Noise-induced instability in self-consistent Monte Carlo calculations

D. S. Lemons; J. Lackman; M. E. Jones; D. Winske

doi:10.1103/PhysRevE.52.6855

Noise-induced instability in self-consistent Monte Carlo calculations

D. S. Lemons, J. Lackman, M. E. Jones, and D. Winske

Phys. Rev. E 52, 6855 – Published 1 December 1995

Abstract

We identify, analyze, and propose remedies for a numerical instability responsible for the growth or decay of sums that should be conserved in Monte Carlo simulations of stochastically interacting particles. ‘‘Noisy’’ sums with fluctuations proportional to 1/ √n , where n is the number of particles in the simulation, provide feedback that drives the instability. Numerical illustrations of an energy loss or ‘‘cooling’’ instability in an Ornstein-Uhlenbeck process support our analysis. (c) 1995 The American Physical Society