New automatic rule to stop summing autocorrelations in lattice simulations
The paper proposes a simple way to stop the standard summation used to estimate statistical errors in lattice field theory simulations. The authors build upper and lower bounds on the autocorrelation function. They use those bounds to decide how far to extend the sum over time separations. That choice determines the quoted statistical error.
Lattice field theory calculations often use Markov chain Monte Carlo, or more recently a ‘‘master-field’’ approach that relies on translational averages inside a large volume. In both cases measurements taken at nearby steps are correlated. To get a correct error one must integrate the autocorrelation function, which tells how much earlier measurements influence later ones. In practice that integral is cut off at a finite window W. If W is too small the error is underestimated. If W is too large the tail is noisy and increases uncertainty.
The authors introduce a bounding method for the tail beyond the chosen window. They assume the autocorrelation can be written as a sum of decaying exponentials, with one slowest mode that controls the long-time falloff. Using the measured autocorrelation up to W, they build a lower bound by continuing the value at W with an exponential using an ‘‘effective’’ decay time estimated from nearby points. They build an upper bound by continuing with the slowest possible decay. The difference between the integrals of the upper and lower bounds gives a controlled estimate of the systematic error from truncating the sum.
They then make an automatic stopping rule. The window W is chosen so that the statistical uncertainty on the summed part inside W is comparable to a user-defined multiple M of the estimated systematic truncation error from the bounds. In their tests they set M = 2. The same idea is applied to both traditional Monte Carlo time series and to one-dimensional master-field data by replacing the number of Monte Carlo points with the number of available spatial points.