Computational Many-Particle Physics PDF

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H. Fehske
R. Schneider
A. Weiße (Eds.)
Computational
Many-Particle Physics
Editors
Holger Fehske Ralf Schneider
Alexander Weiße Max-Planck-Institut für Plasmaphysik
Universität Greifswald Wendelsteinstr. 1
Institut für Physik 17491 Greifswald, Germany
Felix-Hausdorff-Str. 6 ralf.schneider@ipp.mpg.de
17489 Greifswald,
Germany
holger.fehske@physik.uni-greifswald
weisse@physik.uni-greifswald.de
H. Fehske, R. Schneider and A. Weiße (Eds.), Computational Many-Particle Physics,

Lect. Notes Phys. 739 (Springer, Berlin Heidelberg 2008), DOI 10.1007/ 978-3-540-
74686-7
Library of Congress Control Number: 2007936165

ISSN 0075-8450
ISBN 978-3-540-74685-0 Springer Berlin Heidelberg New York
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Preface
Many-particle physics is at work whenever we delve into the rich phenomenology of

the real world, or into laboratory experiments. Nevertheless, our physical descrip-
tion of nature is mostly built upon single-particle theories. For instance, Kepler’s
laws provide a basic understanding of our solar system, many features of the pe-
riodic table can be understood from the solution of a single hydrogen atom, and
even complicated microprocessors with an unbearable number of electrons float-
ing through millions of transistors can be developed based on the effective single-
particle models of semiconductor physics. These approaches are successful because
quite often interactions affect physical systems in a perturbative way. Classical per-
turbation theory yields corrections to a planet’s orbit due to other planets, quantum
chemistry relies on various approximation schemes to deal with complicated atoms
and small molecules, and solid state theory uses weakly interacting quasiparticles
as elementary excitations. This fortunate situation changes, however, when we try
to understand more complex or strongly interacting systems, or when we try to ex-
plore the nature of matter itself. Condensates of cold bosonic atoms, for example,
show subtle many-particle effects, strongly correlated fermions may give rise to
high-temperature superconductivity, and the way quarks build up elementary par-
ticles (hadronization) is a highly non-trivial few-body problem. Another example
are quantum computers, which many scientist envision as a replacement for our
present-day microprocessors, and which exploit the entanglement property of quan-
tum many-particle states. Last but not least, we mention the complexity of fusion
plasmas, which some day may help feeding our ever-growing hunger for new energy
resources. Unfortunately, even the most sophisticated analytical approaches largely
fail to describe such systems. Hence, at present, unbiased numerical investigations
provide the most reliable tool to address these problems. This is the point where the
expert use of large-scale computers comes into play.
The increasing importance of computational many-particle physics calls for a
comprehensive introduction into this rapidly developing field suitable for graduate
students and young researchers. Therefore, we decided to organize a summer school
on “Computational Many-Particle Physics” in September 2006, during the 550th
anniversary of the University Greifswald. Generously sponsored by the Wilhelm
and Else Heraeus Foundation and hosted by the Max-Planck-Institute for Plasma
Physics and the Institute for Physics, we brought together more than 40 students
and 20 distinguished scientists working on such diverse fields as fusion plasmas,
VI Preface
statistical physics, solid state theory and high performance computing. The present
Lecture Notes summarize and extend the material showcased over a 2-week period
of tightly scheduled tutorials, seminars and exercises. The emphasis is on a very ped-
agogical and systematic introduction to various numerical concepts and techniques,
with the hope that the reader may quickly start to program himself. The spectrum of
the numerical methods presented is very broad, covering classical as well as quan-
tum few- and many-particle systems. The trade-off between the number of particles,
the complexity of the underlying microscopic models and the importance of the in-
teractions determine the choice of the appropriate numerical approach. Therefore,
we arranged the book along the algorithms and techniques employed, rather than on
the physics applications, which we think is more natural for a book on numerical
methods.
We start with methods for classical many-particle systems. Here, molecular dy-
namics approaches trace the motion of individual particles, kinetic approaches work
with the distribution functions of particles and momenta, while hybrid approaches
combine both concepts. A prominent example is the particle-in-cell method typi-
cally applied to model plasmas, where the time evolution of distribution functions is
approximated by the dynamics of pseudo-particles, representing thousands or mil-
lions of real particles. Of course, at a certain length scale the quantum nature of
the particles becomes important. As an attempt to close the gap between classi-
cal and quantum systems, we outline a number of semi-classical (Wigner-function,
Boltzmann- and Vlasov-equation based) approaches, which in particular address
transport properties. The concept of Monte Carlo sampling is equally important
for classical, statistical and quantum physical problems. The corresponding chap-
ters therefore account for a substantial part of the book and introduce the major
stochastic approaches in application to very different physical situations. Focussing
on solids and their properties, we continue with ab initio approaches to the elec-
tronic structure problem, where band structure effects are taken into account with
full detail, but Coulomb interactions and the resulting correlations are treated ap-
proximately. Dynamical mean field theories and cluster approaches aim at improv-
ing the description of correlations and bridge the gap to an exact numerical treatment
of basic microscopic models. Exact diagonalization of finite systems gives access
to their ground-state, spectral and thermodynamic properties. Since these methods
work with the full many-particle Hamiltonian, the study of a decent number of par-
ticles or larger system sizes is a challenging task, and there is a strong demand
to circumvent these limitations. Along this line the density matrix renormalization
group represents a clever technique to restrict the many-particle Hilbert space to
the physically most important subset. Finally, all the discussed methods heavily
rely on the use of powerful computers, and the book would be incomplete without
two detailed chapters on parallel programming and optimization techniques for high
performance computing.
Of course, the preparation of such a comprehensive book would have been im-
possible without support from many colleagues and sponsors. First of all, we thank
the lecturers and authors for their engagement, enthusiasm and patience. We are
Preface VII
greatly indebted to Milena Pfafferott and Andrea Pulss for their assistance during
the editorial work and the fine-tuning of the articles. Jutta Gauger, Beate Kemnitz,
Thomas Meyer and Gerald Schubert did an invaluable job in the organization of the
summer school. Finally, we acknowledge financial support from the Wilhelm and
Else Heraeus foundation, the Deutsche Forschungsgemeinschaft through SFB 652
and TR 24 and the Helmholtz-Gemeinschaft through COMAS.
Greifswald, Holger Fehske

July 2007 Ralf Schneider
Alexander Weiße
Contents
Part I Molecular Dynamics
1 Introduction to Molecular Dynamics

Ralf Schneider, Amit Raj Sharma, and Abha Rai . . . . . . . . . . . . . . . . . . . . . . . . 3
1.1 Basic Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2 Macroscopic Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.3 Inter-Atomic Potentials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.4 Numerical Integration Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.5 Analysis of MD Runs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.6 From Classical to Quantum-Mechanical MD . . . . . . . . . . . . . . . . . . . . . . . 23
1.7 Ab Initio MD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.8 Car-Parrinello Molecular Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
1.9 Potential Energy Surface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.10 Advanced Numerical Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2 Wigner Function Quantum Molecular Dynamics
V. S. Filinov, M. Bonitz, A. Filinov, and V. O. Golubnychiy . . . . . . . . . . . . . . . . 41
2.1 Quantum Distribution Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
2.2 Semiclassical Molecular Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
2.3 Quantum Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
2.4 Time Correlation Functions in the Canonical Ensemble . . . . . . . . . . . . . . 54
2.5 Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Part II Classical Monte Carlo
3 The Monte Carlo Method, an Introduction

Detlev Reiter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
3.1 What is a Monte Carlo Calculation? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
3.2 Random Number Generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.3 Integration by Monte Carlo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
3.4 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
X Contents
4 Monte Carlo Methods in Classical Statistical Physics

Wolfhard Janke . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
4.2 Statistical Physics Primer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
4.3 The Monte Carlo Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
4.4 Cluster Algorithms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
4.5 Statistical Analysis of Monte Carlo Data . . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.6 Reweighting Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
4.7 Finite-Size Scaling Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
4.8 Generalized Ensemble Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
4.9 Concluding Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
5 The Monte Carlo Method for Particle Transport Problems
Detlev Reiter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
5.1 Transport Problems and Stochastic Processes . . . . . . . . . . . . . . . . . . . . . . 141
5.2 The Transport Equation: Fredholm Integral
Equation of Second Kind . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
5.3 The Boltzmann Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
5.4 The Linear Integral Equation for the Collision Density . . . . . . . . . . . . . . 147
5.5 Monte Carlo Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
5.6 Some Special Sampling Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
5.7 An Illustrative Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
Part III Kinetic Modelling
6 The Particle-in-Cell Method

David Tskhakaya . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
6.1 General Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
6.2 Integration of Equations of Particle Motion . . . . . . . . . . . . . . . . . . . . . . . . 163
6.3 Plasma Source and Boundary Effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
6.4 Calculation of Plasma Parameters and Fields
Acting on Particles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
6.5 Solution of Maxwell’s Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
6.6 Particle Collisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183
6.7 Final Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
7 Gyrokinetic and Gyrofluid Theory and Simulation
of Magnetized Plasmas
Richard D. Sydora . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
7.2 Single Particle Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
7.3 Continuum Gyrokinetics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
Contents XI
7.4 Gyrofluid Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204

7.5 Gyrokinetic Particle Simulation Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
7.6 Gyrokinetic Particle Simulation Model Applications . . . . . . . . . . . . . . . . 210
7.7 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
Part IV Semiclassical Approaches
8 Boltzmann Transport in Condensed Matter

Franz Xaver Bronold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
8.1 Boltzmann Equation for Quasiparticles . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
8.2 Techniques for the Solution of the Boltzmann Equation . . . . . . . . . . . . . . 230
8.3 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253
9 Semiclassical Description of Quantum Many-Particle Dynamics
in Strong Laser Fields
Thomas Fennel and Jörg Köhn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
9.1 Semiclassical Many-Particle Dynamics
in Mean-Field Approximation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
9.2 Semiclassical Ground State . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
9.3 Application to Simple-Metal Clusters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
Part V Quantum Monte Carlo
10 World-line and Determinantal Quantum Monte Carlo Methods

for Spins, Phonons and Electrons
F.F. Assaad and H.G. Evertz . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
10.2 Discrete Imaginary Time World Lines
for the XXZ Spin Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 278
10.3 World-Line Representations without Discretization Error . . . . . . . . . . . . 299
10.4 Loop Operator Representation
of the Heisenberg Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303
10.5 Spin-Phonon Simulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
10.6 Auxiliary Field Quantum Monte Carlo Methods . . . . . . . . . . . . . . . . . . . . 312
10.7 Numerical Stabilization Schemes for Lattice Models . . . . . . . . . . . . . . . . 325
10.8 The Hirsch-Fye Impurity Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
10.9 Selected Applications of the Auxiliary Field Method . . . . . . . . . . . . . . . . 344
10.10 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
10.A The Trotter Decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
XII Contents
10.B The Hubbard-Stratonovich Decomposition . . . . . . . . . . . . . . . . . . . . . . . . 347

10.C Slater Determinants and their Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . 349
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 353
11 Autocorrelations in Quantum Monte Carlo Simulations
of Electron-Phonon Models
Martin Hohenadler and Thomas C. Lang . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
11.2 Holstein Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358
11.3 Numerical Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358
11.4 Problem of Autocorrelations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 360
11.5 Origin of Autocorrelations and Principal Components . . . . . . . . . . . . . . . 363
11.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 365
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 366
12 Diagrammatic Monte Carlo and Stochastic Optimization Methods
for Complex Composite Objects in Macroscopic Baths
A. S. Mishchenko . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
12.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
12.2 Physical Properties of Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372
12.3 The Diagrammatic Monte Carlo Method . . . . . . . . . . . . . . . . . . . . . . . . . . 374
12.4 Stochastic Optimization Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391
12.5 Conclusions and Perspectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 393
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
13 Path Integral Monte Carlo Simulation of Charged Particles in Traps
Alexei Filinov, Jens Böning, and Michael Bonitz . . . . . . . . . . . . . . . . . . . . . . . . 397
13.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
13.2 Idea of Path Integral Monte Carlo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
13.3 Basic Numerical Issues of PIMC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 401
13.4 PIMC for Degenerate Bose Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 406
13.5 Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 410
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411
Part VI Ab-Initio Methods in Physics and Chemistry
14 Ab-Initio Approach to the Many-Electron Problem

Alexander Quandt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 415
14.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 415
14.2 An Orbital Approach to Chemistry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
14.3 Hartree-Fock Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 427
14.4 Density Functional Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
Contents XIII
15 Ab-Initio Methods Applied to Structure Optimization

and Microscopic Modelling
Alexander Quandt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437
15.1 Exploring Energy Hypersurfaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437
15.2 Applied Theoretical Chemistry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 444
15.3 Model Hamiltonians . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 451
15.4 Summary and Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 465
15.A Links to Popular Ab Initio Packages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 466
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
Part VII Effective Field Approaches
16 Dynamical Mean-Field Approximation and Cluster Methods

for Correlated Electron Systems
Thomas Pruschke . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 473
16.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 473
16.2 Mean-Field Theory for Correlated Electron Systems . . . . . . . . . . . . . . . . 475
16.3 Extending the DMFT: Effective Cluster Theories . . . . . . . . . . . . . . . . . . . 492
16.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 501
17 Local Distribution Approach
Andreas Alvermann and Holger Fehske . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505
17.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505
17.2 Applications of the LD Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 514
17.3 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 525
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 526
Part VIII Iterative Methods for Sparse Eigenvalue Problems
18 Exact Diagonalization Techniques

Alexander Weiße and Holger Fehske . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
18.1 Basis Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
18.2 Eigenstates of Sparse Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543
19 Chebyshev Expansion Techniques
Alexander Weiße and Holger Fehske . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 545
19.1 Chebyshev Expansion and Kernel Polynomial Approximation . . . . . . . . 545
19.2 Applications of the Kernel Polynomial Method . . . . . . . . . . . . . . . . . . . . . 554
19.3 KPM in Relation to other Numerical Approaches . . . . . . . . . . . . . . . . . . . 568
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575
XIV Contents
Part IX The Density Matrix Renormalisation Group:

Concepts and Applications
20 The Conceptual Background of Density-Matrix Renormalization

Ingo Peschel and Viktor Eisler . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581
20.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581
20.2 Entangled States . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 581
20.3 Reduced Density Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 582
20.4 Solvable Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583
20.5 Spectra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 586
20.6 Entanglement Entropy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 589
20.7 Matrix-Product States . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 593
20.8 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 594
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 594
21 Density-Matrix Renormalization Group Algorithms
Eric Jeckelmann . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597
21.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597
21.2 Matrix-Product States and (Super-)Blocks . . . . . . . . . . . . . . . . . . . . . . . . . 598
21.3 Numerical Renormalization Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 600
21.4 Infinite-System DMRG Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 602
21.5 Finite-System DMRG Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 607
21.6 Additive Quantum Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 611
21.7 Truncation Errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613
21.8 Computational Cost and Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616
21.9 Basic Extensions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618
22 Dynamical Density-Matrix Renormalization Group

