Random orthogonal matrix simulation

This paper introduces a method for simulating multivariate samples that have exact means, covariances, skewness and kurtosis. We introduce a new class of rectangular orthogonal matrix which is fundamental to the methodology and we call these matrices L matrices. They may be deterministic, parametric or data specific in nature. The target moments determine the L matrix then infinitely many random samples with the same exact moments may be generated by multiplying the L matrix by arbitrary random orthogonal matrices. This methodology is thus termed “ROM simulation”. Considering certain elementary types of random orthogonal matrices we demonstrate that they generate samples with different characteristics. ROM simulation has applications to many problems that are resolved using standard Monte Carlo methods. But no parametric assumptions are required (unless parametric L matrices are used) so there is no sampling error caused by the discrete approximation of a continuous distribution, which is a major source of error in standard Monte Carlo simulations. For illustration, we apply ROM simulation to determine the value-at-risk of a stock portfolio.

GSHMC: an efficient method for molecular simulation

The hybrid Monte Carlo (HMC) method is a popular and rigorous method for sampling from a canonical ensemble. The HMC method is based on classical molecular dynamics simulations combined with a Metropolis acceptance criterion and a momentum resampling step. While the HMC method completely resamples the momentum after each Monte Carlo step, the generalized hybrid Monte Carlo (GHMC) method can be implemented with a partial momentum refreshment step. This property seems desirable for keeping some of the dynamic information throughout the sampling process similar to stochastic Langevin and Brownian dynamics simulations. It is, however, ultimate to the success of the GHMC method that the rejection rate in the molecular dynamics part is kept at a minimum. Otherwise an undesirable Zitterbewegung in the Monte Carlo samples is observed. In this paper, we describe a method to achieve very low rejection rates by using a modified energy, which is preserved to high-order along molecular dynamics trajectories. The modified energy is based on backward error results for symplectic time-stepping methods. The proposed generalized shadow hybrid Monte Carlo (GSHMC) method is applicable to NVT as well as NPT ensemble simulations.