to
the amount of time we want the system to spend in each state. In other
words, P(u —> v) a exp(bEu). The most efficient choice is then to set
Appendix A: Answers to problems 419

Chapter 3
3.1 Using the full Ising Hamiltonian, Equation (3.1), the generalization of
Equation (3.8) to the case of finite B is

The first sum gives exactly the same thing as in the B = 0 case. The second
two give — B(s% — s£), since all the other spins are unchanged and cancel
out. Using Equation (3.9) we then get

3.2 The expression for our estimate of the error on the mean square of a
set of numbers is a generalization of Equation (3.37). Our best estimate of
the mean square is

and our estimate of the variance on this quantity is

The error is then

Applying this to the twelve numbers given in the problem, we get a value
of a = 5.05. Directly applying the jackknife method to the same set of
numbers, we get a value of a = 5.28.
3.3 There are a number of ways we might estimate the partition function.
Perhaps the most direct is to measure the internal energy and make use of
Equation (1.9) to derive the following formula:

If we measure U over a range of temperatures from b = 0 (which is the

same as T = oo) to the temperature we are interested in, we can calculate Z
by numerically integrating in much the same way as we did for the entropy
in Section 3.5. The integration constant N is not very important since it
drops out of most calculations of real quantities. If we want to fix its value
420 Appendix A: Answers to problems

however, we can do so by noting that at b = 0 all the terms in the partition

function, Equation (1.6), are equal to 1, so that Z(b = 0) is just equal to the
number of states of the system. This then is also the value of the constant
N.
3.4 There are many possible solutions to this problem of course. Here is one
simple program to perform the desired calculation for a system of N spins. It
is written in C and relies on a function drandom() which returns a random
real number between zero and one. This is just the guts of the program.
The code given here performs one Monte Carlo step of the simulation. If
you want to actually use it, you'll have to add some extra lines to make
it into a complete program. In particular, you'll need to set up the initial
values of the array s [] which stores the spins, and the variables beta and J
which store the corresponding quantities from the model.

int s [N] ;
double beta, J;

void move ()
{
int i;
int n1 , n2 , delta;

i = N*drandom();

if ((n1=i+l)>=N) n1 -= N;
if ((n2=i-l)<0) n2 += N;

delta = s[i]*(s[n1]+s[n2]);

if (delta<=0) {
s[i] = -s[i];
} else if (drandom()<exp(-4*beta*J)) {
s[i] = -s[i] ;
}
>
This is not the most efficient implementation of this algorithm. It could be
made slightly faster by storing the value of e-4bJ in a separate variable so
that we don't have to recalculate it at every step.
Appendix A: Answers to problems 421

The points in this figure are

our results for the internal
energy per spin of an
N = 1000 system simulated
using the program above
with J = 1. The solid line
is the exact solution from
Problem 1.4.

Chapter 4
4.1 In order to produce a configuration of the system which is statistically
independent of the current one, the domain walls have to diffuse an average
distance on the order of the correlation length £. If the domain walls perform
a random walk across the system, then the mean square distance moved
increases linearly with time <x2> ~ t. Thus the time r taken to diffuse a
distance £—the correlation time—goes as r ~ £2. Comparing this result
with Equation (4.6) we get z = 2. In fact, the measured values of z for the
two- and three-dimensional Ising models, Table 4.1, are close to 2 for the
Metropolis algorithm, as indeed they are for all single-spin-flip algorithms,
indicating that the domain walls do approximately perform a random walk
for such algorithms. For the cluster algorithms however, the domain walls
are more mobile, and this is the fundamental reason why these algorithms
achieve lower values of z.
4.2 Consider as we did in Section 4.2.1 two states separated by the flipping
of a single cluster, and suppose that that cluster contains k spins. The ap-
propriate generalization of Equation (4.11) to the case of non-zero magnetic
field is

where S = ±1 is the value of the spins in the cluster before they are flipped
over. Substituting this into Equation (4.10) and rearranging, we find that
Equation (4.12) is now modified thus:

The simplest way to satisfy this equation is to choose Padd = 1 — e - 2 b J , as

in the normal Wolff algorithm, so that the factor inside the square brackets
422 Appendix A: Answers to problems

is 1. Then the ratio of the acceptance probabilities for forward and backward
moves is e - 2 b S B k . The most efficient choice of acceptance ratio to satisfy
this constraint is

Notice that this reduces to the usual Wolff result A(u —> v) = 1 when B — 0.
4.3 The Swendsen-Wang algorithm is just the same as the Wolff algorithm
except that it covers the entire lattice with clusters, rather than just creating
one. In fact, we already worked out the equivalent of Equation (4.24) for
this case in Section 4.3.2 when we showed (Equation (4.21)) that

Thus, using Equation (1.36), the susceptibility above Tc is given by

Chapter 5
5.1 The algorithm satisfies ergodicity for the same reason that the Kawasaki
algorithm does; all exchanges of up- and down-spins in the Kawasaki algo-
rithm are also possible moves in this algorithm, so that if one of them satisfies
ergodicity then the other does as well. The proof of detailed balance is also
the same as for the Kawasaki algorithm except that we need to show that
the selection probabilities g(u —> v) and g(v —> u) are the same in either
direction. This however is simple since the probability of picking a partic-
ular minority spin is always the same because the number of such spins is
conserved, and the probability of picking a particular one of its neighbours is
constant at 1 / z , where z is the lattice coordination number. To see why the
algorithm is more efficient than the Kawasaki one, consider the case p <\.
In this case the particles (rather than the vacancies) are in the minority.
Then there are two ways to pick any particular particle-particle pair, one
way of picking a particle-vacancy pair, and no ways to pick a vacancy-
vacancy pair. When p =1/2,particle—particle and vacancy-vacancy pairs are
equally common on average, which means that the Kawasaki algorithm and
this new one are equally efficient. But when p<1/2the number of particle-
particle pairs goes down relative to the number of vacancy-vacancy ones,
and hence the new algorithm does better than the Kawasaki one. However,
the algorithm is also more complicated to program, since it requires us to
maintain an up-to-date list of where all the particles in the system are. This
Appendix A: Answers to problems 423

makes the program slower than in the Kawasaki case. Thus in practice we
have to have a density p which is substantially less than 1/2 in order for the
algorithm to pay dividends. A similar argument can be made to show that
we get an efficiency gain when p is significantly greater than 1/2 also.
5.2 The energy difference between the two states can be written

Only the spins k and k' which are exchanged change their values. All others
stay the same, so the only contributions which don't cancel out are the ones
involving these spins. Noting that the interaction between the two spins
themselves doesn't change when they are exchanged, we then get

In the case where Sk = Sk', which is the only case we are really interested
in, we can simplify this using Equation (3.9) to give

which is the answer we were looking for.

5.3 Suppose that p <1/2,so that it is the particles rather than the vacancies
which form the droplet in configuration (a). In terms of its width and height,
W and H, the number of unsatisfied bonds around the perimeter of the
droplet is 2W + 2H. For a droplet of a given area, this number is minimized
when the droplet is a square. The area of the droplet is pL2, which means
that the square has dimensions W — H — ^/pL, and hence the number of
unsatisfied bonds is 4^/pL. In configuration (b), the total interface length is
simply the length of two straight interfaces which stretch across the whole
system, i.e., 1L. The lengths of the interfaces in cases (a) and (b) are thus
equal when p = 1/4. Below this density the square droplet has the lowest
possible interface length and so is the preferred configuration. Above it the
banded configuration is preferred. When p >1/2\a similar argument shows
that the droplet configuration is only energetically favourable above p = 3/4.

Chapter 6
6.1 The condition of detailed balance, Equation (2.14), tells us that the
transition probabilities for transitions between state 1 and the state at the
424 Appendix A: Answers to problems

top of the barrier must satisfy

Since P(B —> 1) is a probability, the largest value it can have is 1, which
means that the largest value which P(1 —> B) can have is exp[— b(EB —
E1)} = exp[— bB1], as claimed in the problem. (This of course is just the
Metropolis algorithm for this transition.) The exponential increase in the
time taken to cross a barrier with barrier height is called the Arrhenius law,
and is discussed in more detail in Chapter 11.
6.2 The Hamiltonian of the Mattis model can be written as

Defining a new set of variables ti = £jSj, which take the values ±1, this
becomes

which is the Hamiltonian of the normal Ising model with J — 1 and is

therefore not glassy. In other words, there are possible choices of the values
of Jij which are half +1 and half -1 and appear random to the eye, but
nonetheless are not glassy. However, the number of choices of the Jij in
the Mattis model is 2N where N is the number of sites on the lattice. If
we choose Jij purely at random, there are 2Nz/2 choices, where z is the
lattice coordination number. Since z > 2 for all lattices in more than one
dimension, this means that the number of possible choices in the general
case becomes exponentially larger than the number for the Mattis model as
N becomes large.
6.3 Using the expression H = —JN + 2Jn for the Hamiltonian from Prob-
lem 1.4 and noting that the number of states with a certain value of n is just
the number of ways of choosing n spins out of N, we can write the number
of states with energy E as

The most efficient choice of acceptance ratio is then given by Equation (6.20)
with this expression substituted in.
6.4 As explained in Section 1.2.1, the range of energies which the system
passes through, measured in terms of energy per spin, decreases as l/\fN
with the size of the system (or as L-d/2 with the linear dimension). The
Appendix A: Answers to problems 425

simulation with the highest temperature in a simulated tempering calcula-

tion should be above the glass temperature Tg in order that we sample a
representative selection of states. The number of simulations necessary to
cover the energy range from the energy of this simulation u(Tg) down to the
energy we are interested in therefore increases as ^/~N with the system size.
For a three-dimensional system, for instance, it will go as L 3/2 .

Chapter 7
7.1 The number of possible configurations of arrows at a vertex is the num-
ber of ways of choosing the three outgoing arrows out of the six possible
directions, which is 20. If we ignore the first ice rule, this gives us a total
of 20N possible states of the lattice, where N is the number of vertices. By
Pauling's argument however, there is a 50% probability that any bond in
one of these configurations will be doubly occupied, or not occupied at all.
There are a total of 3N bonds, and hence when we reinstate the first ice rule
we reduce the number of states by a factor of 2 3N . Thus the entropy per
vertex is approximatelyN-1log(20N/23N) = log | ~ 0.916.
7.2 If we again take a q = 3 Potts model, we can ensure that nearest-
neighbour spins have different values if we set J = —oo. In addition, from
Equation (7.20) we see that the energy of the F model is proportional to
the number of next-nearest-neighbour spin pairs which have the same value,
and we can incorporate this by giving our Potts model finite ferromagnetic
next-nearest-neighbour interactions. This makes the Potts model equivalent
to the F model, except for an (infinite) additive shift in the energy.
7.3 The simplest way to do this is to create a loop algorithm similar to that
for the six-vertex model, except that when the loop passes through a vertex
it can leave along any bond with equal probability, regardless of the state of
the arrows at the vertex. It is not hard to show that this will produce only
configurations containing the eight allowed vertex types. Both short and
long loop versions of this algorithm are possible, and both obey ergodicity
and detailed balance for the same reasons that they did in the six-vertex
model.

Chapter 8

8.1 For a finite sized system the specific heat per site at the critical tem-
perature scales with the size L of the system as c ~ L a/v (see Equa-
tion (8.43)). This means that the specific heat for the whole system scales
as C ~ Ld+a/v. Thus the temperature range AT varies with system size as
AT ~ £-<V2-a/2i/_ This expression can be simplified using Equation (8.93)
to give AT ~ L"1/". Interestingly, as Equation (8.54) shows, the range of
426 Appendix A: Answers to problems

values of the reduced temperature t to which a particular range of the scal-

ing variable x corresponds in a finite size scaling calculation also scales as
L - 1 / v . This means that the range of values of x over which we can estimate
a scaling function like x(x) using a single simulation at Tc does not change as
the system simulated gets larger. This makes the single histogram method
very convenient for many finite size scaling calculations.
8.2 The criterion which we applied to derive Equation (8.10) was that in
order to extrapolate to a temperature T, the number of samples in the
histogram at energy U(T) should be significantly greater than 1. Let us say
that we require there to be at least k samples at this energy. Then, assuming
that the distribution of energies sampled is roughly Gaussian, our criterion
can be written

Using Equation (8.9) to eliminate the difference U(T) — U(To) in favour of

AT and then rearranging, we find the desired result that AT ~ ^/\ogn. Note
that this is a very slow increase in AT with n. In terms of extrapolation
range, increasing the length of our Monte Carlo simulation does us very
little good, although it does still increase the accuracy of our estimate of the
quantity of interest in the usual ^/n fashion.
8.3 The answer to this problem is exactly the same as the answer to Prob-
lem 6.4. The multiple histogram method requires there to be an overlap in
the ranges of energy sampled by the separate simulations, and these ranges
decrease with system size N as 1/A//V. Thus the number of simulations re-
quired to cover a given range goes up as \/N. The fact that the simulated
tempering and multiple histogram methods place exactly the same require-
ments on the overlap of simulations is actually quite useful. It tells us that
we can always use the multiple histogram method to interpolate between the
different temperatures used in a simulated tempering calculation.
8.4 In systems of finite size, the effective temperature of the critical point
is higher than in infinite systems. This is because the length scale of the
fluctuations £ diverges as we approach Tc from above until it reaches the
system size, which it does before we get to Tc. From there on the system
behaves as it would below Tc since the fluctuations fill the entire system.
Thus we expect the peak in the susceptibility to occur at a temperature
T > Tc in a finite system. With a scaling form like Equation (8.51) this
means that the scaling function must have its peak at t > 0.
8.5 The equivalent of Equation (8.46) for T is
Appendix A: Answers to problems 427

Defining the scaling function

this becomes

which is the appropriate scaling equation for the finite size behaviour of the
correlation time.