Eric Jeckelmann and Holger Benthien . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621
22.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621
22.2 Methods for Simple Discrete Spectra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
22.3 Dynamical DMRG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 626
22.4 Finite-Size Scaling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 630
22.5 Momentum-Dependent Quantities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
22.6 Application: Spectral Function of the Hubbard Model . . . . . . . . . . . . . . . 632
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 634
23 Studying Time-Dependent Quantum Phenomena
with the Density-Matrix Renormalization Group
Reinhard M. Noack, Salvatore R. Manmana, Stefan Wessel,
and Alejandro Muramatsu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 637
23.1 Time Dependence in Interacting Quantum Systems . . . . . . . . . . . . . . . . . 637
23.2 Sudden Quench of Interacting Fermions . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
23.3 Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 651
Contents XV
24 Applications of Quantum Information in the Density-Matrix

Renormalization Group
Ö. Legeza, R.M. Noack, J. Sólyom, and L. Tincani . . . . . . . . . . . . . . . . . . . . . . . 653
24.1 Basic Concepts of Quantum Information Theory . . . . . . . . . . . . . . . . . . . 653
24.2 Entropic Analysis of Quantum Phase Transitions . . . . . . . . . . . . . . . . . . . 657
24.3 Discussion and Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 662
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
25 Density-Matrix Renormalization Group for Transfer Matrices:
Static and Dynamical Properties of 1D Quantum Systems
at Finite Temperature
Stefan Glocke, Andreas Klümper, and Jesko Sirker . . . . . . . . . . . . . . . . . . . . . . 665
25.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 665
25.2 Quantum Transfer Matrix Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 666
25.3 The Method – DMRG Algorithm for the QTM . . . . . . . . . . . . . . . . . . . . . 669
25.4 An Example: The Spin-1/2 Heisenberg Chain with Staggered and
Uniform Magnetic Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
25.5 Impurity and Boundary Contributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
25.6 Real-Time Dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 676
Part X Concepts of High Performance Computing
26 Architecture and Performance Characteristics of Modern High

Performance Computers
Georg Hager and Gerhard Wellein . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681
26.1 Microprocessors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 682
26.2 Parallel Computing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 701
26.3 Conclusion and Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 729
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 729
27 Optimization Techniques for Modern High Performance Computers
Georg Hager and Gerhard Wellein . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 731
27.1 Optimizing Serial Code . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 732
27.2 Shared-Memory Parallelization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 755
27.3 Conclusion and Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 766
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 767
Appendix: Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 769
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 773
1 Introduction to Molecular Dynamics
Ralf Schneider, Amit Raj Sharma, and Abha Rai
Max-Planck-Institut für Plasmaphysik, Teilinstitut Greifswald,

17491 Greifswald, Germany
Molecular dynamics is the science of simulating the time dependent behavior of a

system of particles. The time evolution of the set of interacting atoms is followed by
integrating their equation of motion with boundary conditions appropriate for the
geometry or symmetry of the system. Molecular dynamics generate information at
the microscopic level, which are: atomic positions, velocities. In order to calculate
the microscopic behavior of a system from the laws of classical mechanics, MD
requires, as an input, a description of the interaction potential (or force field). The
quality of the results of an MD simulation depends on the accuracy of the description
of inter-particle interaction potential. This choice depends very strongly on appli-
cation. Thus MD technique acts as a computational microscope. This microscopic
information is then converted to the macroscopic observable like pressure, temper-
ature, heat capacity and stress tensor etc. using statistical mechanics. Molecular
dynamic techniques have been widely used by almost all the branches of science.
Namely, determination of reaction rates in chemistry, solid state structures, surfaces
and defects formation in material science, protein folding in biochemistry and so
on. Recent applications employing common force fields include an exploration of
protein folding pathways in solution [1], structural and dynamical properties of ion
channels [2, 3]. The disadvantage of a model force-field is that a system is restricted
to a single molecular connectivity. This prohibits force field models from describing
chemical processes involving bond breaking and forming. An alternative approach is
the combination of classical dynamics with electronic structure: internuclear forces
are computed on the fly from an electronic structure calculation as a MD simulation
proceeds [4, 5]. This method, known as ab initio molecular dynamics, requires no
input potential model and is capable of describing chemical events, although it has
high computational overhead.
1.1 Basic Approach

The essential elements for a molecular dynamics simulation are (i) the interaction
potential (i.e., potential energy) for the particles, from which the forces can be cal-
culated, and (ii) the equations of motion governing the dynamics of the particles.
We follow the laws of classical mechanics, mainly Newton’s law
F i = mi a i , (1.1)
R. Schneider et al.: Introduction to Molecular Dynamics, Lect. Notes Phys. 739, 3–40 (2008)
DOI 10.1007/978-3-540-74686-7 1 c Springer-Verlag Berlin Heidelberg 2008
4 R. Schneider et al.
for each atom i in a system constituted by N atoms. Here, mi is the atom mass, ai
its acceleration and F i the force acting upon it due to the interactions with the other
atoms. Equivalently one can solve classical Hamiltonian equation of motion
∂H
ṗi = − , (1.2)
∂ri
∂H
ṙi = , (1.3)
∂pi
where pi and r i are the momentum and position co-ordinates for the ith atom. H,
the Hamiltonian, which is defined as a function of position and momenta, is given by
N
p2i
H (pi , ri ) = + V (r i ) . (1.4)
i=1
2mi
The force on an atom can be calculated as the derivative of energy with respect to
the change in the atom’s position
dE
F i = mi ai = −∇i V = − . (1.5)
dri
Knowledge of the atomic forces and masses can then be used to solve for the po-
sitions of each atom along a series of extremely small time steps (on the order of
femtoseconds). The velocities are calculated from the accelerations
dv i
ai = . (1.6)
dt
Finally, the positions are calculated from the velocities
dri
vi = . (1.7)
dt
To summarize the procedure, at each step, the forces on the atoms are computed
and combined with the current positions and velocities to generate new positions
and velocities a short time ahead. The force acting on each atom is assumed to be
constant during the time interval. The atoms are then moved to the new positions,
an updated set of forces is computed and new dynamics cycle goes on.
Usually molecular dynamics simulations scale by either O(N log N ) or O(N ),
with N as the number of atoms. This makes simulations with macroscopic number
of atoms or molecules (∼ 1023 ) impossible to handle with MD. Therefore, statisti-
cal mechanics is used to extract the macroscopic information from the microscopic
information provided by MD.
Two important properties of the equations of motion should be noted. One is
that they are time reversible, i.e., they take the same form when the transformation
t → −t is made. The consequence of time reversal symmetry is that the microscopic
physics is independent of the direction of the flow of time. Therefore, in contrast to
1 Introduction to Molecular Dynamics 5
the Monte Carlo method, molecular dynamics is a deterministic technique: Given an

initial set of positions and velocities, the subsequent time evolution is in principle [6]
completely determined from its current state. Molecular dynamics calculates the real
dynamics, i.e. behavior of the system, from which the time average of the system’s
properties can be calculated. The second important property of the equations of
motion is that they conserve the Hamiltonian. This can be easily seen by computing
the time derivative of H and substituting (1.2) and (1.3) for the time derivatives of
position and momentum
N N
dH ∂H ∂H ∂H ∂H ∂H ∂H
= ṙ i + ṗi = − =0. (1.8)
dt i=1
∂ri ∂pi i=1
∂ri ∂pi ∂pi ∂ri
The conservation of the Hamiltonian is equivalent to the conservation of the total

energy of the system and provides an important link between molecular dynamics
and statistical mechanics.
1.1.1 Statistical Ensemble
Statistical mechanics connects the microscopic details of a system to physical ob-

servables such as equilibrium thermodynamic properties, transport coefficients, and
spectra. Statistical mechanics is based on the Gibbs ensemble concept. That is, many
individual microscopic configurations of a very large system lead to the same macro-
scopic properties, implying that it is not necessary to know the precise detailed mo-
tion of every particle in a system in order to predict its properties. It is sufficient to
simply average over a large number of identical systems, each in a different micro-
scopic configuration; i.e., the macroscopic observables of a system are formulated
in terms of ensemble averages. Statistical ensembles are usually characterized by
fixed values of thermodynamic variables such as energy E, temperature T , pres-
sure P , volume V , particle number N or chemical potential μ. One fundamental
ensemble is called the micro-canonical ensemble and is characterized by constant
particle number N , constant volume V and constant total energy E, and is denoted
as the N V E ensemble. Other examples include the canonical or N V T ensem-
ble, the isothermal-isobaric or N P T ensemble, and the grand-canonical or μV T
ensemble. The thermodynamic variables that characterize an ensemble can be re-
garded as experimental control parameters that specify the conditions under which
an experiment is performed.
Now consider a system of N particles occupying a container of volume V and
evolving under Hamilton’s equations of motion. According to (1.8), the Hamilto-
nian will be a constant E, equal to the total energy of the system. In addition, the
number of particles and the volume are assumed to be fixed. Therefore, a dynamical
trajectory of this system will generate a series of classical states having constant N ,
V , and E, corresponding to a micro-canonical ensemble. If the dynamics generates
all possible states having a fixed N , V , and E, then an average over this trajectory
will yield the same result as an average in a micro-canonical ensemble. The energy
conservation condition, H(p, r) = E, which imposes a restriction on the classi-

cal microscopic states accessible to the system, defines a hyper-surface in the phase
space called the constant energy surface. A system evolving according to Hamil-
ton’s equations of motion will remain on this surface. The assumption that a system,
given an infinite amount of time, will cover the entire constant energy hyper-surface
is known as the ergodic hypothesis. Thus, under the ergodic hypothesis, averages
over a trajectory of a system obeying Hamilton’s equations are equivalent to aver-
ages over the micro-canonical ensemble.
1.2 Macroscopic Parameters

Statistical mechanics provides a link between the macroscopic properties of mat-
ter (like temperature, pressure, etc.) and the microscopic properties (like positions,
velocities, individual kinetic and potential energies) of atoms and molecules that
constitute it. These macroscopic properties reflect the time average behavior of the
atoms at equilibrium (i.e. in one of the many possible degenerate minimum energy
states accessible to the system). Often even in an N V E simulation one does some
simple tricks to control temperature and/or pressure. This give something of a N V T
or N V P and N V E hybrid. However temperature and pressure fluctuate, and the
system does not behave as a true N V T or N V P ensemble in the thermodynamic
sense. But on average temperature and pressure have the desired value. In true N V T
or N P T (non-Hamiltonian) algorithms it is possible to have T and P have exactly
the desired value, and the simulation directly corresponds to the thermodynamic
ensembles.
At the start of the MD simulation the atomic positions and velocities have to be
initialized. In the case of crystalline solids the starting positions will be defined by
the crystal symmetry and positions of atoms within the unit cell of the crystal. The
unit cell is then repeated to fill up the desired dimensions of the system. Realistic
atomic displacements from crystal lattice sites can also be derived using the Debye
model. For amorphous solids the particles can be randomly distributed within the
desired dimensions making sure that there exists a minimum distance between the
atoms so that strong local forces do not exist in the system.
The initial velocities are set by assuming a Maxwell-Boltzmann distribution for
velocities along the three dimensions. This is done by using Gaussian distributed
random numbers multiplied by a mean square velocity given by 2kB T /m in each
of the three directions and making sure that the system has total momentum equal to
zero. Generally speaking, if sensible (tailored to avoid large impulsive forces) posi-
tion and velocity distributions are chosen, particle positions at equilibrium relax to
oscillating around the minimum energy locations of the potential Φ. A Maxwellian
distribution of velocities is naturally obtained in the simulation.
Therefore the initial temperature and total energy of the system has been fixed.
The temperature is fixed by the velocity distribution. The total energy of the system
is given by
Etot = (KE)tot + (P E)tot , (1.9)

where (KE)tot is the total kinetic energy in the system given by
N
1 2 2 2
(KE)tot = m(vx,i + vy,i + vz,i ) (1.10)
i=1
2
and (P E)tot is the total potential energy of the system given by

N

(P E)tot = Φi (ri ) (1.11)
i=1
with vx,y,z being the velocities, r being the positions of atoms, and i being the index
that sums over all the atoms N in the system. Φi (ri ) is the potential energy of the
ith atom due to all other atoms in the system.
1.2.1 Temperature Scaling
In equilibrium simulations, especially if long-range interactions are involved and

a potential truncated at a cut-off radius is used, an unavoidable slow drift occur
that need correction. A possible trivial temperature scaling is to force the system
temperature to be exactly T during every time step. This can be a rather severe
perturbation of the atom motion especially if there are only a few atoms. Better
methods to control temperature and pressure are discussed in [7, 8, 9] and will be
shortly summarized in the following.
The Berendsen method [7] is essentially a direct scaling, but softened with a time
constant. Let T0 be the desired temperature, ∆t is the time step of the simulation
and τT be the time constant for temperature control. In the Berendsen temperature
control scheme, all velocities are scaled at each time step by a factor λ given by

∆t To
λ = 1+ −1 , (1.12)
τT T
τT has to be greater than ∆t. According to Berendsen [7] if τT > 100∆t then the
system has natural fluctuations about the average.
1.2.2 Pressure Scaling
The Berendsen pressure control is implemented by changing all atom positions, and
the system cell size during the simulation. If the desired pressure is P0 and τP is the
time constant for pressure control, which should be typically greater than 100∆t,
the scaling factor μ is given by:
1/3
β∆t
μ = 1− (Po − P ) , (1.13)
τP
where β is the isothermal compressibility of the system (= 1/bulk modulus) and

P is the current pressure. The change in all atom positions and the system size is
given by
r(t + δt) = μr(t) , (1.14)

S(t + δt) = μS(t) , (1.15)
and the volume of the system also changes by
V (t + δt) = μ3 V (t) . (1.16)
This type of temperature and pressure scaling should be done after the solution of
the equations of motions gives realistic fluctuations in temperature and pressure for
a system in equilibrium and when large values of τT and τP are chosen.
1.2.3 Time Scale Dilemma
Design of a molecular dynamics simulation can often encounter limits of compu-

tational power. The simulation’s time duration is dependent on the time length of
each time-step, between which forces are recalculated. The time-step must be cho-
sen small enough to avoid discretization errors, and the number of time-steps, and
thus simulation time, must be chosen large enough to capture the effect being mod-
eled without taking an extraordinary period of time i.e. smaller than the vibrational
frequency of the system. The length of the simulation should be large enough that
the system goes through all possible phase space points in the ensemble. As a rule of
thumb: the atoms should not move more than 1/20 of the nearest neighbor distance
in the chosen time step. There exists a wide range of time scales over which spe-
cific processes occur and one need to resolve vibrations at these scales, for example,
bond vibrations (femtosecond), collective vibrations (picosecond) and protein fold-
ings (millisecond to microsecond). The integration time step which is determined by
the fastest varying force is of the order femtoseconds. This limits the accessible time
scale by MD simulations from picoseconds to several nanoseconds. So, no matter
how many processors (how powerful the computer is) one can only reach several
picoseconds in time because time cannot be parallelize [10]. As a consequence of
time scale dilemma, slower mechanisms like MD has limited accessibility to handle
diffusion. This can only be overcome using multi-scale models.
1.3 Inter-Atomic Potentials

