Monte Carlo Sampling in Fractal Landscapes

Abstract

We design a random walk to explore fractal landscapes such as those describing chaotic transients in dynamical systems. We show that the random walk moves efficiently only when its step length depends on the height of the landscape via the largest Lyapunov exponent of the chaotic system. We propose a generalization of the Wang-Landau algorithm which constructs not only the density of states (transient time distribution) but also the correct step length. As a result, we obtain a flat-histogram Monte Carlo method which samples fractal landscapes in polynomial time, a dramatic improvement over the exponential scaling of traditional uniform-sampling methods. Our results are not limited by the dimensionality of the landscape and are confirmed numerically in chaotic systems with up to 30 dimensions.