Chapter 10
10.1 The answer to this problem comes from Problem 5.3, where we showed
that the lowest energy state of such a system is one in which the up- and
down-pointing spins form two bands stretching across the system, with two
straight domain walls dividing them. For a phase-separating system, the
final state after running the simulation for a long time will be just such a
state. At finite temperature the domain walls will usually not be straight
and will fluctuate in position, but the overall geometry of the state will be
as described in Problem 5.3.
10.2 The probability of choosing spin i as our first spin is proportional
to (z — ni)exp(-4/3n,). Spin i has z — ni anti-aligned neighbours, so the
probability of choosing a particular neighbour j out of these is l / ( z — n i ) . The
total probability of picking the pair i,j is thus proportional to exp(—4bni).
The same pair of spins could also have been picked in the opposite order,
starting with spin j. The probability of this happening is proportional to
exp(—4bnj). Thus the total probability of picking the pair i, j is proportional
to exp(—4bni) + exp(-4bnj), as desired.

Chapter 11
11.1 The ratio of the rates for the exchange and hopping processes is
10e -bAB . Since the exchange process moves atoms v/2 times as far as the
hopping process, the diffusion constants for the two processes will be equal
when this ratio is 1/2 (because the diffusion constant is proportional to the
mean square distance moved by an atom in a given time). Plugging in the
value of AB, this means that the exchange process dominates for tempera-
tures above about 770 K. This is below the melting point of copper, but still
sufficiently far above typical laboratory temperatures that we don't usually
have to worry about it.
11.2 As pointed out in Section 11.2.2, the time taken per Monte Carlo
step increases logarithmically with the number of possible moves. Since the
number of moves scales on average as the number of sites on the lattice, each
428 Appendix A: Answers to problems

move will take about a factor Iog2502/logl002 = 1.20 longer on the larger
system. The total number of Monte Carlo steps we have to perform in order
to simulate a given interval of real time increases linearly with the number of
lattice sites, so that we have to perform about a factor of 2502/1002 = 6.25
more steps in the larger simulation. Overall, therefore, the simulation will
take about 7.5 times as much CPU time on the larger lattice, or 7.5 hours
in this case.

Chapter 12
12.1 The simplest expression which gives v in terms of only one combination
of the independent variables N and E is

12.2 (a) Since the chain is not allowed to move transversely to its own length
its only mode of translation is the longitudinal reptation mode, (b) For a
chain of N reptons there are N - 2 adjacent pairs of links and two end
links giving a total of N overall. In two dimensions each one can move
to three other positions, so the total number of possible moves is 3N. As
in the repton model, each move should be attempted once per unit time,
so the appropriate time increment is At = 1 / ( 3 N ) per move. (c) The six
possible moves of the first and last links on the chain are always allowed.
The probability of two adjacent links in the interior of the chain being anti-
parallel is1/4,and each such anti-parallel pair has three possible moves. Thus
the average number of allowed moves in the chain is 6 + 3/4(N — 2) =9/2+3/4N.
The average probability of a move being allowed is the ratio of allowed moves
to total moves or(9/2+3/4N)/(3N)= (N + 6)/(4N).

Chapter 13
13.1 (a) On the square lattice the disks cover 1/4TT ~ 78.5% of the space.
(b) On the triangular lattice they cover P/(2-\/3) — 90.7%. The triangular
packing is the most dense packing of circles in two-space, which is the main
reason why the triangular lattice crops up so often in physical systems.
13.2 Before we stretch the lattice, the neighbours of the point (h, k, l) are
(h ± 1, k ± 1,l ± 1), all located at a distance of \/3. After stretching, these
neighbours are located at a distance of 2. In addition the sites (h ± 2, k, l)
and (h, k ± 2, l) are now also located at the same distance from our point,
so that the lattice has become 12-fold coordinated. Since it is still a Bravais
lattice, it must be the fee lattice, which is the only 12-fold coordinated such
lattice.
Appendix A: Answers to problems 429

13.3 This can be accomplished quite easily by keeping a record at each

node of the number of values stored in the leaves below that node. Then we
can choose a random leaf as follows. Starting at the root node we examine
its first child node. Suppose this child has n1 values stored in leaves below
it. If r < n1 we proceed to the child. Otherwise we subtract n1 from r and
proceed to the other child. We repeat this process all the way down the
tree until we come to a leaf. Since at each node we have chosen a child in
proportion to the number of leaves below it, every leaf has exactly the same
chance as every other of being chosen.
13.4 Let us write the average number of levels of the tree which we have
to search through as a Iog2 N. The first level takes us one unit of time to
search through. At the second level we have a probability of | that the
remaining subtree below us contains 2/3N values, and1/3that it contains 1/3N
values. Thus the average total number of levels we have to search through
can also be written as 1 +2/3alog2(2/3N)+ 1/3alog 2 (1/3N). Equating this with
our first expression and solving for the multiplicative prefactor a, we find
a = [log2(3) — 2/3] — 1.09. In other words, the tree can be quite badly
unbalanced and the search is still almost as fast is it is in the balanced tree.

Chapter 14
14.1 (a) Yes, it is possible. If we tilt the lines separating the domains 30°
away from the vertical, fixing the spins (1/2i, i mod 22) for all 0 < i < 66,
the lattice forms a single strip which wraps three times around the peri-
odic boundary conditions. Cutting this strip into six equal pieces, each cut
requiring us to fix an additional six spins, we achieve our goal. The total
number of fixed spins is 66 + 36 = 102. (b) The most economical way of
dividing up the lattice is to fix spins along lines set at 45° to the vertical. If
we fix the set of spins (i, i) and (i, L — i — 1) for all 0 < i < L, and another set
exactly the same but translated by1/2Lhorizontally (with periodic boundary
conditions), then we can divide an L x L lattice into eight equal domains.
Each line fixes L spins, but 8 spins are shared between lines, so the total
number of fixed spins is 4L — 8. For L = 252 this gives us our 1000 fixed
spins. Thus we can divide a 252 x 252 lattice into eight domains by fixing
1000 spins. (If you can find a larger lattice which can be divided with this
many fixed spins, we want to hear about it.)
14.2 No. The spins located at the points where the two sets of boundaries
cross belong to both sets and hence will never get changed. We must use at
least three different sets of boundaries to achieve ergodicity.
14.3 The volume V of the region covered by each processor scales as n-1,
where n is the number of processors used. On average the values of about half
430 Appendix A: Answers to problems

of the spins on the lattice have to be transmitted every time the boundaries
are shifted, so each processor will have to send and receive a number of values
which also scales as n-1. The amount of CPU time spent simulating each
region for one correlation time scales as Ld+z (see Equation (4.8)) where
L ~ V1/d is the linear dimension of the region. Thus the CPU time scales
with the number of processors as n - 1 - z / d . The ratio of communication
time to calculation time therefore scales as n - 1 / n - 1 - z / d = n z / d . For the
alternative algorithm we have to transmit a message every time we change
a spin on the boundary of a region. The boundaries cover a fraction of the
system which scales as L-1. Using the relations given above this means that
the fraction of time spent on communication goes as n 1/d . This implies that
the second algorithm will, at least in theory, have superior performance if we
use a sufficiently large number of processors provided the dynamic exponent
z is greater than one. Since z ~ 2 for the Metropolis algorithm, does this
mean that we should be using the second algorithm? No, we should not,
for a number of reasons. First there are the practical reasons to do with
the synchronization of the different processors given at the beginning of
Section 14.2.1. In addition however, the calculations above do not really give
the whole picture, since they assume that the time spent on communication
is proportional to the amount of data to be communicated. In practice, the
time spent usually does increase linearly with the amount of data, but it
also has an offset—an extra time penalty associated with transmitting any
message, no matter how small—whose size is independent of the amount of
data. Depending on the type of parallel computer used for the computation,
this offset can range from the negligible to being much greater than the linear
term. For some computers therefore, the scaling arguments above may be
completely irrelevant (although for some they are not).

Chapter 15
15.1 (a) Writing the occupation variables of the two sites after the move as
s\ and s'j, the truth table is

s / /
Si i
0 0 0 0
0 1 1 0
1 0 0 1
1 1 1 1
Thus the master expressions are s^ = Sj and s'j =
Appendix A: Answers to problems 431

(b) The values of s£ and s'j now depend on r as well as si and . The
full truth table is
/ /
Si Sj r
0 0 0 0 0
0 0 1 0 0
0 1 0 1 0
0 1 1 1 0
1 0 0 1 0
1 0 1 0 1
1 1 0 1 1
1 1 1 1 1
Suitable master expressions are

15.2 (a) The truth table for h is

Ui Ui uj uj u
0 0 0 0 0
0 0 0 1 0
0 0 1 0 0
0 0 1 1 1
0 1 0 0 0
0 1 0 1 0
0 1 1 0 1
0 1 1 1 0
1 0 0 0 0
1 0 0 1 1
1 0 1 0 0
1 0 1 1 0
1 1 0 0 1
1 1 0 1 0
1 1 1 0 0
1 1 1 1 0
Using the additive normal form introduced in Section 15.3 we can then write
h as

A much simpler expression for the same quantity which makes use of the
XOR operation is
432 Appendix A: Answers to problems

Note however, that there is no easy way of finding this simplification us-
ing a Karnaugh map. Karnaugh maps never generate Boolean expressions
containing the XOR operation.
(b) Appropriate master expressions for the interior moves are

where r0 and r1 are random bits which are one with probability 1/2.

Chapter 16
16.1 It is simple to show that

and hence that

Iterating the same argument we can then derive the skip formula

16.2 The position in the array at which we store the number i depends only
on the value of i itself, so that each time a particular value is generated it is
stored in the same position. Thus, after the generator has been running for
a while, the number pulled out of the array for a particular value of i will
also be the same every time we generate that value of i. Hence the period
of this generator will be the same as that of the original linear congruential
generator, which makes this a poor shuffling scheme.
16.3 Using the transformation method, the number x should be generated
every time our uniform random number generator produces a number

Rearranging for x this gives us

Note that, as with Equation (16.31), we should keep the 1 - r here. We

cannot get rid of the subtraction because if we did we would end up trying
to calculate the logarithm of zero every so often, which would probably cause
our program to crash.
B
Sample programs

In this appendix we give a number of examples of computer programs which

implement algorithms described in this book. We have not attempted to
give programs for all the algorithms discussed—there are too many of them.
Neither have we given whole programs. Most of the repetitive details such as
creating variables and initializing them, seeding random number generators
and printing out results have been omitted. What remains is the kernel
of code which makes the Monte Carlo algorithm run. By studying these
programs you may get an idea of some of the tricks which can be used to
make a Monte Carlo simulation fast.
The programs here are written in C. Many of them call a function
drandom () which returns a random double-precision floating point number
in the range 0 < r < 1. Three different possible forms for this function are
given in Section B.5.

B.1 Algorithms for the Ising model

In this section we give three different algorithms for simulating the ordinary
Ising model introduced in Section 1.2.2 on a square lattice in two dimensions.

B.1.1 Metropolis algorithm

Here we give two functions which implement the single-spin-flip Metropo-
lis algorithm of Section 3.1 for the Ising model with J = 1. The first,
initialize(), sets up a lookup table of the possible values of the accep-
tance ratio exp(—bAE). The second, sweep (), performs one "sweep" of
the lattice, i.e., one Monte Carlo step per spin, using the Metropolis algo-
rithm. The program makes use of helical boundary conditions for speed (see
Section 13.1.1).
434 Appendix B: Sample programs

/* beta = inverse temperature

* prob[] = array of acceptance probabilities
* s[] = lattice of spins with helical boundary conditions
* L = constant edge length of lattice
*/

#include <math.h>

#define N (L*L)
#define XNN 1
#define YNN L

int s [N] ;
double prob[5] ;
double beta;

void initialize ()
{
int i ;
for (i=2; i<5; i+=2) prob[i] = exp(-2*beta*i) ;

void sweep()
{
int i , k ;
int nn, sum, delta;

for (k=0; k<N; k++) {

/* Choose a site */

i = N*drandom() ;

/* Calculate the sum of the neighbouring spins */

if ((nn=i+XNN)>=N) nn -= N;
sum = s [nn] ;
if ((nn=i-XNN)<0) nn += N;
sum += s [nn] ;
if ((nn=i+YNN)>=N) nn -= N;
sum += s [nn] ;
if ((nn=i-YNN)<0) nn += N;
sum += s [nn] ;
B.1 Algorithms for the Ising model 435

/* Calculate the change in energy */

delta = sum*s[i];

/* Decide whether to flip spin */

if (delta<=0) {
s[i] = -s[i];
} else if (drandom()<prob[delta]) {
s[i] = -s[i];
}

}
}

B.1.2 Multispin-coded Metropolis algorithm

The following function performs one sweep of the lattice using the multispin-
coded version of the Metropolis algorithm described in Section 15.1.2. The
random bit patterns needed by the algorithm are generated using Equa-
tion (16.47) with p1 = 0 and p2 =1/2.In addition to the random floating-point
function drandom(), this program also calls a function Irandom() which re-
turns a random unsigned long integer. One possible implementation of this
function is given in Section B.5.3.
/* pO = exp(-8*beta*J)
* p1 = (exp(-4*beta*J) - pO)/(l - pO)
* s[] = lattice of spins with helical boundary conditions
* L = constant edge length of lattice
*/

#define N (L*L)
#define XNN 1
#define YNN L
#define ZERO 0x00000000

unsigned long s [N] ;

double pO.pl;

sweep ()
{
int i,k;
int n1 , n2 , n3 , n4;
436 Appendix B: Sample programs

unsigned long spin;

unsigned long a1,a2,a3,a4;
unsigned long R1,R2;
unsigned long rO,r1;

for (k=0; k<N; k++) {

/* Choose a spin and find its four neighbours */

i = N*drandom();
spin = s[i];

if ((n1=i+XNN)>=N) n1 -= N;
if ((n2=i-XNN)<0) n2 += N;
if ((n3=i+YNN)>=N) n3 -= N;
if ((n4=i-YNN)<0) n4 += N;

/* Calculate the quantities a1 to a4 */

a1 = spin's[n1];
a2 = spin~s[n2];
a3 = spin~s[n3];
a4 = spin"s[n4] ;

/* Now calculate R1 and R2 */

R1 = al|a2|a3|a4;
R2 = ((al|a2)&(a3|a4))|((a1&a2)|(a3&a4));

/* Generate the random bit patterns */

if (drandom()<2*pO) rO = Irandom();
else rO = ZERO;
if (drandom()<2*p1) r1 = Irandom();
else r1 = ZERO;

/* Update the spin */

s[i] ~= R2|(R1&r1)|rO;
>
}
B.1 Algorithms for the Ising model 437

B.1.3 Wolff algorithm

Here we give a function to perform one Monte Carlo step of the Wolff clus-
ter algorithm (Section 4.2) for the two-dimensional Ising model. See Sec-
tion 13.2.5 for a description of how this program works. In this implemen-
tation we use a LIFO buffer or stack to hold the spins in the cluster.