1.3.1 Pair Potentials
For pair potentials, the total potential energy of a system can be calculated from the
sum of energy contributions from pairs of atoms and it depends only on the distance
between atoms. One example of a pair potential is the Lennard-Jones potential [11]
(also known as the 6–12 potential). Other examples of pair potential are Coulomb
potential, Morse potential [12] etc. Lennard-Jones potential is the most commonly
used form

σ 12 σ
6
V (r)LJ = 4ǫ − , (1.17)
r r
where ǫ is the cohesive energy well depth and σ is the equilibrium distance. The
(σ/r)12 term describes the repulsive force due to overlapping of electron orbitals
(Pauli repulsion) and does not have a true physical motivation, other than that the
exponent must be larger than 6 to get a potential well. One often uses 12 because
it can be calculated efficiently(square of 6). The term (σ/r)6 describes the attrac-
tive force (Van der Waals) and can be derived classically by considering how two
charged spheres induce dipole-dipole interactions into each other. This potential was
used in the earliest studies of the properties of liquid argon [13, 14]. LJ potentials
are not a good choice for very small r (r 0.1 nm) since the true interaction is
∼ (1/r)exp(−r) and not 1/r12 .
Typical simulation sizes in molecular dynamics simulation are very small up to
1000 atoms. As a consequence, most of the extensive quantities are small in magni-
tude when measured in macroscopic units. There are two possibilities to overcome
this problem: Either one should work with atomic-scale units (ps, amu, nm) or to
make all the observable quantities dimensionless with respect to their characteristic
values. The second approach is more popular. The scaling is done with the model pa-
rameters e.g size σ, energy ǫ, mass m. So the common recipe is, one chooses a value
for one atom/molecule pair potential arbitrarily (ǫ) and then other model parameters
(say energy E) are given in terms of this reference value (E ∗ = E/ǫ). The other
parameters are also calculated similarly. For example, dimensionless distance (r∗ =
r/σ), energy(E ∗ = E/ǫ), temperature (T ∗ = kT /ǫ), time (t∗ = t/[σ(m/ǫ)1/2 ]),
force (F ∗ = F σ/ǫ), diffusion coefficient (D∗ = D/[σ(ǫ/m)1/2 ]) and so on.
Now if we write the LJ potential in dimensionless form
6
12
∗ ∗ LJ 1 1
V (r ) = 4 ∗
− . (1.18)
r r∗
We see that it is parameter independent, consequently all the properties must also
be parameter independent. If a potential only has a couple of parameters then this
scaling has a lot of advantages. Namely, potential evaluation can be really efficient in
reduced units and as the results are always the same, so the results can be transferred
to different systems with straight forward scaling by using the model parameters
σ, ǫ and m. This is equivalent to selecting unit value for the parameters and it is
convenient to report system properties in this form e.g P ∗ (ρ∗ ).
1.3.2 Molecular Interaction Models
To describe atomic interactions in molecules more complex than a dimer a pair

potential is not enough. Since molecules are bonded by covalent bonds, at least
angular terms are needed, and in many cases many more complicated terms as well.
For instance, in carbon chains the difference between single and double bonds often
is important, and for this at least a four-body term is needed.
To describe complex molecules a large set of inter-atomic potentials (often also
called force fields) have been developed by chemists, physicists and biochemists. At
least when force fields are used to describe atom motion inside molecules and inter-
actions between molecules (but not actual chemical reactions) the term molecular
mechanics is often used.
The total energy of a molecule can be given as
E = Ebond + Eangle + Etorsion + Eoop + Ecross + Enonbond . (1.19)
Where:
– Ebond describes the energy change related to a change of bond length, and thus
is simply a pair potential V2 .
– Eangle describes the energy change associated with a change in the bond angle,
i.e. is a three-body potential V3 .
– Etorsion describes the torsion, i.e. energy associated with the rotation between
two parts of a molecule relative to each other.
– Eoop describes out-of-plane interactions, i.e. the energy change when one part
of a molecule is out of the plane with another.
– Ecross are cross terms between the other interaction terms.
– Enonbond describes interaction energies which are not associated with covalent
bonding. Could be e.g. ionic or van-der-Waal-terms.
In the following we describe the terms, using notation more common on chemistry
rather than the physics notation used earlier.
1.3.2.1 The Term Ebond
This term describes the energy change associated with the bond length. It is a simple
pair potential, and could be e.g. a Morse or LJ potential. At its simplest, it is purely
harmonic, i.e.
1
Ebond = kb (b − b0 )2 , (1.20)
2
bonds
where b is the bond length. If we write this term instead as

1
Ei = k(rij − r0 )2 , (1.21)
j
2
we see that this is essentially the same thing as the pair potentials dealt with earlier.
So this is essentially the same thing as approximating the bond as a string with the
string constant k. Although the approximation is very simple, it can be good enough
in problems where we are always close to equilibrium, since any smooth potential
well can always be to the first order approximated by a harmonic well. But harmonic
potentials obviously can not describe large displacements of atoms or bond breaking
reasonably. In solids, the harmonic approximation corresponds to the elastic regime,
i.e. the one where stress is directly proportional to the strain (Hooke’s law).
To improve on the bond model beyond the elastic regime, one can add higher-
order terms to it, e.g.

Ebond = K2 (b − b0 )2 + K3 (b − b0 )3 + K4 (b − b0 )4 . (1.22)
bonds
This way also larger strain can be described, but this still does not describe bond
breaking (dissociation).
Also the Morse potential

Ebond = Db {1 − e−a(b−b0 ) }2 (1.23)
bonds
is much used to describe bond energies. It is good in that it tends to zero when b
tends to infinity so it can describe bond breaking. But on the other hand it never
goes fully to zero, which is not quite realistic either as in reality a covalent bond
does break essentially completely at some inter-atomic distance.
1.3.2.2 Angular Terms Eangle
The angular terms describe the energy change associated with two bonds forming an
angle with each other. Most kinds of covalent bonds have some angle which is most
favored by them – for sp3 hybridized bonds it is ∼ 109◦ , for sp2 120◦ and so on.
Like for bond lengths, the easiest way to describe bond angles is to use a harmonic
term like

Eangle = Hθ (θ − θ0 )2 , (1.24)
θ
where θ0 is the equilibrium angle and Hθ a constant which describes the angular
dependence well.
This may work well up to 10◦ or so, but for larger angles additional terms are
needed. A typical means for improvement is the third-order terms and so forth, for
instance

Eangle = H2 (θ − θ0 )2 + H3 (θ − θ0 )3 . (1.25)
θ
1.3.2.3 Torsional Terms Etorsion
The bond and angular terms were already familiar from the potentials for solids. In
the physics and chemistry of molecules there are many important effects which can
not be described solely with these terms. The most fundamental of these is probably
torsion. By this, the rotations of one part of a molecule with respect to another is
meant. A simple example is the rotation of two parts of the ethane molecule C2 H6
around the central C-C carbon bond.
Torsional forces can be caused by e.g. dipole-dipole-interactions and bond con-
jugation. If the angle between two parts is described by an angle φ, it is clear that the
function f which describes the rotation should have the property f (φ) = f (φ+2π),
because it is possible to do a full rotation around the central bond and return to the
initial state. The trigonometric functions sine and cosine of course fulfill this re-
quirement, so it is natural to describe the torsional energy with a few terms in a
Fourier series
Etorsion = V1 (1 + cos(φ)) + V2 (1 + cos(2φ)) + V3 (1 + cos(3φ)) . (1.26)
The first part of the torsional term V1 is often interpreted to be related to dipole-
dipole interactions, V2 to bond conjugation and V3 to steric energy.
1.3.2.4 Out-of-Plane Terms Eoop
With the out-of-plane-terms one describes the energy which in (some cases) is as-
sociated with the displacement of atoms out of the plane in which they should be.
This is relevant in some (parts of) molecules where atoms are known to lie all in the
same plane. The functional form can be rather simple

Eoop = Hχ χ 2 , (1.27)
χ
where χ is the displacement out of the plane.
1.3.2.5 Cross Terms Ecross
The cross-terms are functions which contain several of the above-mentioned quanti-
ties. They could e.g. describe how a stretched bond has a weaker angular dependence
than a normal one. Or they can describe the relations between two displacements,
an angle and a torsion and so on.
1.3.2.6 Non-Bonding Terms Enonbond
With the non-bonding terms all effects which affect the energy of a molecule but
are not covalent bonds are meant. These are e.g. van-der-Waals-terms, electrostatic
Coulomb interactions and hydrogen bonds. For this terms one could thus further
divide
Enonbond = EvdW + ECoulomb + Ehbond . (1.28)
The van der Waals term is often a simple Lennard-Jones-potential, and ECoulomb a
Coulomb potential for some, usually fractional, charges qi .
1.3.3 Reactive Potentials
Most of the potential functions used in MD simulations are intended for modeling
physical processes, not chemical reactions. The formation and breaking of chemi-
cal bonds are inherently quantum mechanical processes, and are often studied using
first-principles methods. Nevertheless, classical potentials do exist that can empiri-
cally model changes in covalent bonding.
One successful method for treating covalent bonding interactions in computer
simulations is the Tersoff-type potential [15, 16, 17, 18]. Unlike traditional molecu-
lar mechanics force fields [19, 20, 21, 22, 23, 24, 25, 26], the Tersoff model allows
for the formation and dissociation of covalent chemical bonds during a simulation.
Many-body terms reflecting the local coordination environment of each atom are
used to modify the strength of more conventional pairwise terms. With this ap-
proach, individual atoms are not constrained to remain attached to specific neigh-
bors, or to maintain a particular hybridization state or coordination number. Models
of this sort, despite being purely classical, can provide a realistic description of co-
valent bonding processes in non-electrostatic systems. Potentials of this type have
been developed to treat systems containing silicon [16], carbon [17, 27], germanium
[18], oxygen [27], or hydrogen [27], as well as heterogeneous systems containing
various combinations of these species [18, 28, 29, 30, 31].
One particularly successful example of a Tersoff potential is the reactive empiri-
cal bond-order (REBO) potential developed by Brenner [30, 31, 32, 33]. This model
uses a Tersoff-style potential to describe the covalent bonding interactions in carbon
and hydrocarbon systems. Originally developed for use in simulating the chemical
vapor deposition of diamond [30], the REBO potential has been extended to provide
more accurate treatment of the energetic, elastic, and vibrational properties of solid
carbon and small hydrocarbons [33]. This potential has been used to model many
different materials and processes, including fullerenes [32], carbon nanotubes [34],
amorphous carbon [35], and the tribology and tribochemistry of diamond interfaces
[36, 37, 38, 39, 40, 41, 42].
The REBO potential is not appropriate for studying every hydrocarbon system,
however. In particular, the absence of dispersion and non-bonded repulsion terms
makes the potential poorly suited for any system with significant intermolecular
interactions. This is the case for many important hydrocarbon systems, including
liquids and thin films, as well as some solid-state materials such as graphite and
fullerenes. Even covalent materials such as diamond can benefit from a treatment
including non-bonded interactions. The bulk phase is dominated by covalent inter-
actions, but longer-range forces become quite important when studying interfacial
systems [27].
Various attempts have been made previously to combine non-bonded interac-
tions with the Tersoff or REBO potentials in a way that preserves the reactive ca-
pabilities of the model [43, 44, 45]. One such improvement of the Tersoff potential
was presented by Kai Nordlund et al. [46] which retains the good description of
the covalent bonding and yet also describes accurately both the short-range replu-
sive part of the potential and the long-range bonding between graphite planes. One
way to do this is to simply reduce the repulsive barrier associated with the Lennard-
Jones or other potential [47], although this results in barriers which are too large for
radical species and too small for saturated compounds. Another alternative, taken
by Nyden et al. [44], is to allow bonds to dissociate with a Morse potential [12],
and explicitly check for recombination reactions between dissociated radicals. This
approach has been used to model thermal decomposition of polymers [44], but is
not general enough to treat arbitrary reactions in hydrocarbons, such as addition
across unsaturated bonds. Another method, used by Che et al. [45] is to reduce the
repulsive non-bonded interactions based on the covalent interaction energy, rather
than the distance. This method can help eliminate non-bonded interactions dur-
ing bond dissociations, but will again tend to overestimate barriers in association
reactions.
1.4 Numerical Integration Techniques

The potential energy is a function of the atomic positions (3N) of all the atoms in
the system. Due to the complicated nature of this function, there is no analytical
solution to the equations of motion and these equation must be solved numerically.
Numerous numerical algorithms have been developed for integrating the equa-
tions of motion. We list several here.
(i) Verlet algorithm [14],
(ii) Leap-frog algorithm [48],
(iii) Velocity Verlet [49],
(iv) Beeman’s algorithm [50] and
(v) Symplectic reversible integrators [51, 52].
In choosing which algorithm to use, one considers the following criteria:
(i) The algorithm should conserve energy and momentum and is reversible. When
δt → −δt the system should go back to original state.
(ii) It should be computationally efficient.
(iii) It should permit a long time step for integration.
(iv) Only one force evaluation per time step (important for complex potential).
1.4.1 Verlet’s Algorithm
The most widely used finite-difference method is a third-order Störmer algorithm

first used by Verlet [14] and widely known as the Verlet’s method. It is derived from
the two Taylor expansion
1 1
r(t + δt) = r(t) + δt v(t) + δt2 a(t) + δt3 ȧ(t) + O(δt4 ) , (1.29)
2 3!
1 2 1
r(t − δt) = r(t) − δt v(t) + δt a(t) − δt3 ȧ(t) + O(δt4 ) , (1.30)
2 3!
summing the above two equations eliminates the odd-order terms. Rearranging gives
r(t + δt) + r(t − δt) = 2r(t) + δt2 a(t) , (1.31)

2 4
r(t + δt) = 2r(t) − r(t − δt) + δt a(t) + O(δt ) . (1.32)
Notice that the position vector r at time t + δt is calculated from position vector
at time t and t − δt, this makes the Verlet’s algorithm a two-step method. Therefore
it is not self-starting, initial positions r(0) and velocities v(0) are not sufficient to
begin a calculation. Also the velocities are missing from the above equation and can
be calculated from
r(t + δt) − r(t − δt)

v(t) = . (1.33)
2δt
In its original form it treats velocity as less important than positions. This ap-
proach is conflicting for ergodic system. The phase space trajectory depends equally
on positions and velocities.
The local error (error per iteration) in position of the Verlet integrator is O(δt4 )
and local error in velocity is O(δt2 ). However the global error in position is O(δt2 )
and the global error in velocity is O(δt2 ).
Because the velocity is determined in a non-cumulative way from the positions
in the Verlet integrator, the global error in velocity is also O(δt2 ). In molecular
dynamics simulations, the global error is typically far more important than the local
error, and the Verlet integrator is therefore known as a second-order integrator.
1.4.2 General Predictor-Corrector Algorithms
Predictor-corrector methods are composed of three steps: prediction, evaluation and

correction. Starting from the current position r(t) and velocity v(t), the numerical
steps are as follows.
(i) Predict the position r(t + δt) and velocity v(t + δt) at the end of the next step.
(ii) Evaluate the forces by taking the gradient of the potential at δt + t using the
predicted position. The difference in the calculated acceleration (this step) and
the predicted acceleration (step 1) constitutes an error signal.
(iii) The error signal is used to correct the predictions using some combination of
the predicted and previous values of position and velocity.
Using a Taylor series expansion to predict the system configuration at time (t + δt)
one gets
1 1
r(t + δt) = r(t) + δt v(t) + δt2 a(t) + δt3 b(t) + . . . ,
2 3!
1 2
v(t + δt) = v(t) + δt a(t) + δt b(t) + . . . ,
2
a(t + δt) = a(t) + δt b(t) + . . . ,
b(t + δt) = b(t) + . . . , (1.34)
where b is the time derivative of the acceleration a and is known at time t.

