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The Metropolis algorithm

The Metropolis algorithm , see the original article (see also the FYS3150 lectures) was invented by Metropolis et. al and is often simply called the Metropolis algorithm. It is a method to sample a normalized probability distribution by a stochastic process. We define {\cal P}_i^{(n)} to be the probability for finding the system in the state i at step n . The algorithm is then

  • Sample a possible new state j with some probability T_{i\rightarrow j} .
  • Accept the new state j with probability A_{i \rightarrow j} and use it as the next sample. With probability 1-A_{i\rightarrow j} the move is rejected and the original state i is used again as a sample.