/* padd = 1 - exp(-2*beta*J)
* s[] = lattice of spins with helical boundary conditions
* L = constant edge length of lattice
*/

#define N (L*L)
#define XNN 1
#define YNN L

int s [N] ;
double padd;

void step()
{
int i;
int sp;
int oldspin,newspin;
int current, nn;
int stack[N];

/* Choose the seed spin for the cluster,

* put it on the stack, and flip it
*/

i = N*drandom();

stack[0] = i;
sp = 1;
oldspin = s[i];
newspin = -s [i];
s[i] = newspin;

while (sp) {

/* Pull a site off the stack */

current = stack[—sp];
438 Appendix B: Sample programs

/* Check the neighbours */

if ((nn=current+XNN)>=N) nn -= N;
if (s[nn]==oldspin)
if (drandom( )<padd) {
stack[sp++] = nn;
s[nn] = newspin;
}

if ((nn=current-XNN)<0) nn += N;
if (s[nn]==oldspin)
if (drandom( )<padd) {
stack[sp++] = nn;
s[nn] = newspin;
}

if ((nn=current+YNN)>=N) nn -= N;
if (s[nn]==oldspin)
if (drandom( )<padd) {
stack [sp+-i-] = nn;
s[nn] = newspin;
}

if ((nn=current-YNN)<0) nn += N;
if (s[nn]==oldspin)
if (drandom( )<padd) {
stack[sp++] = nn;
s[nn] = newspin;
}

}
}

B.2 Algorithms for the COP Ising model

In this section we give two algorithms for the conserved-order-parameter
(COP) Ising model of Chapter 5 on a square lattice in two dimensions.

B.2.1 Non-local algorithm

Here we give two functions to implement the non-local algorithm described
in Section 5.2 with J = 1. The first, initialize( ), creates a lookup table of
B.2 Algorithms for the COP Ising model 439

acceptance probabilities, just as in the Metropolis program of Section B.1.1.

The second, sweep (), does the actual simulation. Before we use these func-
tions, we also need to set up the arrays up[] and down[] with the initial
coordinates of all the up- and down-pointing spins on the lattice respectively,
and set the global variables nup and ndown equal to the number of elements
in each of these arrays.
/* beta = inverse temperature
* prob[] = array of acceptance probabilities
* s[] = lattice of spins with helical boundary conditions
* up[] = list of up-pointing spins
* down[] = list of down-pointing spins
* nup = number of up-pointing spins
* ndown = number of down-pointing spins
* L = constant edge length of lattice
*/

#include <math.h>

#define N (L*L)
#define XNN 1
#define YNN L

int s [N] ;
int up[N],down[N];
int nup,ndown;
double prob[17];
double beta;

void initialize()
{
int i;
for (i=0; i<17; i++) prob[i] = exp(-beta*i);
}

void sweep()
{.
int i;
int delta;
int iup , idown ;
int xup,xdown;
int upnn1 , upnn2, upnn3, upnn4;
int downnn1, downnn2, downnn3, downnn4;
int term1,term2;
440 Appendix B: Sample programs

for (i=0; i<N; i++) {

/* Choose a pair of spins */

iup = nup*drandom();
idown = ndown*drandom();

xup = up[iup];
xdown = down[idown];

/* Calculate their nearest neighbours */

if ((upnnl=xup+XNN)>=N) upnnl -= N;
if ((upnn2=xup-XNN)<0) upnn2 += N;
if ((upnn3=xup+YNN)>=N) upnn3 -= N;
if ((upnn4=xup-YNN)<0) upnn4 += N;

if ((downnn1=xdown+XNN)>=N) downnn1 -= N;
if ((downnn2=xdown-XNN)<0) downnn2 += N;
if ((downnn3=xdown+YNN)>=N) downnn3 -= N;
if ((downnn4=xdown-YNN)<0) downnn4 += N;

/* Calculate the local energies before swapping */

term1 = s[upnnl]+s[upnn2]+s[upnn3]+s[upnn4];
term2 = -s[downnn1]-s[downnn2]-s[downnn3]-s[downnn4];

/* Swap the spins over */

s[xup] = -1;
s[xdown] = +1;

/* Calculate the difference in the local energies after */

term1 -= -s[upnnl]-s[upnn2]-s[upnn3]-s[upnn4];
term2 -= s[downnn1]+s[downnn2]+s[downnn3]+s[downnn4];

/* Calculate total change in energy */

delta = term1 + term2;

/* Accept or reject the move */

B.2 Algorithms for the COP Ising model 441

if (delta<=0) {
up[iup] = xdown;
down[idown] = xup;
} else if (drandom()<prob[delta]) {
up[iup] = xdown;
down[idown] = xup;
} else {
s[xup] = +1;
s[xdown] = -1;
>
}
}

B.2.2 Continuous time algorithm

The following functions perform one sweep of the lattice using the continuous
time algorithm described in Section 5.2.1. In this algorithm the spins on the
lattice are stored in several different lists, divided according to whether they
are pointing up or down and the value of their spin coordination number,
Equation (5.16). We also maintain two arrays which tell us in which list
each spin appears and where, so that we can find it quickly. For convenience
we have split the code into three functions. The function sweep() actually
carries out the simulation. It is aided by spincoord(), which returns the
spin coordination number of a given spin, and by update(), which updates
the entries in the lists for the neighbours of spins which are flipped. Notice
that in order to avoid having any gaps in our lists, we move the last spin in
a list to fill the space left when we delete a spin.
/* s[] = lattice of spins with helical boundary conditions
* coord[] = spin coordination of each spin on the lattice
* up[][] = lists of all up spins by coordination number
* nup[] = number of spins in each of these lists
* down[] = lists of all down spins by coordination number
* ndown[] = number of spins in each of these lists
* loc[] = location in relevant list of each spin on lattice
* time = real time variable
* prob[] = lookup table of values of exp(-2*beta*J*n)
*/

#define N (L*L)
#define XNN 1
#define YNN L
442 Appendix B: Sample programs

int s [N] ;
int coord [N] ;
int loc [N] ;
int nup[5] ,ndown[5] ;
int up [5] [N] , down [5] [N] ;
double time;
double prob [5] ;

void sweep ()
{
int i , j ;
int cl,c2;
int 11,12;
int xl,x2;
int nn;
double rd,sum;
double sumup , sumdown ;

for (i=0; i<N; i

/* Calculate the sums */

sumup = sumdown = 0.0;

for (j=0; j<5; j++) {
sumup += nup[j]*prob[j] ;
sumdown += ndown[j]*prob[j] ;
}

/* Update the time variable */

time += 1 .0/(sumup*sumdown) ;

/* Choose the spins */

rd = sumup*drandom() ;
for (cl=0,sum=0.0; cl<5; cl++) {
sum += nup[c1]*prob[cl] ;
if (sum>rd) break;
}
11 = nup[c1]*drandom() ;
x1 = up [c1][11];

rd = sumdown*drandom( ) ;
B.2 Algorithms for the COP Ising model 443

for (c2=0,sum=0.0; c2<5; c2++) {

sum += ndown [c2] *prob [c2] ;
if (sum>rd) break;
}
12 = ndown [c2] *drandom ( ) ;
x2 = down[c2] [12] ;

/* Exchange their values */

8 Del] = -1;
s[x2] = +1;

/* Update the entries in the lists for the two spins */

up[cl][11] = up[c1][—nup[cl]];
loc [up [c1][11]] = 11;
coord[xl] = c1 = spincoord(xl);
loc[x1] = ndown.[c1] ;
down[c1] [ndown[c1]++] = x1;

down[c2] [12] = down[c2] [—ndown[c2]] ;

loc[down[c2][12]] = 1 2 ;
coord[x2] = c2 = spincoord(x2);
loc [x2] = nup [c2] ;
up[c2] [nup[c2]++] = x2;

/* Now do the same for each of the eight nearest

* neighbours of the spins which have been exchanged
*/

if ((nn=xl+XNN)>=N) nn -= N;
update(nn);
if ((nn=x1-XNN)<0) nn += N;
update(nn);
if ((nn=xl+YNN)>=N) nn -= N;
update(nn);
if ((nn=x1-YNN)<0) nn += N;
update(nn);

if ((nn=x2+XNN)>=N) nn -= N;
update(nn);
if ((nn=x2-XNN)<0) nn += N;
update(nn);
444 Appendix B: Sample programs

if ((nn=x2+YNN)>=N) nn -= N;
update(nn);
if ((nn=x2-YNN)<0) nn += N;
update(nn);

}
}

int spincoord(int spin)

{
int nn1 ,nn2 ,nn3 ,nn4;

/* Find the four neighbours of the spin */

if ((nn1=spin+XNN)>=N) nn1 -= N;
if ((nn2=spin-XNN)<0) nn2 += N;
if ((nn3=spin+YNN)>=N) nn3 -= N;
if ((nn4=spin-YNN)<0) nn4 += N;

return (s[spin]*(s[nn1]+s[nn2]+s[nn3]+s[nn4])+4)/2;
}

void update(int spin)

{
int c, 1;

c = coord[spin] ;
1 = loc [spin];

if (s[spin]==+l) {
up[c][1] =up[c][—nup[c]];
loc[up[c][l]] = 1;
coord[spin] = c = spincoord(spin);
loc[spin] = nup[c];
up[c] [nup [c] ++] = spin;
} else {
down[c] [1] = down[c] [—ndown[c]];
loc [down[c] [1]] = 1;
coord[spin] = c = spincoord(spin);
loc[spin] = ndown[c];
down[c][ndown[c]++] = spin;
}
}
B.3 Algorithms for Potts models 445

B.3 Algorithms for Potts models

Here we give a function which implements the heat-bath algorithm for high-
q Potts models on a square lattice in two dimensions. As in previous al-
gorithms, the function makes use of a lookup table prob [] of the values of
the exponentials needed by the algorithm. Note also the section in which
the variable states is calculated. This variable holds the number of differ-
ent states of the nearest neighbours of the selected spin. (For example, if
all the nearest neighbours of the selected spin are the same, this variable
should be 1, because there is only one nearest-neighbour spin state.) The
code which calculates this number involves some trickery; you may like to
take a moment to understand how it works.