If the Taylor expansions are truncated, so that only the terms shown explicitly
in (1.34) are left, then the quantities can be called the predicted values rp , v p , ap
and bp . The force is computed by taking the gradient of potential at the predicted
position rp , and new acceleration value is computed. Since the predicted values are
not based on physics the re-calculated acceleration is different from the predicted
acceleration ap (acceleration in (1.34)). The difference between the two values is
called the error signal or error
∆a(t + δt) = ac (t + δt) − ap (t + δt) . (1.35)
This error signal is used to correct all predicted quantities in (1.34)
r c (t + δt) = r p (t + δt) + c0 ∆a(t + δt) ,
v c (t + δt) = v p (t + δt) + c1 ∆a(t + δt) ,
ac (t + δt) = ap (t + δt) + c2 ∆a(t + δt) ,
bc (t + δt) = bp (t + δt) + c3 ∆a(t + δt) . (1.36)
All the corrected quantities are proportional to the error signal, and the propor-
tional coefficients are determined to maximize the stability of the calculation. These
corrected values are now better approximations of the true quantities, and are used
to predict the quantities in the next iteration. The best choice for these coefficients
depends on the order of both the differential equations and the Taylor series [53].
These coefficients are computed based on the order of the algorithm being used in
the simulation. In addition, the accuracy of the numerical integrator algorithms also
depends on the time step size, which is typically on the order of fractions of femto-
seconds (10−15 s). Thus, the simulation as a whole is able to describe only short-
time scale phenomena that last on the order of pico- (10−12 ) up to nano-seconds
(10−9 s).
1.4.3 Leap-Frog
In this algorithm, the velocities are first calculated at time t + 1/2δt; these are used
to calculate the positions, r, at time t + δt. In this way, the velocities leap over the
positions, then the positions leap over the velocities. The advantage of this algorithm
is that the velocities are explicitly calculated, however, the disadvantage is that they
are not calculated at the same time as the positions. The velocities at time t can be
approximated by the relationship

1 1 1
v(t) = v t − δt + v t + δt . (1.37)
2 2 2
Therefore:

1
r(t + δt) = r(t) + v t + δt δt , (1.38)
2

1 1
v t + δt = v t − δt + a(t)δt . (1.39)
2 2
1.4.4 Velocity Verlet
One starts with the following equations

1
r(t + δt) = r(t) + δt v(t) + δt2 a(t) + . . . , (1.40)
2
1
v(t + δt) = v(t) + δt [a(t) + a(t + δt)] . (1.41)
2
Each integration cycle consists of the following step:
(i) Calculate the velocities at mid-step using

δt 1
v t+ = v(t) + δt a(t) . (1.42)
2 2
(ii) Calculate r(t + δt)

δt
r(t + δt) = r(t) + v t + δt . (1.43)
2
(iii) Calculate a(t + δt) from the potential.

(iv) Update the velocity using

δt 1
v(t + δt) = v t + + δt a(t + δt) . (1.44)
2 2
1.4.5 Beeman’s Algorithm
The advantage of this algorithm is that it provides a more accurate expression for
the velocities and better energy conservation. The disadvantage is that the more
complex expressions make the calculation more expensive
2 1
r(t + δt) = r(t) + δt v(t) + δt2 a(t) − δt2 a(t − δt) . (1.45)
3 6
The predicted velocity is given by
3 1
v(t + δt) = v(t) + δt a(t) − δt a(t − δt) . (1.46)
2 2
The acceleration is based on the predicted velocity
a(t + δt) = F ({ri (t + δt), vi (t + δt)}, i = 1, 2...n) , (1.47)
where vi is the predicted velocity from the previous equation. The corrected velocity
is given by
1 5 1
v(t + δt) = v(t) + δt a(t + δt) + δt a(t) − δt a(t − δt) . (1.48)
3 6 6
1.4.6 Gear Algorithm
The fifth-order Gear predictor-corrector method [53] predicts the molecular position
ri at time t+δt using fifth-order Taylor series based on position and their derivatives
at time t. It is particularly useful for stiff differential equations.
1.4.7 Symplectic Integrators
Symplectic integrators are designed for the numerical solution of Hamiltonian’s

equation of motion. They preserve Poincaré invariants when integrating classical
trajectories (see [54] and earlier references therein). The Hamiltonian which is
slightly perturbed from the original value is conserved. This approach has the big
advantage, that it guarantees and preserves conservation laws.
1.5 Analysis of MD Runs

In this section we will describe how the output of MD simulations (positions and
velocities) are analysed to get the physical quantities of interest.
1.5.1 Ergodic Hypothesis
To calculate a physical quantity A in molecular dynamics, it is calculated as the time

average of A
τ M
1 1 N N
Atime = lim A pN (t), r N (t) dt ≈ A p ,r , (1.49)
τ →∞ τ M t=1
t=0
where t is the simulation time, M is the number of time steps in the simulation and
A(pN , rN ) is the instantaneous value of A. This integral is generally extremely
difficult to calculate because one must calculate all possible states of the system.
In statistical mechanics experimental observables are assumed to be ensemble
averages

Aensemble = dpN dr N A pN , rN ρ pN , rN , (1.50)
where A(pN , rN ) is the observable of interest, ρ(pN , rN ) is the probability den-

sity of the ensemble. The integration is carried over all possible values of position r
and momenta p. The ergodic hypothesis, which states that the time average equals
the ensemble average
Atime = Aensemble , (1.51)
The basic idea is that if one allows the system to evolve in time indefinitely, then
the system will eventually pass through all possible states. One goal, therefore, of a
molecular dynamics simulation is to generate enough representative conformations

such that this equality is satisfied. If this is the case, experimentally relevant infor-
mation concerning structural, dynamic and thermodynamic properties may then be
calculated using a feasible amount of computer resources. Because the simulations
are of fixed duration, one must be certain to sample a sufficient amount of phase
space.
1.5.2 Standard Diagnostics
There are a number of different physical quantities which one may be interested in.
For a liquid, these may be liquid structure factors, transport coefficients (eg. diffu-
sion coefficient, viscosity or thermal conductivity) etc. For solids, these may be crys-
tal structure, adsorption of molecules on surface, melting behaviour etc. Here, we
will consider the diagnostics methods to calculate internal energy, pressure tensor,
self-diffusion coefficient and pair distribution function. More details are described
in [55, 56].
1.5.2.1 Energy
The energy is the simplest and most straightforward quantity to calculate. From all
pair of atoms (i, j), one calculates their separation r ij . These are then substituted
into the chosen form of potential U (r). The energy has contributions from both po-
tential and kinetic terms. The kinetic energy should be calculated after the momenta
p have been updated, i.e., after the force routine has been called. The kinetic energy
can then be calculated, and then added to the potential energy

|pi |2
E = H = K + U = + U (r) . (1.52)
i
2mi
U (r) is obtained directly from the potential energy calculations. For calculating
avarage temperature
N
3 1 |pi |2
Ekin = K = N kB T ⇒ T = . (1.53)
2 3N kB i=1 mi
1.5.2.2 Pressure
Pressure is a second rank tensor. For inhomogeneous systems, one calculates this
tensor by finding the force across potential surfaces [57]. However, for homoge-
neous systems, it is not the most efficient method and one uses the virial theorem
to calculate the configurational part of the pressure tensor, and then add that to the
kinetic part. For the derivation of the virial theorem one can refer to [58]. The full
expression for the pressure tensor of a homogeneous system of particles is given as
⎡ ⎤
N N N
1 ⎣
P (r, t) = mi v i (t)v i (t) + r ij (t)F ij (t)|ri (t)=r ⎦ , (1.54)
V i=1 i=1 j>i
where V is the volume, mi , vi are the mass and velocity of particle i respectively.
The first term represents the kinetic contribution and the second term represents the
configurational part of the pressure tensor. It is clear that the interaction between the
pairs is calculated just once. Note that the above equation is valid for atomic systems
at equilibrium, system of molecules require some modifications to be made, as do
non-equilibrium systems.
1.5.2.3 Pair Correlation Function
The static properties of the system e.g. structure, energy, pressure etc. are obtained
from the pair (or radial) correlation function. Pair correlation function, g(r), gives
the information on the structure of the material. It gives the probability of locating
pairs of atoms separated by a distance r, relative to that for a completely random
distribution at the same density (i.e. the ideal gas). For a crystal, it exhibits a se-
quence of peaks at positions corresponding to shells around a given system. For
amorphous materials and liquid, g(r) exhibits its major peak close to the average
atomic separation of neighboring atoms, and oscillates with less pronounced peaks
at larger distances. The magnitude of the peaks usually decays exponentially with
distance as g(r) → 1. In most cases, g(r) vanishes below a certain distance where
atomic repulsion is strong enough to prevent pairs of atoms from getting too close.
It is defined as
N N
V
g(r) = 2 δ(r − r ij ) . (1.55)
N i=1 j =i
In a computer simulation, the delta function is replaced by a function that is

finite (say, given a value 1) over a small range of separations, and a histogram is
accumulated ove time of all pair separations that fall within this range. g(r) is ef-
fectively a measure of structural properties, but is particularly important because all
thermodynamic quantities may be expressed as some function of it [56, 59].
1.5.2.4 Time Correlation Function
The dynamic and transport properties of the system are obtained from time corre-
lation functions. Any Transport coefficient K can be calculated using generalized
Einstein and Green-Kurbo Formulas [60]

[A(t) − A(0)]
2 ∞
K(t) = lim = dτ Ȧ(τ )Ȧ(0) . (1.56)
t→∞ 2t
0
If one wants to calculate the self diffusion coefficient then A(t) = ri (t) is the
atom position at time t and
Ȧ = v i (t) is the velocity of the atom. For calculating the
shear viscosity, A(t) = mi ri (t)v i (t) and Ȧ = σ αβ . Other transport quantities
can also be calculated similarly. If we compare the value of A(t) with its value at
zero time, A(0) the two values will be correlated at sufficiently short times, but
at longer times the value of A(t) will have no correlation with its value at t = 0.
Information on relevant dynamical processes is contained in the time decay of K(t).
Time correlation function can be related to the experimental spectra by a fourier
transformation.
1.5.2.5 Diffusion Coefficients
As discussed above, we obtain diffusion coefficient using the Einstein relation

[r(t) − r(0)]2
D = lim , (1.57)
t→∞ 2dt
where D is the diffusion coefficient, d is the dimensionality of the system and r(t) is
the position of atom at time t. Angle brackets represents averaging over all possible
time origins (see [56] for more information). This is proportional to the slope of the
mean square displacement of a single particle undergoing Brownian motion at the
long time limit.
Warrier et al. [61] analysed the diffusion of hydrogen atoms in porous graphite.
They found, that different length scales for jumps are present in the system. J. Klafter
et al. [62] talk about random walk that are sub-diffusive (wherein the trajectory
results in a mean square displacement that shows slower-than-linear growth with
time), and super-diffusive (wherein the trajectory results in a mean square displace-
ment that shows faster-than-linear growth with time). Such random walks are called
Lévy flights and can show up super-diffusive behaviour with infinite variance and
their trajectories show self-similar patterns characteristics of fractals.
Fig. 1.1. Left: One hydrogen atom in a carbon lattice. Right: Diffusion paths at 900 K for a
hydrogen atom in graphite. Small frequent jumps and rare large jumps are visible
1.5.3 Multi-Scale Modeling
Multi-Scale modeling is the field of solving physical problems which have important
features at multiple scales, particularly multiple spatial and temporal scales. As
an example, the problem of protein folding has multiple time scales. While the
time scale for the vibration of the covalent bonds is of the order of femtoseconds
(10−15 s), folding time for proteins may very well be of the order of seconds. Well-
known examples of problems with multiple length scales include turbulent flows,
mass distribution in the universe, and vortical structures on the weather map [63]. In
addition, different physical laws may be required to describe the system at different
scales. Take the example of fluids. At the macroscale (meters or millimeters), fluids
are accurately described by the density, velocity and temperature fields, which obey
the continuum Navier-Stokes equations. On the scale of mean free path, it is neces-
sary to use kinetic theory (Boltzmann equations) to get a more detailed description
in the terms of the one-particle phase-space distribution function. At the nanome-
ter scale, molecular dynamics in the form of Newton’s law has to be used to give
the actual position and velocity of each individual atom that makes up the fluid.
If a liquid such as water is used as the solvent for protein folding, then the elec-
tronic structure of the water molecules becomes important and these are described
by Schrödinger’s equation in quantum mechanics. The boundaries between different
levels of theories may vary, depending on the system being studied, but the overall
trend described above is generally valid. At each finer scale a more detailed theory
has to be used, giving rise to more detailed information on the system. Warrier et al.
Granules
KMC in voids
Voids
DiG_Bulk
MCD in granules
5µ DTGD 5 nm
micro−voids
Crystallites
DiG_TGD
PorousGeometry (ωl,h, El,h l,h
m,L )
MD
Fig. 1.2. Multi-scale modeling approach for diffusion of hydrogen in porous graphite
[61] have done a multi-scale analysis of the diffusion of hydrogen isotope in porous
graphite. They used the insight gained from microscopic models (consisting of a
few hundreds of atoms over a time scale of a few picoseconds and length scale of
nanometersusing MD) into modeling the hydrogen isotope reactions and transports
at meso-scale (trans-granular diffusion, with length scales of few microns) and fur-
ther into the macro-scale (typically a centimeter over a time scale of milliseconds).
Therefore a multi-scale (both in length and time) approach to modeling plasma sur-
face interaction is necessary. The figure below explains the multi-scale modeling
approach clearly.
1.6 From Classical to Quantum-Mechanical MD

Classical molecular dynamics using predefined potentials is well established as
a powerful tool to investigate many-body condensed matter systems. The broad-
ness, diversity, and level of sophistication of this technique is documented in
several monographs as well as proceedings of conferences and scientific schools
[56, 64, 65, 66, 67, 68, 69]. At the very heart of any molecular dynamics scheme
is the question of how to describe, that is in practice how to approximate, the in-
teratomic interactions. The traditional route followed in molecular dynamics is to
determine these potentials in advance. Typically, the full interaction is broken up
into two-body, three-body and many-body contributions, long-range and short-range
terms etc., which have to be represented by suitable functional forms, discussed
under the inter-atomic potentials section of this article. After decades of intense
research, very elaborate interaction models including the non-trivial aspect to rep-
resent them analytically were devised [70, 71, 72].
Despite overwhelming success of the pre-calculated potentials, the fixed model
potential implies serious drawbacks. Among the most delicate ones are systems
where
(i) many different atom or molecule types give rise to a myriad of different inter-
atomic interactions that have to be parameterized and/or
(ii) the electronic structure and thus the bonding pattern changes qualitatively in the
course of the simulation.
These systems can be called chemically complex.
The reign of traditional molecular dynamics and electronic structure methods
was greatly extended by the family of techniques that is called here ab initio
molecular dynamics. Other names that are currently in use are for instance Car-
Parrinello, Hellmann-Feynman, First principles, quantum chemical, on-the-fly, di-
rect, potential-free, quantum, etc. molecular dynamics. The basic idea underlying
every ab initio molecular dynamics method is to compute the forces acting on the
nuclei from electronic structure calculations that are performed on-the-fly as the
molecular dynamics trajectory is generated. In this way, the electronic variables
are not integrated out before-hand, but are considered as active degrees of free-
dom. This implies that, given a suitable approximate solution of the many-electron
problem, also chemically complex systems can be handled by molecular dynamics.

But this also implies that the approximation is shifted from the level of selecting the
model potential to the level of selecting a particular approximation for solving the
Schrödinger equation.
1.7 Ab Initio MD
In this approach, a global potential energy surface is constructed in a first step either
empirically or based on electronic structure calculations. In a second step, the dy-
namical evolution of the nuclei is generated by using classical mechanics, quantum
mechanics or semi/quasiclassical approximations of various sorts.
Suppose that a useful trajectory consists of about 10M molecular dynamics
steps, i.e. 10M electronic structure calculations are needed to generate one trajec-
tory. Furthermore, it is assumed that 10n independent trajectories are necessary in
order to average over different initial conditions so that 10M+n ab initio molecular
dynamics steps are required in total. Finally, it is assumed that each single-point
electronic structure calculation needed to devise the global potential energy surface
and one ab initio molecular dynamics time step requires roughly the same amount
of CPU time. Based on this truly simplistic order of magnitude estimate, the advan-
tage of ab initio molecular dynamics vs. calculations relying on the computation of
a global potential energy surface amounts to about 103N +6+M+n . The crucial point
is that for a given statistical accuracy (that is for M and n fixed and independent
on N ) and for a given electronic structure method, the computational advantage
of on-the-fly approaches grows like 10N with system size. Of course, considerable
progress has been achieved in trajectory calculations by carefully selecting the dis-
cretization points and reducing their number, choosing sophisticated representations
and internal coordinates, exploiting symmetry etc. but basically the scaling 10N
with the number of nuclei remains a problem. Other strategies consist for instance
in reducing the number of active degrees of freedom by constraining certain inter-
nal coordinates, representing less important ones by a (harmonic) bath or friction,
or building up the global potential energy surface in terms of few-body fragments.
All these approaches, however, invoke approximations beyond the ones of the elec-
tronic structure method itself. Finally, it is evident that the computational advantage
of the on-the-fly approaches diminish as more and more trajectories are needed for
a given (small) system. For instance extensive averaging over many different initial
conditions is required in order to calculate quantitatively scattering or reactive cross
sections.
A variety of powerful ab initio molecular dynamics codes have been developed,
few of them listed here are CASTEP [73], CP-PAW [74], fhi98md [75], NWChem
[76], VASP [77], GAUSSIAN [78], MOLPRO [79] and ABINIT [80, 81].
1.8 Car-Parrinello Molecular Dynamics

The basic idea of the Car-Parrinello [4] approach can be viewed to exploit the
quantum-mechanical adiabatic time-scale separation of fast electronic and slow
nuclear motion by transforming that into classical-mechanical adiabatic energy-
scale separation in the framework of dynamical systems theory. In order to achieve
this goal the two-component quantum/classical problem is mapped onto a two-
component purely classical problem with two separate energy scales at the expense
of loosing the explicit time-dependence of the quantum subsystem dynamics.
Car and Parrinello postulated the following class of Lagrangians [4] to serve this
purpose
1 1
LCP = MI ṘI2 + μi ψ̇i |ψ̇i − Ψ0 |He |Ψ0 + constraints , (1.58)
2 i
2
I

normal kinetic energy potential energy orthonormality
where μi (= μ) are the fictitious masses or inertia parameters assigned to the or-
bital degrees of freedom; the units of the mass parameter μ are energy times a
squared time for reasons of dimensionality. ψi are regarded as classical fields, MI
are the ionic masses. The potential energy in the Car-Parrinello Lagrangian can be
written as
Ψ0 |He |Ψ0 = EKS [{ψi }, RI ] , (1.59)
EKS is the LDA-KS energy functional. Within the pseudopotential implementation
of the local density approximation (LDA) in the Kohn-Sham (KS) scheme, the ionic
potential energy corresponding to the electron in the ground state can be found
by minimizing the KS total-energy functional EKS [{ψi }, RI ] with respect to the
one-particle wavefunction ψi (r) describing the valence-electron density subject to
orthonormalization constraints. The explicit expression of EKS in terms of orthonor-
mal one-particle orbitals ψi (r) is
EKS [{ψi (r)}, {RI }]

1 1 ρ(r 1 )ρ(r 2 )
= fi ψi∗ (r) − ∇2 ψi (r)dr + dr1 dr 2
i
2 2 |r1 − r 2 |

+ ǫXC (ρ(r)) ρ(r)dr + EeI ([ψi (r)] , {RI }) + UI0 ({RI }) . (1.60)
The terms on the right-hand side of the previous equation are, respectively, the
electronic kinetic energy, the electrostatic Hartree term, the integral of the LDA
exchange and correlation energy density ǫXC , the electron-ion pseudopotential in-
teraction, and the ion-ion interaction potential energy. The electronic density ρ(r)
is given by
ρ(r) = fi |ψi (r)|2 , (1.61)
i
where fi are occupation numbers.
The corresponding Newtonian equations of motion are obtained from the asso-
ciated Euler-Lagrange equations
d ∂L ∂L
= , (1.62)
dt ∂ ṘI ∂RI
d δL δL
= (1.63)
dt δ ψ̇i∗ δψi∗
like in classical mechanics, but here for both the nuclear positions and the orbitals;
note ψi∗ = ψi | and that the constraints are holonomic (which can be expressed in
the form f (r1 , r 2 , ..., t) = 0). Following this route of ideas, generic Car-Parrinello
equations of motion are found to be of the form
∂ ∂
MI R̈I (t) = − Ψ0 |He |Ψ0 + {constraints} , (1.64)
∂RI ∂RI
δ δ
μi ψ̈i (t) = − ∗ Ψ0 |He |Ψ0 + {constraints} . (1.65)
δψi δψi∗
Note that the constraints within the total wavefunction lead to constraint forces
in the equations of motion. Note also that these constraints might be a function of
both the set of orbitals {ψi } and the nuclear positions {RI }. These dependencies
have to be taken into account properly in deriving the Car-Parrinello equations fol-
lowing from (1.58) using (1.62) and (1.63).
According to the Car-Parrinello equations of motion, the nuclei evolve in time
2
at a certain (instantaneous) physical temperature ∝ I MI ṘI , whereas a fictitious

temperature ∝ i μi ψ̇i |ψ̇i is associated to the electronic degrees of freedom. In
this terminology, low electronic temperature or cold electrons means that the elec-
tronic subsystem is close to its instantaneous minimum energy min{ψi } Ψ0 |He |Ψ0
i.e. close to the exact Born-Oppenheimer (BO) surface. Thus, a ground-state wave-
function optimized for the initial configuration of the nuclei will stay close to its
ground state also during time evolution if it is kept at a sufficiently low temperature.
The remaining task is to separate in practice nuclear and electronic motion such that
the fast electronic subsystem stays cold also for long times but still follows the slow
nuclear motion adiabatically (or instantaneously). Simultaneously, the nuclei are
nevertheless kept at a much higher temperature. This can be achieved in nonlinear
classical dynamics via decoupling of the two subsystems and (quasi-)adiabatic time
evolution. This is possible if the power spectra stemming from both dynamics do not
have substantial overlap in the frequency domain so that energy transfer from the
hot nuclei to the cold electrons becomes practically impossible on the relevant time
scales. This amounts in other words to imposing and maintaining a metastability
condition in a complex dynamical system for sufficiently long times.
The Hamiltonian or conserved energy is the constant of motion (like classical
MD, with relative variations smaller than 10−6 and with no drift), which serves as
an extremely sensitive check of the molecular dynamics algorithm. Contrary to that
the electronic energy displays a simple oscillation pattern due to the simplicity of
the phonon modes. Most importantly, the fictitious kinetic energy of the electrons is
found to perform bound oscillations around a constant, i.e. the electrons do not heat
up systematically in the presence of the hot nuclei.
As we have seen above, Car-Parrinello method gives physical results even if the
orbitals are not at the BO surface, provided that the electronic and ionic degrees
of freedom remain adiabatically separated and electrons remain close to the BO
surface. Loss of adiabacity would mean that there is transfer of energy from hot
nuclei to cold electron and Car-Parrinello MD deviates from BO surface.
1.8.1 Adiabaticity
The metastable two-temperature regime setup in the CP dynamics is extremely ef-
ficient at approximating the constraints of maintaining the electronic energy func-
tional at the minimum without explicit minimization. At the beginning of the nu-
merical simulation, the electronic subsystem is in an initial state which is very close
to the minimum of the energy surface. When the ions start moving, their motion
causes a change in the instantaneous position of the minimum in the electronic pa-
rameter space. The electrons experience restoring forces and start moving. If they
start from a neighborhood of a stable equilibrium position, there will be range of
initial velocities such that a regime of small oscillations is originated.
A simple harmonic analysis of the frequency spectrum of the orbital classical
fields close to the minimum defining the ground state yields [82]
1/2
2(ǫi − ǫj )
ωij = , (1.66)
μ
where ǫj and ǫi are the eigen values of occupied and unoccupied orbitals, respec-
tively. The analytic estimate for the lowest possible electronic frequency
1/2
min Egap
ωe ∝ (1.67)
μ
shows that this frequency increases like the square root of the electronic energy dif-
ference Egap between the lowest unoccupied and the highest occupied orbital. On
the other hand it increases similarly for a decreasing fictitious mass parameter μ.
Since the parameters Egap and the maximum phonon frequency (ωnmax ) are dictated
by physics, the only parameter in our hands to control adiabatic separation is the
fictitious mass, which is therefore also called adiabaticity parameter. However, de-
creasing μ not only shifts the electronic spectrum upwards on the frequency scale,
but also stretches the entire frequency spectrum according to (1.66). This leads to
an increase of the maximum frequency according to
1/2
max Ecut
ωe ∝ , (1.68)
μ
where Ecut is the largest kinetic energy in an expansion of the wavefunction in
terms of a plane wave basis set. Limitation to decrease arbitrarily kicks in due to the
maximum length of the molecular dynamics time step ∆tmax that can be used. The
time step is inversely proportional to the highest frequency in the system, which is
ωemax and thus the relation
1/2
max μ
∆t ∝ . (1.69)
Ecut
In the limit, when, electronic gap is very small or even vanishes Egap → 0 as
is the case for metallic systems, all the above-given arguments break down due to
the occurrence of zero-frequency electronic modes in the power spectrum according
to (1.67), which necessarily overlap with the phonon spectrum. It has been shown
that the coupling of separate Nosé-Hoover thermostats [68, 69, 83] to the nuclear
and electronic subsystem can maintain adiabaticity by counterbalancing the energy
flow from ions to electrons so that the electrons stay cool [84]; see [85] for a sim-
ilar idea to restore adiabaticity. Although this method is demonstrated to work in
practice [86], this ad hoc cure is not entirely satisfactory from both a theoretical and
practical point of view so that the well-controlled Born-Oppenheimer approach is
recommended for strongly metallic systems.
1.9 Potential Energy Surface