/* prob[] = array of acceptance probabilities

* s[] = lattice of spins with helical boundary conditions
* L = constant edge length of lattice
*/

#define N (L*L)
#define XNN 1
#define YNN L

int s [N] ;
double prob[5];

void sweep( )
{
int i ,n;
int states;
int nright,nleft,nup,ndown;
int sright,sleft,sup,sdown;
int zright,zleft,zup,zdown;
double bright,bleft,bup,bdown;
double sum,rn;

for (n=0; n<N; n++) {

/* Choose a spin at random */

i = N*drandom();

/* Find the neighbouring spins */

if ((nright=i+XNN)>=N) nright -= N;
446 Appendix B: Sample programs

if ((nleft=i-XNN)<0) nleft += N;
if ((nup=i+YNN)>=N) nup -= N;
if ((ndown=i-YNN)<0) ndown += N;

sright = s[nright];
sleft = s[nleft];
sup = s [nup];
sdown = s[ndown];

/* Calculate the number of nearest-neighbour states */

zright = zleft = zup = zdown = 1;

if (sright==sleft) zright++, zleft++;
if (sup==sdown) zup++, zdown++;
if (sright==sup) zright++, zup++;
if (sup==sleft) zup++, zleft++;
if (sleft==sdown) zleft++, zdown++;
if (sdown==sright) zdown++, zright++;

states = ((zup+zdown)*zright*zleft +
(zright+zleft)*zup*zdown)/
(zup*zdown*zleft*zright);

/* Calculate the weights for moves which set the spin

* equal to one of its nearest neighbours
*/

bright = prob[zright]/zright;
bleft = prob[zleft]/zleft;
bup = prob[zup]/zup;
bdown = prob[zdown]/zdown;

/* Choose the new state for the spin using the heat-bath
* algorithm
*/

sum = bright + bleft + bup + bdown;

rn = (sum+q-states)*drandom();

/* Find which state this corresponds to. Check first to

* see if it's one of the states which is aligned with a
* nearest-neighbour spin
*/
B.3 Algorithms for Potts models 447

if (rn<bright) {
s[i] = sright;
} else {
rn -= bright;
if (rn<bleft) {
s [i] = sleft;
} else {
rn -= bleft;
if (rn<bup) {
s[i] = sup;
} else {
rn -= bup;
if (rn<bdown) {
s[i] = sdown;
} else {
rn -= bdown;

/* If not, it must be a non-aligned state */

do {
if (sright<=rn) {
rn += 1.0/zright;
sright = q;
continue;
}
if (sleft<=rn) {
rn += 1.0/zleft;
sleft = q;
continue;
}
if (sup<=rn) {
rn += 1.0/zup;
sup = q;
continue;
}
if (sdown<=rn) {
rn += 1.0/zdown;
sdown = q;
continue;
}
break;
} while (TRUE);
448 Appendix B: Sample programs

s[i] = rn;
>
}
}
>
}
}

B.4 Algorithms for ice models

Here we give a function which performs one step of the short loop Monte
Carlo algorithm for the square ice model. The square ice model is described
in Section 7.1.2. The short loop algorithm is described in Section 7.3. The
program works by tilting the square lattice by 45°, so that the bonds fall
on a square lattice themselves, and storing this lattice in the elements of
an ordinary array using helical boundary conditions. The system is then
a checkerboard of bonds which go upward to the left and bonds which go
upward to the right. For helical boundary conditions this means that the
dimensions of the lattice should be of the form L x (L + 1) so that everything
fits together properly.
=
/* arrow [] direction of the arrows
* step[] = sequence of arrows in this move
* lasttime[] = last move in which this arrow was changed
* iter = number of this Monte Carlo step
* L = edge length of lattice (must be odd)
* LU, LD, RU, RD = possible directions of arrows (left-up,
* left-down, right -up, right-down)
*/

#define N (L*(L+1))
#define XNN 1
#define YNN L
#define LU 2
#define RD (-LU)
#define RU 3
#define LD (-RU)

int arrow [N] ;

int step[N] ;
int lasttime[N];
int iter;
B.4 Algorithms for ice models 449

move()
{
int i;
int first,curr;
int currarrow;
int nc,cand;
int clist[2];
int len=0,noloop=l;

/* Choose the first arrow */

first = N*random();
lasttime[first] = iter;
step[len++] = curr = first;
currarrow = arrow[curr] ;

/* Generate the loop */

do {

/* Find candidate arrows for next step of loop */

nc = 0;
switch (currarrow) {

case LU:
if ((cand=curr-XNN)<0) cand += N;
if (arrow[cand]==LD) clist[nc++] = cand;
if ((cand=curr-XNN-YNN)<0) cand += N;
if (arrow[cand]==LU) clist[nc++] = cand;
if ((cand=curr-YNN)<0) cand += N;
if (arrow[cand]==RU) clist[nc++] = cand;
break;

case LD:
if ((cand=curr-XNN)<0) cand += N;
if (arrow[cand]==LU) clist[nc++] = cand;
if ((cand=curr-XNN+YNN)>=N) cand -= N;
if (arrow[cand]==LD) clist[nc++] = cand;
if ((cand=curr+YNN)>=N) cand -= N;
if (arrow[cand]==RD) clist[nc++] = cand;
break;
450 Appendix B: Sample programs

case RU:
if ((cand=curr+XNN)>=N) cand -= N;
if (arrow[cand]==RD) clist[nc++] = cand;
if ((cand=curr+XNN-YNN)<0) cand += N;
if (arrow[cand]==RU) clist[nc++] = cand;
if ((cand=curr-YNN)<0) cand += N;
if (arrow [cand]==LU) clist [nc++] = cand;
break;

case RD:
if ((cand=curr+XNN)>=N) cand -= N;
if (arrow[cand]==RU) clist [nc++] = cand;
if ((cand=curr+XNN+YNN)>=N) cand -= N;
if (arrow [cand]==RD) clist [nc++] = cand;
if ((cand=curr+YNN)>=N) cand -= N;
if (arrow [cand] ==LD) clist [nc++] = cand;
break;

/* Check to see if we have returned to a previous site */

if (lasttime[clist[0]]==iter) {
step[len++] = clist[0];
noloop = 0;
} else if (lasttime[clist[l]]==iter) {
step[len++] = clist[l];
noloop = 0;
} else {

/* If not, choose randomly between the two candidates */

if (random()<0.5) curr = clist[0];

else curr = clist[1];
lasttime[curr] = iter;
step[len++] = curr;
currarrow = arrow[curr];

} while (noloop) ;
B.5 Random number generators 451

/* Follow the path up to the loop and then reverse all the
* arrows in it
*/

for (i=0; step[i]!=step[len-1]; i++);

for ( ; i<len-1; i++) arrow[step[i]] *= -1;
}

B.5 Random number generators

In this section we give code to implement three of the random number gener-
ators discussed in Section 16.1. Each of these generates random long integers
and then multiplies by a conversion factor to give a random double-precision
floating-point number in the range 0 < r < 1. It is a simple matter to remove
the conversion if we want instead to return the random integers themselves
for use in, for example, multispin coding (see Chapter 15).

B.5.1 Linear congruential generator

This function generates a random number using the linear congruential gen-
erator of Lewis et al. (1969), implemented using the modulus trick given by
Schrage (1979) to prevent integer overflows in 32 bits (see Section 16.1.3).
The global variable i should be seeded with a non-zero long integer before
the generator is used for the first time.

#define a 16807
#define m 2147483647
#define q 127773
#define r 2836
#define conv (1.0/(m-1))

long i;

double drandom()
{
long 1;

1 = i/q;
i = a*(i-q*l) - r*l;
if (i<0) i += m;

return conv*(i-1);
>
452 Appendix B: Sample programs

B.5.2 Shuffled linear congruential generator

This next function uses the same linear congruential generator as the previ-
ous example, but employs the shuffling scheme of Bays and Durham (1976)
which we described in Section 16.1.4 to improve the quality of the numbers
generated and increase the repeat period of the generator. Again, the global
variable i should be seeded with a non-zero long integer before the generator
is used for the first time, and in addition we also need to seed the shuffling
array j [] and the variable y with random long integers, which we could do,
for example, using the basic linear congruential generator of Section B.5.1.

#include <math.h>

#define a 16807
#define m 2147483647
#define q 127773
#define r 2836
#define conv (1.0/(m-1))

#define N 64

long i;
long y;
long j [N];

double drandom()
{
long 1;
long k;

1 = i/q;
i = a*(i-q*l) - r*1;
if (i<0) i += m;

k = floor((double) y*N/m);
y = j[k];
j[k] = i;
return conv*(y-1);
>

B.5.3 Lagged Fibonacci generator

The following three functions implement the additive lagged Fibonacci gen-
erator of Mitchell and Moore (unpublished), as described by Knuth (1981)
B.5 Random number generators 453

and discussed in Section 16.1.6. The first function, seed(), takes a single
unsigned long integer as a seed and seeds the array used by the generator
with a simple linear congruential generator. The second, drandom(), is the
generator itself. As you can see, the code for the generator is very brief,
which makes it a particularly fast way of generating random numbers. The
third function, Irandom(), is a version of the same generator to generate
random 32-bit integers which could be used, for example, in multispin cod-
ing applications, such as the Ising model algorithm given in Section B.1.2. In
fact, the exact same generator could equally well be used to generate 64-bit
integers on a computer which had 64-bit words. Only the conversion factor
conv2 would have to be changed and the seeding routine would have to be
modified to initialize the array ia[] with 64-bit integers.
#define a 2416
#define c 374441
#define m 1771875
#define conv1 2423.9674
#define conv2 (1/4294967296.0)

unsigned long ia[55];

long p,pp;

void seed(unsigned long i)

{
int n;

for (n=0; n<55; n++) ia[n] = conv1*(i=(a*i+c)'/,m);

P - 0;
pp = 24;
}

double drandom()
{
if (--p<0) p = 54;
if (--pp<0) pp = 54;
return conv2*(ia[p]+=ia[pp]);
>

long Irandom()
{
if (--p<0) p = 54;
if (--pp<0) pp = 54;
return ia[p]+=ia[pp];
}
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Index

Page numbers in bold denote definitions or principal references.

acceptance ratios 40-42 anti-ferromagnetism 16

entropic sampling 166-167 and helical boundary conditions 335
Metropolis algorithm 47-49, 52, 77, Ising model 16
97, 99 Potts models 193, 209
Niedermayer algorithm 110—111 XY model 128
simulated tempering 170 arrays 345
Wolff algorithm 93-95 Arrhenius law 267, 293-294, 424
adatoms 289-292 asymmetric exclusion process 380,
and COP Ising model 147, 291-292 430-431
binding energy 290-292 asynchronous update algorithms 364-379
dynamics 292-300 attempt frequency 56, 293, 306
exchange 306, 427 autocorrelation functions 59-65
many atoms 296-300 correlation time 60—63, 65
single atoms 293-296 energy 173
energy barriers 267, 292-300 Fourier transform 64-65
atomic structure calculations 298, glassy systems 176
299-300, 304, 306 ice models 197
bond-counting 298, 299-300, Ising model 60-62
301-302, 304-306 magnetization 59-65
Kawasaki-type 296-298, 299-300, measurement 63-65
301-302, 304
look-up tables 298-299, 302-304, backbone, percolating 98-99, 107, 115
306 base pairs 308
hopping rate 293-294, 300 Bays-Durham shuffling scheme 391-392,
islands 147, 292, 304-306 393, 406, 409, 452
Monte Carlo algorithms for 295-304 sample program 452
transient mobility 293-294 bcc (body-centred cubic) lattice 341—342
agarose 308 (001) facets 290
agarose gels 308 boundary conditions 342
concentration 313, 326-327 Bravais lattice 342, 355
pore size 314-315 b (critical exponent) 230
a (critical exponent) 88, 230 finite size scaling 235
finite size scaling 235 measurement 235, 250-251
measurement 235, 251 Monte Carlo renormalization 250-251
Monte Carlo renormalization 251 b (inverse temperature) 8
amorphous substances 153 binary tree 348-352
Anderson, William 25-26 adding items to 350-351
456 Index

binary tree (cont.) face-centred cubic (fcc) 341-342, 428

balancing 351-352 square 338
choosing an item at random 355, 429 triangular 338
in adatom diffusion simulations 303, buffers 352-354
306 and Wolff algorithm 353-355,
in invaded cluster algorithm 117 437-438
nodes 349-350 circular 353, 395
removing items from 351 first in/first out (FIFO) 352-353
root node 349 last in/first out (LIFO) 352
searching 350, 351 queue 352-353
time taken to modify 350-352 stack 352
unbalanced 351-352, 355, 429 Buffon, Comte de 24
binodal 137 Buffon's needle 24-25
bit manipulation functions 364, 369—370 bulk diffusion 283-284
Bjerrum defects 182-183 bulk diffusion algorithm 284-287, 288,
BKL algorithm 42 427
blocking (error estimation method) 69—70,
80-81 C (programming language) 332, 333-334,
blocking (renormalization technique) 344, 348, 369, 387, 394, 420,
433
240-242
C++ (programming language) 344, 369
decimation 242
canonical ensemble 4—5, 6
majority rule 240-242, 247-248, 253
character variables 343
block spins 240-242 circular buffering 353, 395
body-centred cubic (bcc) lattice 341-342 class (data structure) 344-345
(001) facets 290 Clippinger, Richard 28
boundary conditions 342 cluster algorithms 92-93
Bravais lattice 342, 355 and critical slowing down 92
Boltzmann distribution 8 continuous spin models 131
generation 34-40, 46-49 F model 205-209
importance sampling 34—40 Heisenberg model 131
non-Boltzmann sampling 39, 153, ice models 194-196, 200, 205-209
161-163 invaded cluster algorithm 114-119,
Boltzmann, Ludwig 8 232
Boltzmann's constant k 8 Ising model 92-112, 114-119, 132,
Boltzmann weights 8 421-422
bond-counting 298, 299-300, 301-302, limited cluster flip algorithm 354
304-306 Niedermayer algorithm 109-112, 157
Boolean variables 343 on parallel computers 108, 361-362
bootstrap error estimation 71—72, 81 Potts models 125-127, 193
boundary conditions 50, 332—335 random-field Ising model 156—157,
bcc lattice 342 159
cubic lattice 332-335 sample program 437-438
diamond lattice 342 seed spin 92-93, 94, 95, 102-103, 104,
fee lattice 341-342 108
fixed 140 square ice 193-196, 200
helical 50, 333-335 Swendsen-Wang algorithm 106-109,
honeycomb lattice 337, 339-340 127, 151-152, 196, 361-362,
Kagome lattice 338, 339-340 422
periodic 19, 50, 75, 332-335 three-colour models 193-196, 200,
square lattice 49-50, 332-335 205-209
triangular lattice 336-337 Wolff algorithm 92-105, 106, 111,
Bravais lattices 338-339, 341-342 126-127, 131, 132, 196, 207,
body-centred cubic (bcc) 342, 355 265, 353-354, 362, 383,
decoration 338-339 421-422
Index 457