In the past two decades, or so, there have been dramatic improvements in both the
accuracy and efficiency of high-level electronic structure calculations [87, 88, 89,
90]. These advances, along with the increasing speed of modern computers have
made possible very high-quality ab initio calculations for small polyatomic sys-
tems [91, 92]. For three- and four-atom systems, calculations with errors less than
1 kcal/mol are feasible. Gradients and Hessians are also becoming widely avail-
able. However, many uses of this vast supply of data require that it be re-expressed
with a suitable local or global representation as a potential energy surface (PES).
Since the inception of quantum mechanics, considerable effort has been devoted
to finding better ways of utilizing ab initio data and/or experimental data to con-
struct PES. The earliest and most common methods involve least-squares fitting to
empirical or semi-empirical functional forms [71, 93, 94]. This approach is mature
and well understood, although sophisticated schemes involving complex functional
forms continue to evolve. During the past decade, generic multivariate interpolation
techniques have gathered attention as alternatives to complicated functional forms
[95, 96, 97, 98, 99]. The goal of these methods is to produce a general framework
for constructing PESs that will reduce the effort and expertise required to turn high-
level calculations into usable surfaces.
Another solution is to skip the surface construction step entirely and to use the ab
initio results directly in dynamical studies [100, 101, 102]. However, such direct dy-
namics techniques are inherently classical trajectory approaches and require tens of
ab initio calculations for dynamically significant trajectories, and thus, this approach
is limited by the available electronic structure calculation techniques. Its application
has been restricted to cases in which modest potential quality seems sufficient and
in which discrete spectral lines or state-selected dynamics are not required, as in
rate constant calculations based on classical trajectories [103] or in transition state
theory [104, 105]. In contrast, the highest-accuracy ab initio calculations can take
hours or more of computer time, even for small systems. Another obstacle for on-
the-fly calculations of ab initio energies is the failure or non-convergence of the ab
initio method. One frequently comes across this problem when the nuclear config-
urations are in a state for which the selected ab initio method fails. This is seen in
particular for dissociating molecules. The absence of ab initio energy on the sur-
face can be treated as hole in the surface and can be corrected on the pre-calculated
surface. Moreover, carefully adding the ab initio fragment data for the dissociat-
ing molecule allows to study reaction dynamics on high quality surface. Thus, the
construction of accurate analytic representations of PES is a necessary step in full
quantum spectroscopic and dynamics studies.
The number of high-level ab initio data points currently needed for adequate
sampling of dynamically significant regions typically ranges from several hundred
to several thousand points for tri- and tetra-atomic systems. Methods that use deriva-
tives typically use fewer configurations; however, the number of pieces of informa-
tion is typically in the same range [106, 107, 108, 109, 110, 111, 112, 113].
In constructing the PES the prescribed functional form must be carefully crafted
so that it
(i) does not introduce arbitrary features,
(ii) achieves the required smoothness,
(iii) preserves any necessary permutation symmetry, and
(iv) agrees with any known asymptotic form of the underlying PES.
An analytic fit that has a residual significantly larger than the error in the high level
ab initio calculations is only marginally more useful than if a lower-level calcula-
tion is employed. High-quality ab initio calculations demand representations that
preserve their level of accuracy.
One such method named, Reproducing kernel Hilbert space (RKHS) was intro-
duced by Hollebeek et al. [114]. Several other examples of carefully crafted analytic
representations are listed in [114].
1.10 Advanced Numerical Methods

A system consisting of N particles in which the particles interact through forces
with a cutoff distance Rc , each particle feels the forces from Nc ∝ ρRc3 neighbors.
CPU time required to advance the system one time step δt is proportional to the
number of forces calculated, N Nc /2. Clearly the simulation time grows as the cube
of the cutoff distance. A frequently encountered problem in molecular dynamics is
how to treat the long times that are required to simulate condensed systems con-
sisting of particles interacting through long range forces. Standard methods require
the calculation of the forces at every time step. Because each particle interacts with
all particles within the interaction range of the potential the longer the range of the
potential the larger the number forces that must be calculated at each time step.
1.10.1 Ewald Summation Method
The Ewald summation is the method of choice to compute electrostatic interactions

in systems with periodic boundary conditions [56]. It avoids all problems associ-
ated with the use of a cut-off radius and there is no need for switching or shifting
functions. Lennard-Jones interactions are calculated normally; due to their shorter
range the errors are normally negligible. The Ewald sum consists of a short-range
term that is computed in normal space (r-part) and a second term, the k-sum, that is
calculated in Fourier-space (k-space). A parameter, usually labeled κ or η, controls
the relationship between the two parts. Its value should be chosen so that the r-part
interaction between a pair of particles is zero at the cut-off distance, which is still
used although it is more a formal parameter in Ewald summation. The more one
dampens the r-part (and thus shortens the computer time required for its calcula-
tion), the more costly the calculation of the k-sum becomes. Even highly optimized
computer codes for the Ewald sum are, therefore, slower than cut-off based meth-
ods. If one does not make an error in the choice of η (κ) vs. the cut-off distance and
includes enough terms in the k-sum, the calculation of the electrostatic energy using
the Ewald summation is exact.
1.10.1.1 Minimum Image
The simulation region or cell is effectively replicated in all spatial directions, so that
particles leaving the cell reappear at the opposite boundary. For systems governed
by a short-ranged potential – say Lennard-Jones or hard spheres – it is sufficient to
take just the neighbouring simulation volumes into account, leading to the minimum-
image configuration shown in Fig. 1.3.
The potential seen by the particle at r i is summed over all other particles
rj , or their periodic images (r j ± n), where n = (ix , iy , iz )L, with iα =
0, ±1, ±2, ±3... ± ∞ whichever is closest. L denotes the length of the simulation
box. More typically, this list is further restricted to particles lying within a sphere
centred on ri6 . For long-range potentials, this arrangement is inadequate because the
contributions from more distant images at 2L, 3L etc., are no longer negligible.
1.10.1.2 Ewald Summation
One is faced with the challenge of arranging the terms in the potential energy equa-
tion so that the contribution from oppositely charged pairs of charges cancel and the
summation series converges, and preferably as fast as possible.
A way to achieve this is to add image cells radially outwards from the origin as
shown in Fig. 1.4 (this is to build up sets of images contained within successively
larger spheres surrounding the simulation region).
Fig. 1.3. Periodic boundary conditions for simulation region (centre, dark-shaded particles
at positions r j ), showing minimum-image box for reference ion ⊕ at position r i containing
nearest periodic images (lightshaded particles at positions r j ± n)
For the above scheme the potential at ri due to charges at rj and image cells is
i N
′ qj
Vs (ri ) = , (1.70)
n j=1
|rij + n|
where r ij = ri −r j , n and iα is same as above. The prime in the summation over n

indicates that the term j = i is omitted for the primary cell n = 0. Taking the image
cells in the order perscriped by Fig. 1.4 ensures that the sum in (1.70) converges
+
–
+ + + +
– – – –
+ + + + + + + + +
– – – – – – – – –
+ + + +
– – – –
+
-
Fig. 1.4. Constructing a convergent sum over periodic images (adapted from Allen &
Tildesley)
to the correct value, but only slowly. The summation over the boxes as shown in
(1.70) is computionally expensive for N -body problem. The O(N 2 ) is turned into
a Nbox × N 2 operation problem.
Ewald’s idea got around this problem by recasting the potential equation into
sum of two rapidly converging series, one in real space and one in the reciprocal k-
space. Consider the simple Gaussian distribution originally used by Ewald himself
α3 −α2 r2
σ(r) = e , (1.71)
π 3/2
which is normalized such that
∞
σ(r)dr = 1 . (1.72)
0
Note that α determines the height and width of the effective size of the charges
(called spreading function). To obtain the real-space term depicted in Fig. 1.5, we
just subtract the lattice sum for the smeared out charges fom the original point-
charge sum, thus
N
∞
′ qj 3
Vr (r i ) = 1− σ(r − rij )d r
n j=1
|r ij + n|
0
|r
ij +n|
′ 1 4α3 2 2
= qj − 1/2 r2 e−α r
dr
n j
|r ij + n| π |rij + n|
0
∞
3
4α 2 2
− r e−α r
dr . (1.73)
π 1/2
|r ij +n|
The second term in the above equation can be integrated by parts to give an error
function
x
2 2
erfc(x) = 1 − 1/2 e−t dt , (1.74)
π
0
point charges real space k space
Fig. 1.5. Splitting the sum for point charges into two rapidly convergent series for Gaussian-
shaped charges
plus a term which exactly cancels the third term. This gives
N
′ erfc(α|r ij + n|)
Vs (r i ) = qj . (1.75)
n j=1
|rij + n|
Now for the reciprocal-space sum, consider the charge density of the whole lattice
at some arbitrary position r

ρ(r) = qj δ(r − rj ) . (1.76)
j
Since the lattice is periodic, we can express this quivalently as a Fourier sum

ρ(r) = L−3 f (k)e−ik·r) , (1.77)
j k
where k = 2π/(L(ix , iy , iz )); iα = 0, 1, 2, . . . etc. and

f (k) = ρ(r) eik·r d3 r , (1.78)
L3
where the integration is restricted to the unit cell volume V = L3 . Substituting

ρ(r) from (1.76) into (1.78) and making use of standard identity picks out modes
corresponding to the point charges

f (k) = qj eik·rj . (1.79)
j
The smeared charge distribution is

ρ′ (r) = qj σ(r − rj ) = ρ(r − r′ ) σ(r′ )d3 r′ . (1.80)
j
L3
This is the convolution of function ρ(r) with function σ(r), which can be expressed
in Fourier space as
1 ′
ρ′ (r) = f (k)φ(k, α)e−ik·r , (1.81)
L3
k
where φ(k, α) is the Fourier transform of the charge-smearing function σ(r), i.e.
2
/(4α2 )
φ(k, α) = e−|k| . (1.82)
The potential due to the smeared charges in k-space at the reference position ri is
∞ ∞ −ik·r
ρ′ (ri + r) 1 ′ −ik·r e
Vk (ri ) = dr = 3 f (k)φ(k, α) e d3 r . (1.83)
r L r
0 k 0
The integral on the right of the above expression is 4π/k 2 . Combining this with
earlier results from (1.79) and (1.82) we get
2 2
4π ′ ik·(rj −ri ) e−|k| /(4α )
Vk (ri ) = 3 qj e . (1.84)
L j
|k|2
k
This potential includes an unphysical self-term corresponding to a smeared out

charge centered at ri , which needs to be subtracted off:
∞
Vs (ri ) = qi σ(r)d3 r
0
∞
4πqi α3 2 2
= i r e−α r
d3 r
π 3/2
0
2α
= 1/2 qi . (1.85)
π
Adding the partial sum given by (1.75), (1.84) and (1.85) we obtain the Ewald sum
N
′ erfc(α|r ij + n|)
VE (r i ) = qj
n j=1
|r ij + n|
4π 2 2 2α
+ 3 qj e−|k| /(4α ) eik·(rj −ri ) − 1/2 qi (1.86)
L j
π
k=0
and the force on charge i is given by
f i = −∇ri U
N
qi erfc(α|r ij + n|) 2α 2 2 rij + n
= qj + √ e−α |rij +n|
4πǫ0 n |rij + n| π |rij + n|
j=1,j =i

Real-space term
N
2 k −k2 /(4α2 )
+ qi 2 e sin(k · ri ) qj cos(k · rj )
ǫ0 V k j=1
k>0
N
!
− cos(k · r i ) qj sin(k · r j )
j=1

Reciprocal-space term
N
qi
− qj rj . (1.87)
6ǫ0 V j=1

Surface dipole term
One needs an additional correction for the intra-molecular self-energy

M Nm Nm
1 erf(α|r κλ |)
− qnκ qnλ , (1.88)
4πǫ0 n=1 κ=1 |rκλ |
λ=κ+1
whose derivative is absent from the equation for the forces (1.87). This term cor-
rects for interactions between charges on the same molecule which are implicitly
included in the reciprocal space sum, but are not required in the rigid-molecule
model. Although the site forces f i , do include unwanted terms, these sum to zero
in the evaluation of the molecular center-of-mass forces and torques (by the conser-
vation laws for linear and angular momentum).
Both, the real- and reciprocal-space series (the sums over n and k) converge
fairly rapidly so that only a few terms are need to be evaluated. One defines the
cut-off distances rc and kc so that only terms with |r ij + n| < rc and |k| < kc
are included. The parameter α determines how rapidly the terms decrease and the
values of rc and kc needed to achieve a given accuracy.
For a fixed α and accuracy the number of terms in the real-space sum is pro-
portional to the total number of sites, N but the cost of the reciprocal-space sum
increases as N 2 . An overall scaling of N 3/2 may be achieved if α varies with N .
This is discussed in detail in an excellent article by D. Fincham [115]. The optimal
value of α is
1
√ tR N 6
α= π , (1.89)
tF V 2
where tR and tF are the execution times needed to evaluate a single term in the real-
and reciprocal-space sums respectively. If we require that the sums converge to an
accuracy of ǫ = exp(−p) the cutoffs are then given by
√
p
rc = , (1.90)
α√
kc = 2α p . (1.91)
A representative value of tR /tF has been established as 5.5. Though this will
vary on different processors and for different potentials its value is not critical since
it enters the equations as a sixth root.
It must be emphasized that the rc is used as a cutoff for the short-ranged poten-
tials as well as for the electrostatic part. The value chosen above does not take the
nature of the non-electrostatic part of the potential into account.
1.10.1.3 Uniform Sheet Correction
In a periodic system the electrostatic energy is finite only if the total electric charge
of the MD cell is zero. The reciprocal space sum for k = 0 takes the form
" N "2
1 −k2 /(4α2 ) "" ""
e " qi " , (1.92)
k2 "
i=1
"
which is zero in the case of electro-neutrality but infinite otherwise. Its omission is
physically equivalent to adding a uniform jelly of charge which exactly neutralizes
the unbalanced point charges. But though the form of the reciprocal space sum is
unaffected by the uniform charge jelly the real-space sum is not. The real-space part
of the interaction of the jelly with each point charge as well as the self-energy of the
jelly itself must be included giving
" "2
1 "" ""
N
− " qi " . (1.93)
8ǫ0 V α2 " i=1 "
1.10.1.4 Surface Dipole Term
This term accounts for different periodic boundary conditions. It was suggested by
De Leeuw, Perram and Smith [116, 117, 118] in order to accurately model dipolar
systems and is necessary in any calculation of a dielectric constant
⎡ " "2 ⎤
1 "N "
" "
+⎣ " qi ri " ⎦ . (1.94)
6ǫ0 V " i=1
"
Consider a near-spherical cluster of MD cells. The infinite result for any property
is the limit of its cluster value as the size of the cluster tends to infinity. However,
this value is non-unique and depends on the dielectric constant, ǫs of the physical
medium surrounding the cluster. If this medium is conductive (ǫs = ∞) the dipole
moment of the cluster is neutralized by image charges, whereas in a vacuum (ǫs = 1)
it remains. It is trivial to show that in that case the dipole moment per unit volume
(or per MD cell) does not decrease with the size of the cluster. This term is then just
the dipole energy, and ought to be used in any calculation of the dielectric constant
of a dipolar molecular system.
1.10.2 Multipole Methods
There is a large number of N -body problems for which periodic boundaries are
completely inappropriate, for example: galaxy dynamics, electron-beam transport,
large proteins [119], and any number of problems with complex geometries. Two
new approaches were put forward in the mid-1980’s, the first from Appel [120]
and Barnes & Hut [121], who proposed O(N log N )-schemes based on hierarchical
grouping of distant particles; the second from Greengard & Rohklin [122] with an
O(N ) (better than O(N log N )) solution with rounding-error accuracy. These two
methods are known today as the hierarchical tree algorithm and the Fast Multipole
Method (FMM) respectively – have revolutionized N -body simulation in a much
broader sense than the specialized periodic methods discussed earlier. They offer a
generic means of accelerating the computation of many-particle systems governed
by central, long-range potentials.
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2 Wigner Function Quantum Molecular Dynamics
V. S. Filinov1,2 , M. Bonitz2 , A. Filinov2 , and V. O. Golubnychiy2

1
Institute for High-Energy Density, Russian Academy of Sciences, Moscow
127412, Russia
2
Institut für Theoretische Physik und Astrophysik, Christian-Albrechts-Universtität,
24098 Kiel, Germany
Classical molecular dynamics (MD) is a well established and powerful tool in vari-
ous fields of science, e.g. chemistry, plasma physics, cluster physics and condensed
matter physics. Objects of investigation are few-body systems and many-body sys-
tems as well. The broadness and level of sophistication of this technique is docu-
mented in many monographs and reviews, see for example [1, 2]. Here we discuss
the extension of MD to quantum systems (QMD). There have been many attempts
in this direction which differ from each other, depending on the type of system un-
der consideration. One variety of QMD has been developed for condensed matter
systems. This approach is reviewed e.g. in [3] and will not be discussed here. In
this contribution we deal with unbound electrons as they occur in gases, fluids or
plasmas. Here, a quite successful strategy is to replace classical point particles by
wave packets [3, 4, 5, 6]. This method, however, struggles with problems related
to the dispersion of such a wave packet and difficulties to properly describe strong
electron-ion interaction and bound-state formation. We try to avoid these restric-
tions by an alternative approach: We start the discussion of quantum dynamics by a
general consideration of quantum distribution functions.
2.1 Quantum Distribution Functions

There exists a variety of different representations of quantum mechanics including
the so-called Wigner representation which involves a class of functions depending
on coordinates and momenta. In the classical limit, the Wigner distribution func-
tion fW turns into the phase space distribution f known from classical statistical
mechanics. In contrast to f , the Wigner function may be non-positive as a conse-
quence of the coordinate-momentum (Heisenberg) uncertainty. This will lead to a
modification of the particle trajectories which is discussed in Sect. 2.3. An impor-
tant property of the distribution functions is that they can be used to compute the
expectation value of an arbitrary physical observable A, defined by the operator
p, q) [7]
A(

A(t) = dp dq AW (p, q) fW (p, q, t) , 1 = dp dq fW (q, p, t) , (2.1)
where AW (p, q) is a scalar function. For simplicity we considered the one-

dimensional (1D) case; the generalization to higher dimensions and N particles
V. S. Filinov et al.: Wigner Function Quantum Molecular Dynamics, Lect. Notes Phys. 739, 41–60 (2008)
42 V. S. Filinov et al.
is straightforward by re-defining the coordinate and momentum as vectors, q =

{q1 , . . . , qN }, p = {p1 , . . . , pN }. fW is defined via the nonequilibrium N -particle
density operator ρ in coordinate representation (i.e. the density matrix),

1 ν ν −iνp
fW (p, q, t) = dν q + | ρ| q − e , (2.2)
2π 2 2

and AW (p, q) is analogously defined from the coordinate representation of A.
We now consider the time evolution of the wave function under the influence of
a general Hamiltonian of the form
N N

= p2i
H + V# (qi ) + V (qi , qj ) , (2.3)
j=1
2m i=1 i<j
where V# (qi ) and V (qi , qj ) denote an external and an interaction potential, respec-
tively. The equation of motion for fW has the form [8, 7] (see also Sect. 2.3)
∞
∂fW p
+ · ∇ q fW = ds fW (p − s, q, t) ω
# (s, q, t) , (2.4)
∂t m
−∞
where the function

2 ′ ′ 2sq ′
ω
# (s, q, t) = dq V (q − q , t) sin (2.5)
π2
takes into account the non-local contribution of the potential energy in the quantum
case. Equivalently, expanding the integral around q ′ = 0, (2.4) can be rewritten by
an infinite sum of local potential terms
∞
∂fW p ∂fW (/(2i))2n ∂ 2n+1 V ∂ 2n+1 fW
+ = , , (2.6)
∂t m ∂q n=0
(2n + 1)! ∂q 2n+1 ∂p2n+1
where (∂ 2n+1 V /∂q 2n+1 , ∂ 2n+1 fW /∂p2n+1 ) denotes the scalar product of two vec-
tors which for an N -particle system contain 3N components.
If the potential does not contain terms higher than second order in q, i.e.
∂ n V /∂q n |n≥3 = 0, (2.6) reduces to the classical Liouville equation for the dis-
tribution function f :
∂f p ∂f ∂V ∂f
+ = . (2.7)
∂t m ∂q ∂q ∂p
The Wigner function must satisfy a number of conditions [9], therefore, the initial
function fW (q, p, 0) cannot be chosen arbitrarily. Even if fW (q, p, t) satisfies the
classical equation (2.7) it nevertheless describes the evolution of a quantum distri-
bution because a properly chosen initial function fW (q, p, 0) contains, in general, all
2 Wigner Function Quantum Molecular Dynamics 43
powers of . In particular, the uncertainty principle holds for averages of operators

calculated with fW (q, p, 0) and fW (q, p, t).
One can rewrite (2.6) in a form analogous to the classical Liouville equation
(2.7) by replacing V by a new effective potential Veff defined as
∂Veff ∂fW ∂V ∂fW 2 ∂ 3 V ∂ 3 f W
= − + ··· . (2.8)
∂q ∂p ∂q ∂p 24 ∂q 3 ∂p3
Equation (2.7) can be efficiently solved with the method of characteristics, see
e.g. [10]. This is the basis of our QMD approach where an ensemble of classical
(Wigner) trajectories is used to solve (numerically) the quantum Wigner-Liouville
equation (2.4) which will be discussed in Sect. 2.3. The time-dependence of the tra-
jectories is given by the classical equations of motion
∂q p ∂p ∂Veff (p, q, t)
= , =− . (2.9)
∂t m ∂t ∂q
Of course, a direct solution of (2.9) with the definition (2.8) is only useful if the
series is rapidly converging and there is only a small number of non-zero terms.
Clearly there is a principle difficulty with this approach if the series of terms
with the potential derivatives is not converging. This is the case, e.g., for a Coulomb
potential (at zero distance). There are at least three solutions to this problem. The
first one is to solve the Wigner-Liouville equation by Monte Carlo (MC) techniques
[11, 12, 13, 14], which is discussed below in Sect. 2.3. The second one is to replace
the original potential on the r.h.s. of (2.8) by some model potential having a finite
number of nonzero derivatives, see e.g. [15]. The third approach is to perform a
suitable average of Veff , e.g. over a thermal ensemble of particles. This has been
done both for external potentials and also for two particle interaction. The use of an
effective quantum pair potential in classical MD is discussed in Chap. 1.
2.2 Semiclassical Molecular Dynamics

2.2.1 Quantum Pair Potentials
In order to obtain an effective pair potential which is finite at zero interparticle dis-
tance, we consider (2.4) for two particles. Assuming further thermodynamic equi-
librium with a given temperature kB T = 1/β, spatial homogeneity and neglect-
ing three-particle correlations, one can solve for the two-particle Wigner function
eq eq
fW,12 = F12 (r1 , p1 , r2 , p2 , β) ≈ F12 (r1 − r2 , p1 , p2 , β).
eq
This is now rewritten as in the canonical case [7], F12 (r1 − r2 , p1 , p2 , β) ≡
eq eq qp
F1 (p1 , β)F2 (p2 , β) exp(−βV12 ), which defines the desired quantum pair poten-
qp
tial V12 .
qp
The first solution for V12 was found by Kelbg in the limit of weak coupling
[16, 17, 18]. It has the form of (2.10) with γij → 1, for details and references see
[10, 19]. The Kelbg potential, or slightly modified versions, is widely used in nu-
merical simulations of dense plasmas [4, 5, 20, 21, 22]. It is finite at zero distance
which correctly captures basic quantum diffraction effects preventing any diver-
gence. However, the absolute value at r = 0 is incorrect which has lead to the
derivation of further improved potentials, see [10, 19, 23] and references therein.
Here we use the improved Kelbg potential (IKP),
$ %
qi qj 2 2 √ rij rij
Φ (rij , β) = 1 − e−rij /λij + π 1 − erf γij , (2.10)
rij λij γij λij
where rij = |r ij |, xij = rij /λij , λ2ij = 2 β/(2μij ) and μ−1
ij = mi
−1
+ m−1 j ,
which contains additional free parameters γij that can be obtained from a fit to the
exact solution of the two-particle problem [19].
2.2.2 Molecular Dynamics Simulations

We have performed extensive MD simulations of dense partially ionized hydrogen
in thermodynamic equilibrium using different IKP for electrons with different spin
projections. To properly account for the long-range character of the potentials, we
used periodic boundary conditions with the standard Ewald procedure, see Chap. 1.
The number of electrons and protons was N = 200. For our MD simulations we use
standard Runge-Kutta or Verlet algorithms (see Chap. 1) to solve Newton’s equa-
tions (2.9), where Veff is replaced by the IKP. Because of the temperature depen-
dence of the IKP we applied a temperature scaling at every time step for all com-
ponents separately (for protons and two sorts of electrons) to guarantee a constant
temperature of all components in our equilibrium simulations. In each simulation
the system was equilibrated for at least 104 MD steps, only after this the observ-
ables have been computed.
In Fig. 2.1 we show the internal energy per atom as a function of temperature for
two densities and compare it to path integral Monte Carlo (PIMC) results [19, 24].
The density is given by the Brueckner parameter rs = r̄/aB , where r̄ is the average
interparticle distance and aB denotes the Bohr radius. For high temperatures and
weak coupling, Γ = e2 /(r̄kB T ) < 1 for the fully ionized plasma, the two simu-
lations coincide within the limits of statistical errors. If we use the original Kelbg
potential, at temperatures below 300 000 K (approximately two times the binding
energy), the MD results start to strongly deviate from the PIMC results. In con-
trast the IKP fully agrees with the PIMC data even at temperatures far below the
hydrogen binding energy (1 Ry), where the plasma is dominated by atoms, which
is a remarkable extension of semi-classical MD into the theoretically very difficult
regime of moderate coupling, moderate degeneracy and partial ionization.
Interestingly, even bound states can be analyzed in our simulations by following
the electron trajectories. At T < 1 Ry, we observe an increasing number of electrons
undergoing strong deflection (large-angle scattering) on protons and eventually per-
forming quasi-bound trajectories. Most of these electrons remain bound only for a
few classical orbits and then leave the proton again. Averaged over a long time, our
simulations are able to reveal the degree of ionization of the plasma. For temper-
atures below approximately 50 000 K, which is close to the binding energy of hy-
drogen molecules, the simulations cannot be applied. Although we clearly observe
40
20
H/NP, [eV]
–20
rs = 4, MD
rs = 6, MD
–40 rs = 4, PIMC
rs = 6, PIMC
40000 80000 120000 160000

T, [K]
Fig. 2.1. Internal energy per hydrogen atom at rs = 4 and rs = 6 versus temperature, MD
results are compared to restricted PIMC simulations [19, 24]
molecule formation (see below), there also appear clusters of several molecules
which is unphysical under the present conditions and is caused by the approximate
two-particle treatment of quantum effects in the IKP. This turns out to be the reason
for the too small energy at low temperatures (see Fig. 2.1).
Let us now turn to a more detailed analysis of the spatial configuration of the
particles. In Fig. 2.2 the pair distribution functions of all particle species with the
same charge are plotted at two densities. Consider first the case of T = 125 000 K
(upper panels). For both densities all functions agree qualitatively showing a de-
pletion at zero distance due to Coulomb repulsion. Besides, there are differences
which arise from the spin properties. Electrons with the same spin show a Coulomb
hole around r = 0 which is broader than the one of the protons due to the Pauli
principle with additional repulsion of electrons with the same spin projection. This
trend is reversed at low temperatures (see middle panel), which is due to the for-
mation of hydrogen atoms and molecules. In this case, electrons, i.e., their classical
trajectories, are spread out around the protons giving rise to an increased probability
of close encounters of two electrons belonging to different atoms compared to two
protons.
Now, let us compare electrons with parallel and electrons with anti-parallel
spins. In all cases, we observe a significantly increased probability to find two elec-
trons with opposite spin at distances below one Bohr radius, which is due to the
missing Pauli repulsion. This trend increases when the temperature is lowered be-
cause of increasing quantum effects. Before analyzing the lowest temperature in
Fig. 2.2, let us consider the electron-proton (e-p) distributions. Multiplying these
functions by r2 gives essentially the radial probability density Wep (r) = r2 gep (r),
1 1
1 1
e↑– e↑
80
e↑– e↓
100
p-p
40 50
0 2 4 6 8 0 2 4 6 8
r/aB r/aB
Fig. 2.2. Electron-electron (e-e) and proton-proton (p-p) pair distribution functions for a cor-
related hydrogen plasma with rs = 4 (left row) and rs = 6 (right row) for T = 125 000 K,
61 250 K and 31 250 K (from top to bottom) [19]
which is plotted in Fig. 2.3. At low temperatures this function converges to the
ground state probability density of the hydrogen atom Wep (r) = r2 |ψ|21s (r) influ-
enced by the surrounding plasma. Here, lowering of the temperature leads towards
the formation of a shoulder around 1.4aB for rs = 4 and 1.2aB for rs = 6 which
is due to the formation of hydrogen atoms; this is confirmed by the corresponding
quasi-bound electron trajectories. At this temperature, the observed most probable
electron distance is slightly larger than one aB as in the atom hydrogen ground state.
Of course, classical MD cannot yield quantization of the bound electron motion, but
it correctly reproduces (via averaging over the trajectories) the statistical properties
of the atoms, such as the probability density averaged over the energy spectrum.
At 62 500 K and rs = 6 (right middle part of Fig. 2.2) the simulations show a
first weak signature of molecule formation – see the maximum of the p-p distri-
bution function around r = 2aB and the maximum of the distribution function of
electrons with anti-parallel spins around r = 1.5aB . Upon further lowering of the
temperature by a factor of two (lower panel of Fig. 2.2) the p-p functions exhibit a
clear peak very close to r = 1.4aB , the theoretical p-p separation in H2 . At the same
time, also the e-e functions have a clear peak around r = 0.5aB , the two electrons
are concentrated between the protons. In contrast, in the case of parallel spins, no
molecules are formed, the most probable electron distance is around r = 1.2aB .
rs = 4
20
10 T = 166667 K
T = 125000 K
T = 62500 K
gep(r) r2
T = 50000 K
rs = 6
20
10
0
0 1 2 3 4 5
r/aB
Fig. 2.3. Electron-proton (e-p) pair distribution functions multiplied by r 2 as function of e-p
distance at rs = 4 (top) and rs = 6 (bottom) at four temperatures [19]
2.2.3 Molecular Dynamics Results for Dynamical Quantities
We now extend the analysis to the dynamical properties of a hydrogen plasma in

equilibrium using the fluctuation-dissipation theorem. The time-dependent micro-
scopic density of plasma species α is defined as
Nα