XY model 131 continuous spin models 127—131

clusters 83, 92-93 cluster algorithms 131
in Ising model 83, 84, 87 ground state 129
in Niedermayer algorithm 109-112 Heisenberg model 127-128, 266
in Swendsen—Wang algorithm 106—108 Metropolis algorithm 129-131
in Wolff algorithm 92-93, 96-98, 100, Wolff algorithm 131
102-104 XY model 127-128
percolating 98, 107, 115-117 continuous time Monte Carlo 42—44,
coarsening 270-271 77-78, 265-266, 279-280
complex variables 343 adatom diffusion 295-296, 297,
using class or structure 344-345 301-304
conjugate variables 9—10, 12-13 BKL algorithm 42
connected correlation functions 14—15, COP Ising model 143-145, 280-282,
74-76, 274-276 287, 288, 427
and domain size 274-276 coordination number 47
Fourier transform 75-76, 274, 277 lattice 47, 135, 291, 301
Ising model 18, 274-276 spin 47, 144, 284, 301
measurement 74-76 correlation functions 14—15, 18, 74—76
conserved-order-parameter (COP) Ising connected 14-15, 74-76, 274-276
model 133-138, 268-288 disconnected 14, 76
as a model of adatom diffusion 147, domain size and 274—276
291-292 Fourier transform 75-76, 274, 277
as a model of a gas 133-135 Ising model 18, 274-276
below critical temperature 136—137, many-point 15
150, 268-269, 292, 423 measurement 74-76
bulk diffusion 283-284 periodic boundary conditions 75
bulk diffusion algorithm 284-287, two-point 14-15
288, 427 correlation length 19, 83
continuous time algorithm 143—145, cut-off in finite systems 89—90,
280-282, 287, 288, 427 232-233
domain growth 268-270, 271-273, divergence 19, 83, 84, 87-90, 243, 252,
283-284 255
energy change on exchanging two spins Ising model 19, 83, 84, 87-90
139-140, 144, 423 renormalization 242-243
free parameters 136 correlation time 59, 60
Hamiltonian 134-135, 292 and Markov matrix 66-67
Kawasaki algorithm 138-141, 150, autocorrelation functions 60—63, 65
272-273, 279, 282, 422-423 cut-off in finite systems 89—90
magnetization 135, 136 divergence 79, 85, 87, 88-90
non-local algorithm 141-143, 145, 270 exponential 62-63
phase diagram 137 finite size scaling 89-90, 259, 426-427
phase separation 136-137, 268-269, integrated 62-63, 65
271-273, 278-288 Ising model 60-63, 67, 79, 85, 90,
phase transition 134, 136-137 100-101, 104-105
preferred configuration below Tc 150, long loop algorithm 197-198
423 measurement 59—65, 67
roughening transition 149 Metropolis algorithm 60-63, 67, 79,
sample programs 438-444 85, 90, 101
surface diffusion 283-284 Niedermayer algorithm 112
continuous energy spectra 4, 18, 127—131 scaling equation 259, 426-427
and multiple histogram method 220, short loop algorithm
228 F model 204
and single histogram method 214 square ice 199-200
continuous phase transitions 83, 229 Swendsen-Wang algorithm 107
458 Index

correlation time (cont.) and critical fluctuations 92

Wolff algorithm 100-101, 104 finite size scaling 89-90, 259,
critical exponents 88-89, 230-231 426-427
a (specific heat exponent) 88, 230 F model 209
finite size scaling 235 heat-bath algorithm 264
measurement 235, 251 measurement 89-90, 259, 426-427
Monte Carlo renormalization 251 Metropolis algorithm 90-91, 101,
0 (magnetization exponent) 230 109, 126, 127, 132, 264, 421
finite size scaling 235 multigrid algorithms 114
measurement 235, 250-251 Potts models 126, 127
Monte Carlo renormalization short loop algorithm 204
250-251 single-spin-flip algorithm 132, 421
7 (susceptibility exponent) 88, 230 Swendsen-Wang algorithm
2D Ising model 230-231, 235 108-109
finite size scaling 232-235, Wolff algorithm 101, 102-105,
238-239 109, 127
measurement 232-235, 238-239, critical fixed point 247, 249, 254, 257
251 critical fluctuations 84-85, 87, 92, 426
Monte Carlo renormalization 251 and dynamic exponent 92
random-field Ising model 237, 239 critical opalescence 229
6 (magnetic field exponent) 251 critical phenomena 84, 229
measurement 251—252 critical region 84
Monte Carlo renormalization critical slowing down 79, 85, 88-89
251-252 cluster algorithms 92
finite size scaling 89-90, 232-240 ice models 202
Ising model 88-89, 230-231, 256 Ising model 79, 85, 88-89
three-dimensional 257-258 Metropolis algorithm 79, 85, 90-91
two-dimensional 230-231, 235 Wolff algorithm 92, 101
measurement 89-91, 230-232, critical temperature Tc 19, 82
234-235, 246-252, 255, F model 202, 209
256-258 Ising model 19, 82, 118, 235, 244-246
Monte Carlo renormalization measurement 115, 232, 240
246-252, 255, 256-258 finite size scaling 234-236, 238
v (correlation length exponent) 88, invaded cluster algorithm 115,
230 118, 232
Monte Carlo renormalization
2D Ising model 235, 249
243-246
3D Ising model 257-258 cross-over 231
finite size scaling 234—235,
crystals 289-290, 340-341
238-239
equilibrium shapes 145-150
measurement 234-235, 238-239, lattices 340-341
246-249 surfaces 289-290
Monte Carlo renormalization cubic ice 181
246-249, 257-258 cubic lattice 332-335
random-field Ising model 237, 239 boundary conditions 332-335
number of independent exponents equilibrium crystal shape on 148-149
255-256
random-field Ising model 237, 239 data collapse 235
relations between 250, 252, 256 Ising model 235
o (correlation length exponent) 252 repton model 325—327, 428
Monte Carlo renormalization 252 Data Encryption Standard (DES) 384
universality 88, 229, 254 data structures 343-355
z (dynamic exponent) 88-91 arrays 345
2D Ising model 90-91, 101, buffers 352-354
102-105, 108-109 linked lists 345-348
Index 459

trees 348-352 distributed memory 356-357

variables 343-345 DNA 307-309
decoration 338-339 base pairs 308
6 (critical exponent) 251 electrophoresis 307-309, 323-327
measurement 251-252 ladders 309
Monte Carlo renormalization 251-252 persistence length 314-315
(s-symbol, Kronecker 120, 144, 206 domain decomposition 357-358, 359—362
demixing 268-269, 271-272 domains 92, 268
density of states 128-129, 417 COP Ising model 136, 140, 146,
1D Ising model 178, 424 268-273
entropic sampling 161—165 growth 268-273
logarithm of 165 Ising model 92, 154-155, 270-271
multiple histogram method 220-223 Potts models 121
random-field Ising model 166-167 random-field Ising model 155-156
detailed balance 35, 36-40 size 268-278
adatom hopping 294 domain walls 132, 140-141, 150, 155-158,
and time-reversal symmetry 38-39 269-270, 421, 423, 427
entropic sampling 39, 162, 166-167 diffusion 132, 269-270, 421
heat-bath algorithm 122 energy 146, 150, 155, 269-270, 423
Ising model 47 pinning 156-157
Kawasaki algorithm 138-139 droplets 146-150, 423
long loop algorithm 191 dynamic equilibrium 37
Metropolis algorithm 47 dynamic exponent z 88-91
multigrid algorithms 114 2D Ising model 90-91, 101, 102-105,
Niedermayer algorithm 110 108-109
short loop algorithm 192—193 and critical fluctuations 92
simulated tempering 170-172 finite size scaling 89-90, 259, 426-427
Swendsen-Wang algorithm 107 F model 209
three-colour cluster algorithm 194, heat-bath algorithm 264
206-207 measurement 89-90, 259, 426-427
violation of 37-38, 44 Metropolis algorithm 90-91, 101, 109,
Wolff algorithm 94-95, 126-127 126, 127, 132, 264, 421
diamond lattice 341-342 multigrid algorithms 114
boundary conditions 342 Potts models 126, 127
unit cell 342 short loop algorithm 204
diffusion single-spin-flip algorithm 132, 421
bulk 283-284 Swendsen-Wang algorithm 108—109
COP Ising model 141, 283-284 Wolff algorithm 101, 102-105, 109,
domain walls 132, 269-270, 421 127
neutrons 26, 28-29 dynamics 5, 264-267
polymers 311-312, 323-324 choosing 8, 22, 46-49, 266-267
surface 283-284 dynamic exponent 88-89
diffusion constant energy barriers 159, 267, 292-300
Nernst-Einstein relation 324 equilibration 264
repton model 323-324 glassy 151-153
diffusion limited aggregation 306 local 270-272, 279, 282
disconnected correlation functions 14, 76 non-local 141-145
Fourier transform 76 out of equilibrium 264-267
measurement 76 single-spin-flip 46-47
discrete energy spectra 4 dynamic exponent 132, 421
disjunctive normal form 370—371 entropic sampling with 166
disordered systems 153-159 equilibration 54-55
distributed computers 356-357 heat-bath algorithm 121-125
Monte Carlo simulation on 356-363 Ising model 46-49, 54-55, 124
460 Index

dynamics, single-spin-flip (cont.) Kawasaki-type 296-298, 299-300,

Metropolis algorithm 46-49, 121 301-302, 304
Potts models 121-125 look-up tables 298-299, 302-304,
universality 264, 269 306
dynamic universality classes 264—265, 269 glassy systems 152-154, 155-156,
158, 159
time to cross 177, 267, 293-294,
Eckert, Presper 28-29 423-424
Edwards-Anderson spin glasses 157-158 with entropic sampling 162
experimental realizations 158 with simulated tempering 170, 172
Metropolis algorithm 158 energy basins 152-153, 159-160
simulated tempering 176-177 and symmetry 152-153
eight-vertex models 202, 209, 425 glassy systems 152-153, 159-160
electrophoresis 307-309 Ising model 152
calibration 309 simulated tempering 172-173
de Gennes' model of 327-328, ENIAC electronic computer 27-29
380-381, 428, 431-432 ensemble 4-5, 6
DNA 307-309, 323-327 canonical 4—5, 6
experimental setup 308-309 microcanonical 4-5
failure at high field 324-326 multicanonical 169
Monte Carlo simulation 315-327 entropic sampling 39, 161—169
repton model of 309-315 1D Ising model 178, 424
RNA 307, 314-315 acceptance ratio 166-167
scaling form for velocity 324-327, 428 barrier crossing 162
embarrassingly parallel simulation 358 comparison with simulated tempering
energy 4-5, 8-9 169
autocorrelation function 173 convergence 166, 168
change on exchanging two spins detailed balance 39, 162, 166-167
139-140, 144, 423 implementation 164-166
change on flipping a cluster 94, 110, making measurements in 162—164
127 origin of name 165
change on flipping a spin 46-47, random-field Ising model 166-169
51-52, 58, 419 entropy 9, 73-74
change on reversing a loop 203 ice 183-186
continuous spectra 4, 18, 127—131 measurement 73-74
discrete spectra 4 microcanonical 165
fluctuations 10-11, 17, 84 Potts models 120-121
global minimum 56-57 residual 155, 183-186, 209, 425
internal 9 zero temperature 9, 74, 183
Ising model 30, 51-52, 58-59, 418 equilibration 50-51, 53—57
local minima 56-57, 152-153, 160, 174 below critical temperature 155
measurement 55—56, 58 choice of starting state 50-51
range sampled 4, 11, 33-34, 46, 53-54, dynamics 264
214-215, 217, 424-425, 426 glassy systems 151—153
in entropic sampling 162, 168 invaded cluster algorithm 115-118
RMS fluctuation 11 Ising model 55-57, 78-79, 155
energy barriers 152-154, 177, 267, Kawasaki algorithm 141, 142-143
423-424 Metropolis algorithm 55-57, 78-79
Arrhenius law for 267, 293-294, 424 parallel algorithms 358
for adatom diffusion 267, 292-300 single-spin-flip dynamics 54-55
atomic structure calculations 298, equilibration time 53-57
299-300, 304, 306 dynamics 264
bond-counting 298, 299-300, estimating 55—57
301-302, 304-306 invaded cluster algorithm 117-118
Index 461

Ising model 55-57, 78-79 estimation 68-73, 80-81

Metropolis algorithm 55—57, 78-79 increase near Tc 84-85, 87
equilibrium 7—8, 36 in finite size scaling 236
approach to 53-57, 155-156, 264 in Monte Carlo renormalization
dynamic 37 245-246, 252-254, 258
out-of-equilibrium simulations 263—267 in multiple histogram method 225
simulations 31-44 in single histogram method 212
equilibrium crystal shape (ECS) 145-150 on specific heat 70-72, 81
measurement 147-148 sample-to-sample fluctuations 68,
Monte Carlo simulation 146-150 168-169
on a cubic lattice 148—149 statistical 22, 68-72
on an fcc lattice 149-150 systematic 68, 73
on a square lattice 148 estimators 31-32, 34
on a triangular lattice 148 entropic sampling 161, 162—163
three-dimensional 148-150 histogram method 211-212, 216
two-dimensional 147-148 improved 104, 132, 422
Wulff construction 146 exact solutions 18
equilibrium occupation probabilities 8 1D Ising model 30, 418, 421
ergodicity 35-36 2D Ising model 18-20, 76, 80-81, 137
adatom hopping 294 F model 202, 209
and eigenvalues of Markov matrix 38 repton model 315, 324
continuous spin models 129-130 square ice 185-186
heat-bath algorithm 122 example programs 433-453
Kawasaki algorithm 138 1D Ising model 420
long loop algorithm 189-190 2D Ising model 433-436
Metropolis algorithm 47, 121, 129-130 Bays-Durham shuffling scheme 452
Niedermayer algorithm 109-110
COP Ising model 438-444
short loop algorithm 192 heat-bath algorithm 445-448
simulated tempering 170 Metropolis algorithm 433-436
multispin coding 435—436
single-spin-flip dynamics 47, 121, 122,
Potts model 445-448
129-130
random number generation 435-436,
Swendsen-Wang algorithm 107
451-453
three-colour cluster algorithm
short loop algorithm 448-451
195-196, 206
square ice 448-451
violation at zero temperature 77
Wolff algorithm 437-438
violation in glassy systems 153,
exchange interactions 16
159-160
expectation value 6-7, 8-9, 31-32, 66-67
Wolff algorithm 95, 127
derivative of partition function 22
ergodicity breaking 153, 159—160
fluctuations around 10-15
ERNIE electronic computer 384
many systems interpretation 6-7
error estimation 68-73, 80-81
numerical evaluation 18-20, 31—34
blocking method 69-70, 80-81 time average interpretation 6—7, 10, 33
bootstrap method 71—72, 81 time-dependence 66-67
in finite size scaling 236 extensive variables 13
in Monte Carlo renormalization
245-246, 254, 258 face-centred cubic (fcc) lattice 289,
in multiple histogram method 225 340-342
in single histogram method 212 (001) facets 289, 290
jackknife method 72, 81, 85-86, 419 (111) facets 289-290
resampling 71 boundary conditions 341-342
statistical errors 68—72 Bravais lattice 341-342, 428
systematic errors 73 equilibrium crystal shape on 149-150
error function 400 fast Fourier transform (FFT) 64-65
errors 68-73 fcc site 290
462 Index

Fermi, Enrico 26, 28 structure factor 277

ferromagnetism 16, 129 Frankel, Stanley 28
Ising model 16, 82, 93, 136, 155 free energy 9-10, 12
Potts models 120, 121 derivatives 10, 12
random-field Ising model 155-156 measurement 73
XY model 128, 129 functional decomposition 357-358
Feynman, Richard 26
FIFO buffer 352-353 7 (susceptibility exponent) 88, 230
finite size effects 19-21, 80, 232, 239, 245 2D Ising model 230-231, 235
finite size scaling 21, 89-90, 229-240 finite size scaling 232-235, 238-239
2D Ising model 235 measurement 232-235, 238-239, 251
calculation of a 235 Monte Carlo renormalization 251
calculation of b 235 random-field Ising model 237, 239
calculation of 7 234-235, 238-239 Gaussian error function 400
calculation of v 234-236, 238-239 Gaussian random numbers 399-401
calculation of Tc 234-236, 238 hybrid method 405-406
calculation of z 89-90, 259, 426-427 rejection method 403-404
corrections to scaling 239-240 transformation method 399-401
correlation time 89-90, 259, 426-427 gel, agarose 308
data collapse 235 concentration 313, 326-327
error estimation 236 pore size 314-315
magnetization 235 gel electrophoresis 307-309
random-field Ising model 237, 239 calibration 309
scaling functions 234-238 de Gennes' model of 327-328,
specific heat 235 380-381, 428, 431-432
DNA 307-309, 323-327
susceptibility 232-235, 238-239
experimental setup 308-309
floating-point variables 343-344
failure at high field 324-326
floor function 382
Monte Carlo simulation 315-327
fluctuations 10—15 repton model of 309-315
critical 84-85, 87, 92, 426 RNA 307, 314-315
energy 10-11, 17, 84 scaling form for velocity 324-327, 428
in invaded cluster algorithm 119 generalized feedback shift register
in Ising model 17, 60, 84-85, 92 generators 394
magnetization 17, 84 Gibbs-Boltzmann distribution 8
sample-to-sample 68, 168-169 Gibbs, Willard 8
specific heat 11, 17, 84 glass 153-154
susceptibility 12-13, 17, 84 glass temperature Tg 154, 158
F model 201-202 for Ising spin glass 158
cluster algorithms 205-209 glass transition 154, 158
critical temperature 202, 209 glassy systems 151-154
energy change on reversing a loop 203 autocorrelation functions 176
exact solution 202, 209 energy barriers 152-154, 155-156,
Hamiltonian 202, 205 158, 159
loop algorithms 202-205 energy basins 152-153, 159-160
order parameter 202 ergodicity breaking 153, 159-160
phase transition 201-202, 208-209 glass temperature 154, 158
FORTRAN 332, 333-334, 343, 344, 352, history dependence 160
369, 383, 386, 387, 394 metastable states 152-153, 160
four-fold hollow sites 289, 290, 293 Monte Carlo simulation 159-177
Fourier transforms 64-65 global energy minimum 56-57
fast (FFT) 64-65 Goldstone mode 129
of autocorrelation functions 64—65
of correlation functions 75—76, 274, Hamiltonian 4-5, 12-13
277 COP Ising model 134-135, 292
Index 463

F model 202, 205 spacing of simulations 226, 258,

Heisenberg model 128 426
Ising model 16, 45 systems with continuous energies
Potts model 120 220, 228
XY model 128 single 211-219
Hamiltonian systems 4 error estimation 212
hard-sphere gases 28, 29 extrapolating in many variables
hcp (hexagonal-close-packed) lattice 289 218-219
hcp sites 289-290 fundamental equation 212
heat-bath algorithm 121-122 histograms 213-214, 216
comparison with Metropolis algorithm implementation 217-218
122-125, 264 internal energy 212-213
detailed balance 122 Ising model 212-213, 216
dynamic exponent 264 range of validity 212-216, 258,
ergodicity 122 425-426
implementation 122-123 systems with continuous energies
Ising model 124, 264 214
Potts models 121-125 history dependence 160
sample program 445—448 honeycomb lattice 337-340
Heisenberg model 127-128, 266 boundary conditions 337, 339-340
cluster algorithm 131 on (111) facet of crystal 290
Hamiltonian 128 unit cell 339
Metropolis algorithm 129 hopping rate 293-294, 300
Wolff algorithm 131
helical boundary conditions 50, 333-335 ice 179-186
anti-ferromagnetic models 335 cubic 181
bcc lattice 342 defects 182-183, 188-189, 191-192
comparison with periodic boundary hexagonal 180, 182, 183, 186
conditions 334 hydrogen atoms 180-186
cubic lattice 333-335 ice models 183, 184-185, 186-187,
diamond lattice 342 201-202
fcc lattice 342 ice rules 182-183
honeycomb lattice 337, 339-340 oxygen atoms 180-181
Kagome lattice 338, 339-340 phase diagram 181
Metropolis algorithm 333 phases 180-182
sample programs 433-451 protons 180-186
square lattice 50, 333-335 residual entropy 183-186
triangular lattice 336 exact solution 185—186
Helmholtz free energy 9—10, 12 experimental measurement 183,
derivatives 10, 12 186
measurement 73 Pauling's estimate 183-186, 209,
hexagonal-close-packed (hcp) lattice 289 425
hexagonal ice 180, 182 series expansions for 186
oxygen atoms in 180 ice models 183, 184-185, 186-187, 201-202
residual entropy 183, 186 autocorrelation functions 197
histogram method 211-228 cluster algorithms 193-196, 200,
multiple 219-228 205-209
and simulated tempering 175, 426 comparison of algorithms for 196-200
error estimation 225 eight-vertex models 202, 209, 425
histograms 220-224, 227-228 energetic 201-202
implementation 226-228 cluster algorithms 205-209
internal energy 224-226, 228 loop algorithms 202-205
Ising model 224-225 equivalence to Potts models 193, 209,
iterative solution 224, 226-227 425
464 Index

ice models (cont.) multiple histogram method 224—226,

equivalence to three-colour models 228
186-187 single histogram method 212-213
F model 201-202 RMS fluctuation 11
cluster algorithms 205-209 invaded cluster algorithm 114-119
critical temperature 202, 209 equilibration time 117-118
energy change on reversing a loop fluctuations 119
203 implementation 117
exact solution 202, 209 measurement of critical temperature
Hamiltonian 202, 205 115, 118, 232
loop algorithms 202-205 inverse temperature 8
order parameter 202 ionic defects 183, 188
phase transition 201-202, irrelevant variables 255
208-209 Ising model 15-21, 45
KDP model 201-202 autocorrelation functions 60—62
Monte Carlo algorithms for 202 cluster algorithms 92-112, 114-119,
order parameter 201 132, 421-422
phase transition 201 coarsening 270-271
loop algorithms 188-193, 196-200, conserved-order-parameter (COP)
202-205 Ising model 133-138, 268-288
sample program 448-451 as a model of adatom diffusion
series expansions 186 147, 291-292
six-vertex models 185 as a model of a gas 133—135
square ice 184-185 below critical temperature
cluster algorithms 193-196, 200 136-137, 150, 268-269, 292,
comparison of algorithms for 423
196-200 bulk diffusion 283-284
exact solution 185-186 bulk diffusion algorithm 284-287,
long loop algorithm 188—191, 288, 427
196-198 continuous time algorithm
Monte Carlo algorithms 187-200 143-145, 280-282, 287, 288,
residual entropy 185-186 427
short loop algorithm 191—193, domain growth 268-270, 271-273,
199-200 283-284
three-colour representation energy change on exchanging two
186-187 spins 139-140, 144, 423
three-dimensional equivalent of free parameters 136
209, 425 Hamiltonian 134-135, 292
ice rules 182-183 Kawasaki algorithm 138—141,
importance sampling 29, 33-40 150, 272-273, 279, 282,
Boltzrnann distribution 34-40, 46-49 422-423
non-Boltzmann distributions 39, 153, magnetization 135, 136
161-163 non-local algorithm 141—143, 145,
improved estimators 104, 132, 422 270
infinite temperature state 50, 82 phase diagram 137
integer variables 343 phase separation 136-137,
integrals, Monte Carlo estimation of 23-25 268-269, 271-273, 278-288
integrated correlation time 62-63, 65 phase transition 134, 136-137
intensive variables 13 preferred configuration below Tc
interfaces 140-141, 146 150, 423
internal energy 9 roughening transition 149
fluctuations in 10-11, 17, 84 sample programs 438—444
Ising model 30, 51-52, 58-59, 418 surface diffusion 283-284
measurement 55-56, 58 correlation functions 18, 274-276
Index 465

correlation length 19, 83, 84, 87-90 on a parallel computer 359—361,

correlation time 60-63, 67, 79, 85, 90, 363, 429-430
100-101, 104-105 sample programs 433-436
critical exponents 88-89, 230-231, Monte Carlo renormalization
235, 256, 257-258 244-246, 253, 257-258
critical temperature 19, 82, 118, 235, multigrid algorithms 112-114
244-246 multispin coding 365-369
energy change on flipping a spin Niedermayer algorithm 109-112
46-47, 51-52, 58, 419 one-dimensional 30, 86, 418, 420-421
equilibration 55-57, 78-79, 155 density of states 178, 424
equivalence to q = 2 Potts model 120 entropic sampling 178, 424
exact solution in 1D 30, 418, 421 exact solution 30, 418, 421
exact solution in 2D 18-20, 76, 80-81, internal energy 30, 418
137 Monte Carlo simulation 86,
four-dimensional 109, 259 420-421
ground state 50 multispin coding 365-367
Hamiltonian 16, 45 partition function 418
heat-bath algorithm 124 sample program 420
comparison with Metropolis order parameter 82, 135
algorithm 124-125, 264 out-of-equilibrium simulations 268-288
dynamic exponent 264 parallel simulation 359-362, 363,
histogram method 212-213, 216, 429-430
224-225 Metropolis algorithm 359-361,
infinite temperature state 50, 77, 82 363, 429
Swendsen-Wang algorithm
in magnetic field 16-17, 45, 49, 50,
85, 132, 421-422 361-362
Wolff algorithm 362
internal energy 30, 51-52, 58-59, 418
partition function 16, 418
invaded cluster algorithm 114—119
phase separation in 268-273
magnetic susceptibility 17 phase transition 19, 82—84
divergence 84, 88 random-field 154-157
finite size scaling 235 critical exponents 237, 239
improved estimators 104, 132, 422 entropic sampling 166-169
in Swendsen—Wang algorithm 132, experimental realizations 158
422 finite size scaling 237, 239
in Wolff algorithm 102-104 sample programs 420, 433-438
measurement 59, 104, 132, 422 specific heat 17, 19-20, 59, 80-81
magnetization 16-17, 19-21, 77, divergence 84, 88
79-80 in two dimensions 19—20, 80-81
autocorrelation function 60-62 measurement 17, 59
measurement 58-59 spontaneous magnetization 82—84,
spontaneous 82-84, 152, 155 152, 155
Metropolis algorithm 46-49 susceptibility 17
comparison with heat-bath divergence 84, 88
algorithm 124-125, 264 finite size scaling 235
comparison with Wolff algorithm improved estimators 104, 132, 422
96-100, 101, 109 in Swendsen-Wang algorithm 132,
correlation time 60-63, 67, 79, 85, 422
90, 101 in Wolff algorithm 102-104
dynamic exponent 90—91, 101, measurement 59, 104, 132, 422
109, 132, 264, 421 Swendsen-Wang algorithm 106-109
implementation 49-53, 76-81, 333 comparison with Wolff algorithm
in critical region 84-85, 90-91 108-109
multispin coding 365-369 correlation time 107
466 Index

Ising model, Swendsen—Wang algorithm boundary conditions 338, 339-340

(cont.) unit cell 339-340
dynamic exponent 108-109 Karnaugh maps 371-373
improved estimators 132, 422 and exclusive-OR operations 432
on a parallel computer 108, high-dimensional 373
361-362 repton model 375, 378
susceptibility 132, 422 Kawasaki algorithm 138-141, 272-273
three-dimensional 15, 18 COP Ising model 138-141, 150,
correlation time 67 272-273, 279, 282, 422-423
critical exponents 257-258 detailed balance 138-139
invaded cluster algorithm 117-118 energy change on exchanging two spins
Monte Carlo renormalization 139-140, 144, 423
257-258 ergodicity 138
two-dimensional 18-21, 76-81 implementation 139-140
correlation time 79, 85, 90, Kawasaki-type energy barriers 296—298,
100-101, 104-105 299-300, 301-302, 304
critical exponents 230-231, 235 KDP model 201
critical temperature 19, 82, 118, Monte Carlo algorithms for 202
235, 244-246 order parameter 201
equilibration time 55—57, 78-79 phase transition 201
exact solution 18-20, 76, 80-81, KDP (potassium dihydrogen phosphate)
137 182, 201
magnetization 19-21, 77, 79-80 Kelvin, Lord 25
Monte Carlo renormalization Kronecker (s-symbol 120, 144, 206
244-246, 253
multispin coding 367-369 lagged Fibonacci generators 393-396
sample programs 433-438 choice of constants 394-395
specific heat 19-20, 80-81 generating random bits 406
Wolff algorithm 92-96 length of sequence generated 395
comparison with Metropolis sample program 452-453
algorithm 96-100, 101, 109 seeding 395-396
comparison with Swendsen-Wang with addition 394-396
algorithm 108-109 with multiplication 394-395
correlation time 100-101, 104 with XOR operation 394
dynamic exponent 101, 102—105, Laplace, Pierre Simon de 25
109 large system limit 11-12
implementation 353-355 lattice coordination number 47, 135, 291,
improved estimators 104 301
lattice gases 133-138
in a magnetic field 132, 421-422
on a parallel computer 362 and COP Ising model 133-135
sample program 437-438 Monte Carlo algorithms 138-145
lattice parameters 338
size of clusters 97, 100, 102-104
lattices 13, 332-343
susceptibility 102-104
body-centred cubic (bcc) 341-342
zero-temperature state 50, 82
(001) facets 290
in magnetic field 50 boundary conditions 342
Ising spin glass 157-158 Bravais lattice 342, 355
experimental realizations 158 Bravais 338-339, 341-342
Metropolis algorithm 158 cubic 332-335
simulated tempering 176-177 decoration 338-339
diamond 341-342
jackknife error estimation 72, 81, 85-86, unit cell 342
419 face-centred cubic (fcc) 289, 340-342
(001) facets 289, 290
Kagome lattice 337-340 (111) facets 289-290
Index 467

boundary conditions 341—342 local energy minima 56-57, 152-153, 160,

Bravais lattice 341-342, 428 174
hexagonal-close-packed (hcp) 289 logarithmic divergence 88, 89, 255
honeycomb 337-340 logarithms, use for representing large
boundary conditions 337, 339-340 numbers 217-218
on (111) facet of crystal 290 in entropic sampling 165-166
unit cell 339 in multiple histogram method 227
Kagome 337-340 in single histogram method 217-218
boundary conditions 338, 339-340 long loop algorithm 188-191, 196-198
unit cell 339-340 F model 204
lattice parameters 338 square ice 188-191, 196-198
packing fractions 355, 428 look-up tables
periodic 338-339 for Metropolis algorithm 52-53
quasiperiodic 338, 342-343 of energy barriers 298-299
random 338, 342-343 of exponentials 52-53, 433-434,
representation on a computer 49-50, 438-439, 445
332-343 loop algorithms 188-193, 196-200,
square 332-335 202-205
boundary conditions 49-50, comparison with cluster algorithms
332-335 196-200
Bravais lattice 338 F model 202-205
on (001) facet of crystal 289 KDP model 202
triangular 335-337 square ice 188-193, 196-200
boundary conditions 336—337 Lorentzian random numbers 397—398, 405
Bravais lattice 338 Los Alamos National Laboratory 26-29
hexagonal symmetry 336-337
magnetic field 10, 12
on (111) facet of crystal 289, 290 Ising model in 16-17, 45, 49, 50, 85,
unit cell 338-339 132, 421-422
of diamond lattice 342 random 154
of honeycomb lattice 339 spatially varying 17—18, 154
of Kagome lattice 339-340 Wolff algorithm in 132, 421-422
Lazzarini, Mario 25 magnetic susceptibility 17
Leclerc, Georges-Louis 24 and magnetization fluctuations 17, 84
LIFO buffer 352 divergence 84, 88, 230
limit cycles 37-38 finite size scaling 232-235, 238-239
limited cluster flip algorithm 354 improved estimators 104, 132, 422
linear congruential generators 386-392 in Swendsen-Wang algorithm 132, 422
Bays-Durham shuffling scheme in Wolff algorithm 102-104
391-392, 406, 409, 452 Ising model 17, 59, 84, 88
choice of constants 386-388 measurement 59, 104, 132, 422
generating random bits 386-387, 406 per spin 17
hyperplanes 390-391 scaling equation 233-234
in machine language 389—390 scaling function 233-234
length of sequence generated 387, 389 magnetization 9—10, 12
modulus trick for 387-389 autocorrelation function 59-65
sample programs 451-452 COP Ising model 135, 136
skip formula 409, 432 finite size scaling 235
linear response theorem 13 fluctuations 17, 84
line tension 146 Ising model 16-17, 19-21, 58-59, 77,
linked lists 345-348 79-80
adding items to 346-348 measurement 58-59
doubly-linked 348 per spin 17
pointers in 344, 348 random-field Ising model 155, 168
removing items from 348 scaling equation 235
468 Index

magnetization (cont.) 429

spontaneous 82-84, 152, 155 Ising spin glass 158
majority rule 240-242, 247-248, 253 multispin coding 365-369
Manhattan Project 26 on a parallel computer 359—361, 363,
MANIAC electronic computer 28-29 429-430
MANIAC 2 electronic computer 29 Potts models 121, 123-125, 126
marginally relevant variables 255 random-field Ising model 155-156
Markov chain 35 sample programs 433-436
Markov matrix 36-38, 65-67 selection probabilities 46—47
correlation times 66-67 XY model 129-131
eigenvalues and eigenvectors 38, 66—67 Metropolis, Nicolas 22, 27-29, 46
Markov processes 34-35 microcanonical ensemble 4-5
Marsaglia hyperplanes 390—391 microcanonical entropy 165
master equation 5, 7-8, 22, 29, 417 modulo operation 332, 386-387
discrete time 37, 418 and boundary conditions 332, 334,
master expression 366 336, 340
1D Ising model 366 and random number generators
2D Ising model 367-369 386-389, 394
asymmetric exclusion process 380, Schrage's trick for 387-389
430-431 molecular beam epitaxy (MBE) 304-306
de Gennes' model of reptation Monte Carlo integration 23—25
380-381, 431-432 Monte Carlo renormalization group
repton model 375-377 240-258
Mattis model 177-178, 424 blocking 240-242
metal surfaces 289-291 block spins 240-242
adatoms on 289-294 calculation of a 251
binding energy 290-292 calculation of b 250-251
metallic glasses 153 calculation of 7 251
metastable states 56-57, 152-153, 160 calculation of s 251-252
Metropolis algorithm 29, 39, 46-49 calculation of v 246-249, 257-258
acceptance ratio 47-49, 52, 77, 97, 99 calculation of Tc 243-246
as limit of Niedermayer algorithm calculation of 9 252
111-112 decimation 242
comparison with heat-bath algorithm error estimation 245-246, 254, 258
123-125, 264 finite size effects 245
comparison with Wolff algorithm irrelevant variables 255
96-100, 101, 109 Ising model 244-246, 253, 257-258
continuous spin models 129-131 long-range interactions 253—254, 258
correlation time 60-63, 67, 79, 85, 90, majority rule 240-242, 247-248, 253
101 marginally relevant variables 255
detailed balance 47 measurement of exponents 246—252,
dynamic exponent 90-91, 101, 109, 255, 256-258
126, 127, 132, 264, 421 relevant variables 252, 255
energy change on flipping a spin Monte Carlo simulation 3, 21-22, 31-44
46-47, 51-52, 58, 419 at low temperatures 42-44, 77-78
equilibration time 55-57, 78-79 at zero temperature 77-78
ergodicity 47, 121, 129-130 continuous time 42-44, 77-78,
Heisenberg model 129 143-145, 265-266, 279-280,
helical boundary conditions 333 280-282, 287, 288, 295-296,
implementation 49—53, 333 297, 301-304, 427
in critical region 84-85, 90-91, equilibrium 31-44
125-126 history of 22-29
Ising model 46-53, 76-81, 84-85, in biophysics 307
90-91, 359-361, 363, 365-369, in statistical physics 3
Index 469

of adatom diffusion 267, 295-306 3D Ising model 257-258

of equilibrium crystal shapes 146-150 finite size scaling 234-236, 238-239
of gel electrophoresis 315-327 measurement 234-235, 238-239,
of glassy systems 159-177 246-249
of interfaces 140-141 Monte Carlo renormalization
of molecular beam epitaxy 304-306 246-249, 257-258
of phase separation 271-287 random-field Ising model 237, 239
of spinodal decomposition 271—287 numerical methods 18—22
on parallel computers 356—363 history of 22-29
origin of name 22, 28
out of equilibrium 263-267 Objective C 369
multicanonical ensemble 169 object-oriented languages 344
multigrid algorithms 112-114 occupation probabilities 4—8, 21-22, 29,
multiple histogram method 219-228 34, 35-40, 417
and simulated tempering 175, 426 equilibrium 8
error estimation 225 sum rule 5—6
histograms 220-224, 227-228 Onsager, Lars 18
implementation 226-228 exact solution for 2D Ising model
internal energy 224-226, 228 18-20, 137
Ising model 224-225 order parameter 82-83, 135
iterative solution 224, 226-227 conserved 135
spacing of simulations 226, 258, 426 F model 202
systems with continuous energies 220, Ising model 82, 135
228 KDP model 201
multispin coding 364—381 out-of-equilibrium Monte Carlo simulation
1D Ising model 365-367 263-267
2D Ising model 367-369
packing fractions 355, 428
asymmetric exclusion process 380,
parallel computers 356-357
430-431
parallel Monte Carlo simulation 356—363
asynchronous update 364-379
cluster algorithms 108, 361-362
de Gennes' model of reptation
communication overhead 357, 363,
380-381, 431-432 429-430
implementation 369 domain decomposition 357-358,
master expression 366 359-362
Metropolis algorithm 365-369 efficiency 357
random numbers for 386-387, embarrassingly parallel 358
406-408 equilibration 358
repton model 317, 373-379 functional decomposition 357-358
sample program 435-436 Ising model 359-362, 363, 429-430
simulated tempering 176 message passing 356-357, 361
synchronous update 364, 379-380 Metropolis algorithm 359-361, 363,
429-430
Nernst-Einstein relation 324 simulated tempering 175-176
neutron diffusion 26, 28-29 Swendsen-Wang algorithm 108,
Niedermayer algorithm 109-112 361-362
acceptance ratio 110-111 trivially parallel 357, 358-359, 365
and Metropolis algorithm 111—112 Wolff algorithm 362
and Wolff algorithm 111, 112 parallel tempering 169-177
correlation time 112 acceptance ratio 170
detailed balance 110 and multiple histogram method 175,
energy change on flipping a cluster 110 426
ergodicity 109-110 barrier crossing 170, 172
v (critical exponent) 88, 230 comparison with entropic sampling 169
2D Ising model 235, 249 detailed balance 170-172
470 Index

parallel tempering (cont.) phase separation 136, 268-269

ergodicity 170 COP Ising model 136-137, 268-269,
frequency of swap moves 172—173, 271-273, 278-288
176 Ising model 268-273
implementation 173-174 phase transitions 82-84, 229
interpolating between temperatures continuous 83, 229
175 COP Ising model 134, 136-137
Ising spin glass 176-177 F model 201-202, 208-209
multispin coding 176 Ising model 19, 82-84
number of simulations needed 178, KDP model 201
424-425 liquid/vapour system 229
on a parallel computer 175-176 random-field Ising model 155
paramagnetism 82, 155 P, Monte Carlo calculation of 24-25
partition function 8—13 pinning of domain walls 156-157
Ising model 16, 418 plaquets 186
Monte Carlo calculation of 86, pointers 344
419-420 use in linked lists and trees 344, 348
multiple histogram method 224, polarization 201-202
226-228 polymers 307
numerical calculation of 18-21 diffusion 311-312, 323-324
Pascal (programming language) 174, 344, electrophoresis 307-309
369, 387, 394 reptation 311
percolation 98 Porod's law 278
backbone of spins 98-99, 107, 115 potassium dihydrogen phosphate (KDP)
clusters 98, 107, 115-117 182, 201
F model 208 Potts models 120-127
invaded cluster algorithm 115-117 anti-ferromagnetic 193, 209
Ising model 98 cluster algorithms for 125-127, 193
Swendsen-Wang algorithm 107 dynamic exponent 126, 127
Wolff algorithm 98-99 entropy 120-121
periodic boundary conditions 19, 50, 75, equivalence between q = 2 and Ising
332-335 model 120
bcc lattice 342 equivalence to ice models 193, 209,
comparison with helical boundary 425
conditions 334 Hamiltonian 120
correlation functions 75 heat-bath algorithm 121-125
cubic lattice 332-335 Metropolis algorithm 121, 123-125,
fcc lattice 341-342 126
honeycomb lattice 337, 339 sample program 445—448
Wolff algorithm 126-127
Kagome lattice 338
premium bonds 384
square lattice 49-50, 332-335
pressure 4, 9-10, 12
triangular lattice 336-337 programming languages
periodic lattices 338-339 C 332, 333-334, 344, 348, 369, 387,
persistence length 314 394, 420, 433
DNA 314-315 C++ 344, 369
phase diagram FORTRAN 332, 333-334, 343, 344,
COP Ising model 137 352, 369, 383, 386, 387, 394
ice 181 Objective C 369
phases 82 object-oriented 344
COP Ising model 136-137 Pascal 174, 344, 369, 387, 394
F model 201-202, 208 protein folding 160
ice 180-182 pseudo-random numbers 383, 385—386
Ising model 82, 136, 155
KDP model 201 quasicrystals 338
Index 471

quasiperiodic lattices 338, 342-343 true random numbers 384

quenching 268-269, 271 uniformly distributed 382-396
queues 352-353 real-space renormalization 240—246
Quine-McCluskey algorithm 373 blocking 240-242
block spins 240-242
random-field Ising model 154-157 calculation of critical exponents
cluster algorithms for 156—157, 159 246-252, 255, 256-258
critical exponents 237, 239 calculation of critical temperature
cross-over in 231 243-246
density of states 166—167 correlation length 242-243
entropic sampling 166-169 decimation 242
experimental realizations 158 Ising model 244-246, 253, 257-258
finite size scaling 237, 239 long-range interactions 253—254, 258
magnetization 155, 168 majority rule 240-242, 247-248, 253
Metropolis algorithm 155-156 real variables 343-344
phase transition 155 reduced temperature 87-88, 230, 231-232,
pinning in 156—157 248-249
random lattices 338, 342-343 reference (data structure) 344
randomness, in disordered systems 154, rejection method 401-406
159-160, 168-169 comparison with hybrid method
random numbers 382—409 405-406
and Wolff algorithm 354, 383 comparison with transformation
Bays-Durham shuffling scheme method 402, 403-404
391-392, 393, 406, 409, 452 Gaussian random numbers 403-404
cycles 385-386, 387, 389, 390, 391, relevant variables 252, 255
393, 394, 395 renormalization group 88, 157, 240
Data Encryption Standard (DES) 384 and universality 88
from radioactive decay 384 Monte Carlo 240-258
Gaussianly distributed 399—401, renormalization group transformation
403-404, 405-406 247-249, 252-255, 257
generalized feedback shift register critical fixed point 247, 249, 254, 257
generators 394 eigenvalues 255, 257
hybrid method 404-406 eigenvectors 255
lagged Fibonacci generators 393—396, flows 247-248, 254, 255, 257
406 irrelevant variables 255
linear congruential generators linearization 249, 254-255
386-392, 406, 409, 432 marginally relevant variables 255
Lorentzianly distributed 397-398, 405 relevant variables 252, 255
multispin coding 386-387, 406-408 renormalization, real-space 240-246
non-uniformly distributed 396-406 blocking 240-242
pseudo-random 383, 385-386 block spins 240-242
random bits 386-387, 406-408 calculation of critical exponents
random direction vectors 398—399 246-252, 255, 256-258
rejection method 401—406 calculation of critical temperature
sample programs 435-436, 451—453 243-246
seeds 385, 389, 395-396 correlation length 242-243
sequence length 385-386, 387, 389, decimation 242
390, 391, 393, 394, 395 Ising model 244-246, 253, 257-258
shift register generators 392-393, 406 long-range interactions 253—254, 258
shuffling 391-392, 393, 406, 409, 432, majority rule 240-242, 247-248, 253
452 reptation 311
Tausworthe generators 392-393, 406 de Gennes' model of 327-328,
transformation method 396—401, 380-381, 428, 431-432
404-406 repton model of 309-315
472 Index

repton model 309-315 corrections to 239-240

data collapse 325-327, 428 for correlation time 259, 426-427
diffusion constant 323-324 for magnetization 235
dynamics 312, 313 for specific heat 235
exact solution 315, 324 for susceptibility 233-234
in non-zero field 312-313, 316, 321, scaling functions 234-238
323-327 correlation time 259, 426-427
in strong fields 324-326 magnetization 235
in weak fields 324-326 maximum of 237-238, 259, 426
in zero field 312, 316, 321, 323 specific heat 235
Monte Carlo simulation 315—327, susceptibility 233-234
373-379 scaling laws
multispin coding 317, 373-379 domain growth 269-270, 271, 276,
number of allowed moves 320, 322 287
parameters 314-315 dynamical 269-270, 271
particle representation 320-322 repton model 324-327, 428
projected 313-315
scaling relations 250, 252, 256
representation 320-322
seeds (for random number generators)
scaling form for velocity 324-327, 428
385, 389, 395-396
reptons 311-312
seed spin (in cluster algorithm) 92—93, 94,
resampling 71
95, 102-103, 104, 108
reservoir, thermal 5, 8, 29
selection probabilities 41-42
residual entropy 155, 183-186, 209, 425
for entropic sampling 166-167
hexagonal ice 183, 186
for Metropolis algorithm 46-47
square ice 185-186
for Swendsen-Wang algorithm 107
Richardson, James 29
for Wolff algorithm 94, 126-127
RKKY interactions 16
self-averaging systems 159—160
RNA 307, 314-315
Rosenbluth, Arianna 29 series expansions 15, 18
Rosenbluth, Marshall 29 ice models 186
roughening temperature 149 Ising model 15
roughening transition 149 shared memory 356-357
shift register generators 392—393
Bays-Durham shuffling scheme 393
sample programs 433-453
1D Ising model 420 choice of constants 393
2D Ising model 433-438 generating random bits 406
Bays-Durham shuffling scheme 452 length of sequence generated 393
COP Ising model 438-444 short loop algorithm 191-193
heat-bath algorithm 445-448 correlation time 199-200, 204
Metropolis algorithm 433-436 dynamic exponent 204
multispin coding 435-436 F model 202-205
Potts model 445-448 sample program 448—451
random number generation 435-436, square ice 191-193, 199-200
451-453 simulated tempering 169-177
short loop algorithm 448—451 acceptance ratio 170
square ice 448-451 and multiple histogram method 175,
Wolff algorithm 437-438 426
sample-to-sample fluctuations 68, barrier crossing 170, 172
168-169 comparison with entropic sampling 169
sampling interval 60-62, 69 detailed balance 170-172
scaling collapse 235 ergodicity 170
Ising model 235 frequency of swap moves 172—173,
repton model 325-327, 428 176
scaling equations 233-234, 235 implementation 173-174
Index 473

interpolating between temperatures spontaneous magnetization 82—84, 152,

175 155
Ising spin glass 176-177 spontaneous symmetry breaking 14-15,
multispin coding 176 83-84
number of simulations needed 178, square ice 184-185
424-425 cluster algorithms 193-196, 200
on a parallel computer 175-176 comparison of algorithms for 196—200
single histogram method 211-219 exact solution 185—186
error estimation 212 long loop algorithm 188-191, 196-198
extrapolating in many variables residual entropy 185-186
218-219 sample program 448-451
fundamental equation 212 short loop algorithm 191—193,
histograms 213-214, 216 199-200
implementation 217-218 three-colour representation 186-187
internal energy 212-213 three-dimensional equivalent of 209,
Ising model 212-213, 216 425
range of validity 212-216, 258, square lattice 332-335
425-426 boundary conditions 49-50, 332-335
systems with continuous energies 214 Bravais lattice 338
single-spin-flip dynamics 46-47 equilibrium crystal shape on 148
dynamic exponent 132, 421 on (001) facet of crystal 289
entropic sampling with 166 stacks 352
equilibration 54-55 states 4
heat-bath algorithm 121-125 continuous spectra 4, 18, 127—131
Ising model 46-49, 54-55, 124 discrete spectra 4
Metropolis algorithm 46—49, 121 range sampled 4, 11, 33-34, 46, 53-54,
Potts models 121-125 214-215, 217, 424-425, 426
six-vertex models 185 statistical errors 22, 68-72
Soudee, Henri 26
statistical mechanics 3-18
specific heat 9, 11
equilibrium 7-18
and energy fluctuations 11, 17, 84
many systems interpretation 6-7
divergence near phase transition 74,
84, 88, 230 out of equilibrium 263—267
errors on 70-72, 81 time average interpretation 6—7, 33
finite size scaling 235 statistical physics 3, 18
integration to get entropy 73—74 statistical sampling 22
invaded cluster algorithm 119 stochastic matrix 36-38, 65-67
Ising model 17, 19-21, 59, 80-81 string variables 343
measurement 17, 59 structure factors 277-278
per spin 17 circularly averaged 277
scaling equation 235 Porod's law 278
spin coordination number 47, 144, 284, structures 344
301 sum rule
spin glasses 157-158 for occupation probabilities 5-6
Edwards-Anderson 157-158 for transition probabilities 35, 36, 40
experimental realizations 158 surface diffusion 283-284
Ising 157-158 surface energy 146, 155, 269-270
Mattis model 177-178, 424 surface science 289
Metropolis algorithm 158 surface tension 146, 155, 269-270
simulated tempering 176-177 susceptibility 12-13
spinodal 269 magnetic 17
spinodal decomposition 269 and magnetization fluctuations 17,
Monte Carlo simulation 271-287 84
spins 15-16, 45, 120, 127-128 divergence 84, 88, 230
474 Index

susceptibility, magnetic (cont.) time

finite size scaling 232-235, continuous 43-44
238-239 in simulations 43-44, 56
improved estimators 104, 132, 422 transformation method 396-401, 404-406
in Swendsen-Wang algorithm 132, comparison with rejection method
422 402, 403-404
in Wolff algorithm 102-104 Gaussian random numbers 399-401
Ising model 17, 59, 84, 88 Lorentzian random numbers 397—398,
measurement 59, 104, 132, 422 405
per spin 17 random direction vectors 398-399
scaling equation 233-234 transient mobility 293-294
scaling function 233-234 transition probabilities 35-42
sweeps 56 choice of 39-40
Swendsen—Wang algorithm 106—109 sum rule 35, 36, 40
at high temperature 108 transition rates 5, 7-8, 22, 35
at low temperature 107-108 tree (data structure) 348—352
comparison with Wolff algorithm adding items to 350-351
108-109 balancing 351-352
correlation time 107 binary 349
detailed balance 107 choosing an item at random 355, 429
dynamic exponent 108—109 in adatom diffusion simulations 303,
ergodicity 107 306
improved estimators 132, 422 in invaded cluster algorithm 117
magnetic susceptibility 132, 422 nodes 349-350
on a parallel computer 108, 361-362 removing items from 351
susceptibility 132, 422 root node 349
synchronous update algorithms 364, searching 350, 351
379-380 time taken to modify 350—352
systematic errors 68, 73 unbalanced 351-352, 355, 429
triangular lattice 335-337
boundary conditions 336-337
Tausworthe generators 392-393
Bravais lattice 338
Bays-Durham shuffling scheme 393
equilibrium crystal shape on 148
choice of constants 393
hexagonal symmetry 336-337
generating random bits 406 on (111) facet of crystal 289, 290
length of sequence generated 393 trivial parallelization 357, 358-359, 365
Teller, Edward 27, 29 truth tables 369-371
Teller, Mici 29 Turkevich, Antony 29
temperature 4, 5, 8, 29 two-point correlation functions 14—15
inverse 8
reduced 87-88, 230, 231-232, 248-249 Ulam, Stanislaw 27-28
thermal reservoir 5, 8, 29 umbrella sampling 169
thermodynamic limit 11-12 unit cell 338-339
thermodynamics, third law of 9, 74, 183 of diamond lattice 342
0 (critical exponent) 252 of honeycomb lattice 339
Monte Carlo renormalization 252 of Kagome lattice 339-340
third law of thermodynamics 9, 74, 183 universality 88, 134, 154, 157, 229, 254
Thomson, William 25 universality classes 229
three-colour models 186-187 dynamic 264-265, 269
cluster algorithms 193-196, 200,
205-209 variables 343-345
equivalence to ice models 186-187 Boolean 343
equivalence to Potts models 193, 209, character 343
425 classes 344-345
three-fold hollow sites 289-290 complex 343, 344-345
Index 475

floating-point 343-344 energy change on flipping a cluster 94,

integer 343 127
pointers 344, 348 ergodicity 95, 127
real 343-344 Heisenberg model 131
references 344 implementation 353-354
strings 343 improved estimators 104
structures 344 in a magnetic field 132, 421-422
volume 9-10 Ising model 92-105, 109, 132, 362,
von Neumann, John 27-29 421-422
von Neumann, Klari 28 magnetic susceptibility 102-104
on a parallel computer 362
Wolff algorithm 92-105 Potts models 126-127
acceptance ratio 93—95 sample program 437-438
and random number generators 354, seed spin 92-93, 94, 95, 102-103, 104,
383 108
as limit of Niedermayer algorithm 111, size of clusters 97, 100, 102-104
112 susceptibility 102-104
at high temperature 97-98 three-colour models 196, 207
at low temperature 98-99 XY model 131
comparison with Metropolis algorithm Wulff construction 146
96-100, 101, 109
comparison with Swendsen—Wang X-ray scattering 180, 277
algorithm 108-109 XY model 127-128
continuous spin models 131 cluster algorithm 131
correlation time 100-101, 104 Hamiltonian 128
critical slowing down 92, 101 Metropolis algorithm 129-131
detailed balance 94-95, 126-127 Wolff algorithm 131
dynamic exponent 101, 102-105, 109,
127 zero-temperature state 50, 82