ρα (r, t) = δ[r − rα
i (t)] , (2.11)
i=1
with the Fourier components

Nα
α
ρα (k, t) = eik·ri (t) , (2.12)
i=1
where r αi (t) denotes the trajectory of particle i obtained in the simulation. We now
define the three partial density-density time correlation functions (DDCF) between
sorts α and η as
1
Aαη (k, t) = ρα (k, t)ρη (−k, 0) , (2.13)
Nα + Nη
where, due to isotropy, k = k. Here ρα (k, t)ρη (−k, 0) denotes averaging along
the trajectories by shifting the time interval and keeping the difference equal to t.
Note also, that Aαη (k, t) = Aηα (k, t) for all pairs α and η. In addition to the
spin-resolved electron functions we can also consider the spin averaged correlation
function A(k, t) = A↑↑ (k, t) + A↓↑ (k, t).
We have performed a series of simulation runs of equilibrium fluctuations in
hydrogen plasmas with coupling parameters Γ and electron degeneracy√ parameters
χe = ρΛ3e with the electron de Broglie wavelength Λe = / 2πme kB T ranging
from zero (classical system) to one (quantum or degenerate system). The electron
DDCF for Γ = 1 and χe = 1 are plotted in Fig. 2.4 for four values of the di-
mensionless wavenumber q = kr̄. The correlation functions (↑↑ and ↓↑) have two
characteristic features – a highly damped, high-frequency part and a weakly damped
low-frequency tail. The latter originates from slow ionic motion whereas the high-
frequency part is related to oscillations with frequencies close to the electron plasma
frequency ωpl . On the other hand, the time scale of the ion motion is determined
i
by the ion plasma frequency ωpl = 4πρi Zi2 e2 /mi , the ratio of the two time

scales is mi /me ≈ 43. The slow proton oscillations are clearly seen in the proton
DDCF, shown in Fig. 2.5. To resolve the proton oscillations the whole simulation
(including the electron dynamics) has to extend over several proton plasma periods
i
Tp = 2π/ωpl thereby resolving the fast electronic motions as well, which sets the
numerical limitation of the calculation.
The temporal Fourier transform of the DDCF yields another very important
quantity – the dynamic structure factor, Sα,η (ω, q), which allows one to analyze,
e.g., the dispersion of the coupled electron and proton oscillations. Fig. 2.6 shows
q = 0.39
200 ↑↑ q = 0.55
q = 1.22
q = 1.73
40
<ρe(t)ρe(0)>
0 ↓↑
–40
100
0
0 40 80
t⋅ωpl
Fig. 2.4. Electron DDCF (2.13) multiplied by (Ne↑ + Ne↓ ) for Γ = 1 and χe = 1 for four
wave vectors. Upper (middle) panel: Correlation functions for parallel (antiparallel) spins.
Bottom: Spin-averaged function [25]
q = 0.39
q = 0.55
400 q = 0.95
q = 1.22
q = 1.73
<ρi(t)ρi(0)>
200
0 2 4 6
t⋅ωipl
Fig. 2.5. Proton DDCF (2.13) for Γ = 1 and χe = 1 for five wave vectors (in units of
1/r̄) [25]
3
Γ = 0.1 ρΛ3 = 0.5
Γ = 1.0 ρΛ3 = 0.5
Γ = 1.0 ρΛ3 = 1.0
Γ = 0.1 ρΛ3 = 0.1
2
ωpl
i
0
0 0,5 1 1,5
q
Fig. 2.6. Ion-acoustic wave dispersion in a dense hydrogen plasma. Lines correspond to
weighted linear fits to the MD data (symbols). The scatter of the data is due to the limited
particle number N and simulation time and can be systematically reduced. Also, smaller
q-values require larger N [25]
dispersion results for the collective proton oscillations, for the electron modes see
[22, 24], which follow from the peak positions of Sii (ω, q). Fig. 2.6 shows the
peak frequency versus wave number, i.e. the dispersion of longitudinal ion-acoustic
waves, ω(q) = vMD q, where vMD denotes our MD result for the phase veloc-
ity. This can be compared to the familiar analytical expression for an ideal two-
temperature (Te ≫ Ti ) plasma vs = Zi kB Te /mi , where vs is the ion sound
velocity. We observe deviations of about 10% for weak degeneracy χe < 0.5, and
about 10% for large degeneracy χe ≥ 1, which are due to nonideality (correlations)
and quantum effects, directly included in our simulations. For further details on this
method see [6, 24, 25].
Thus semiclassical MD is a powerful approach to correlated quantum plasmas.
Thermodynamic and dynamic properties are accurately computed if accurate quan-
tum pair potentials, such as the IKP, are used.
2.3 Quantum Dynamics

Let us now discuss the method of Wigner trajectories in more detail. As we
have seen, the Wigner function W (to avoid confusion, in this section we rename
fW → W ) in (2.2) is the Fourier transform
of the non-diagonal
elements of the den-
sity matrix which, for a pure state, is ρ q + ν2 , q − ν2 = ψ(q + ν2 , t)ψ ∗ (q − ν2 , t),
where the N −particle wave functions satisfy the Schrödinger equation with an ini-
tial condition
∂ψ ,
i = Hψ ψ (t0 ) = ψ 0 (q) , (2.14)
∂t
which contains the Hamiltonian (2.3); recall that q is a vector of dimension N d. By
taking the time derivative of W in (2.2) and substituting ∂ψ/∂t in the l.h.s of the
Schrödinger equation we recover (2.4), after integrating by parts. For convenience,
on both sides we add the contribution of the classical force, F (q) = −∇q V (q),
which leads to a new function ω which differs from ω # in (2.4) by an additional term,
the last term in (2.16),
∞
∂W p
+ · ∇q W + F (q) · ∇p W = ds W (p − s, q, t) ω (s, q, t) , (2.15)
∂t m
−∞

2 ′ ′ 2sq ′
ω (s, q, t) = dq V (q − q , t) sin + F (q) · ∇s δ (s) . (2.16)
(π2 )N d
In the classical limit ( → 0), the r.h.s of (2.15) vanishes and we obtain the classical
Liouville equation
∂W p
+ · ∇q W + F (q) · ∇p W = 0 . (2.17)
∂t m
The solution of (2.17) is known and can be expressed by the Green function [9]
G(p, q, t; p0 , q0 , t0 ) = δ [p − p(t; t0 , p0 , q0 )] δ [q − q(t; t0 , p0 , q0 )] , (2.18)
where p(τ ) and q(τ ) are the phase space trajectories of all particles, which are the
solutions of Hamilton’s equations with the initial conditions at τ = t0 = 0,
dq̄ p̄(τ )
= ; q̄(0) = q0 ,
dτ m
dp̄
= F (q̄(τ )); p̄(0) = p0 . (2.19)
dτ
Using the Green function, the time-dependent solution of the classical Liouville
equation takes the form

W (p, q, t) = dp0 dq0 G(p, q, t; p0 , q0 , 0) W0 (p0 , q0 ) . (2.20)
With this result, it is now possible to construct a solution also for the quantum
case. To this end we note that it is straightforward to convert (2.15) into an integral
equation

W (p, q, t) = dp0 dq0 G(p, q, t; p0 , q0 , 0) W0 (p0 , q0 )
t
+ dt1 dp1 dq1 G(p, q, t; p1 , q1 , t1 )
0
∞
× ds1 ω(s1 , q1 , t1 ) W (p1 − s1 , q1 , t1 ) , (2.21)
−∞
which is exact and can be solved efficiently by iteration [10, 11]. The idea is to
replace the unknown function W under the integral in (2.21) by an approximation.
The first approximation is obtained by solving (2.21) to lowest order, i.e. by neglect-
ing the integral term completely. This gives the first order result for W which can
again be substituted for W in the integral in (2.21) and so on. This way we can sys-
tematically derive improved approximations for W . The procedure leads to a series
of terms of the following general form,
t
(0) (1)
W (p, q, t) = W (p, q, t) + W (p, q, t) + dt1 d1 G(p, q, t; 1, t1 )
0
t1
× dt2 d2 G(p1 − s1 , q1 , t1 ; 2, t2 )
0
∞
× ds2 ω(s2 , q2 , t2 ) W (p2 − s2 , q2 , t2 ) , (2.22)
−∞
where we have introduced the notations n ≡ qn , pn , dn ≡ dqn dpn and

(0)
W (p, q, t) = d0 G(p, q, t; 0, 0)W0 (0) ,
t ∞ ∞
(1)
W (p, q, t) = dt1 d1 G(p, q, t; 1, t1 ) ds1 ω(s1 , q1 , t1 )
0 −∞ −∞

× d0 G(p1 − s1 , q1 , t1 ; 0, 0)W0 (0) . (2.23)
The terms W (0) and W (1) are the first of an infinite series. To shorten the notation,
all higher order terms are again summed up giving rise to the last term in (2.22).
Below we will give also the third term, W (2) , but first we discuss the physical inter-
pretation of each contribution.
W (0) (p, q, t), as it follows from the Green function G(p, q, t; p0 , q0 , 0), de-
scribes the propagation of the Wigner function along the classical characteristics,
i.e., the solutions of Hamilton’s equations (2.19) in the time interval [0, t]. It is worth
mentioning, that this first term describes both classical and quantum effects, due to
the fact that the initial Wigner function W0 (p0 , q0 ), in general, contains all powers
of Planck’s constant contained in the initial state wave functions. These are quan-
tum diffraction and spin effects, depending on the quality of the initial function.
The second and third terms on the r.h.s. of (2.22) describe additional quan-
tum corrections to the time evolution of W (p, q, t) arising from non-classical time
propagation, in particular, the Heisenberg uncertainty principle. Let us consider
the term W (1) (p, q, t) in more detail. It was first proposed in [11]. Later on it
was demonstrated that the multiple integral (2.23) can be calculated stochasti-
cally by Monte Carlo techniques [12, 13, 14]. For this we need to generate an
ensemble of trajectories in phase space. To each trajectory we ascribe a specific
weight, which gives its contribution to (2.23). For example, let us consider a tra-
jectory which starts at point {p0 , q0 , τ = 0}. This trajectory acquires a weight
equal to the value W0 (p0 , q0 ). Up to the time τ = t1 the trajectory is defined
by the Green function G(p1 − s1 , q1 , t1 ; p0 , q0 , 0). At τ = t1 , as it follows from
(2.23), the weight of this trajectory must be multiplied by the factor ω(s1 , q1 , t1 ),
and simultaneously a perturbation in momentum takes place: (p1 − s1 ) → p1 .
As a result the trajectory becomes discontinuous in momentum space, but con-
tinuous in the coordinate space. Obviously this is a manifestation of the Heisen-
berg uncertainty of coordinates and momenta. Now the trajectory consists of two
parts – two classical trajectories which are the solutions of (2.19), which are sep-
arated, at τ = t1 by a momentum jump of magnitude s1 . What about the value
s1 of the jump and the time moment t1 ? Both appear under integrals with a cer-
tain probability. To sample this probability adequately, a statistical ensemble of
trajectories should be generated, further the point in time t1 must be chosen ran-
domly in the interval [0, t], and the momentum jump s1 randomly in the interval
[−∞, +∞]. Finally, also different starting & points {p0 , q0 } of trajectories at τ = 0
must be considered due to the integration dp0 dq0 . Considering a sufficiently large
number of trajectories of such type we can accurately calculate W (1) (p, q, t) –

the first correction to the classical evolution of the quantum distribution function
W (0) (p, q, t).
Let us now take into account the third term in (2.22). We substitute, instead of
W (p2 − s2 , q2 , t2 ), its integral representation, using (2.21). As a result we get for
this term
t ∞
(2)
W (p, q, t) = dt1 d1G(p, q, t; 1, t1 ) ds1 ω(s1 , q1 , t1 )
0 −∞
t1 ∞
× dt2 d2 G(p1 − s1 , q1 , t1 ; 2, t2 ) ds2 ω(s2 , q2 , t2 )
0 −∞

× d0G(p2 − s2 , q2 , t2 ; 0, 0) W0 (0) . (2.24)
If we apply the stochastic interpretation of the integrals, as we did above for

W (1) (p, q, t), this term can be analogously calculated using an ensemble of clas-
sical trajectories with two momentum jumps taking place at time moments τ = t1
and τ = t2 , and with a weight function multiplied by the factors ω(s1 , q1 , t1 ) and
ω(s2 , q2 , t2 ), respectively.
Applying the above procedure several times, we can get the higher order correc-
tion terms. As a result, W (p, q, t) will be expressed as an iteration series, with each
term of the series representing a contribution of trajectories of a definite topological
type – with one, two, three, etc. momentum jumps. In Fig. 2.7 we show an example
of trajectories contributing to the terms W (0) , W (1) and W (2) .
G(p2 – s2, q2, t2; p0, q0, 0) G(p1 – s1, q1, t1; p0, q0, 0) G(p, q, t; p0, q0, 0)
P
W(0)
W(p, q ,t)
S1
W(1)
W(p0, q0)
S2
W(2)
S1
(p2 – s2) p2 (p1 – s1) p1

t0 = 0 t2 t1 t
Fig. 2.7. Illustration of the iteration series. Three types of trajectories are shown: Without
(top curve), with one (middle) and with two (lower) momentum jumps
As was noted in Sect. 2.1 the Wigner function allows us to compute the quantum-
mechanical expectation value of an arbitrary one-particle operator A. Using the idea
of iteration series (2.22), we obtain an iteration series also for the expectation value

A(t) = dpdq A(p, q)W (p, q, t) = A (0) (t) + A
(1) (t) + . . . , (2.25)
where different terms correspond to different terms in the series for W . The series
(2.25) maybe computed much more efficiently than the one for W since the result
does not depend on coordinates and momenta anymore.
Certainly, in the iteration series it is possible to take into account only a finite
number of terms and contributions of a limited number of trajectories. Interestingly,
it is not necessary to compute the individual terms iteratively. Instead, all relevant
terms can be calculated simultaneously using the basic concepts of MC methods
[26]. An important task of the MC procedure will be to generate stochastically the
trajectories which give the dominant contribution to the result, for details see [10].
2.4 Time Correlation Functions in the Canonical Ensemble

So far we have considered the dynamics of pure states where the density matrix
ρ, which is the matrix representation of the density operator ρ, is defined by a
single wave function ψ. However, at finite temperature ρ is, in general, defined
by an incoherent superposition of wave functions (mixed states). Here we con-
sider the canonical ensemble as the most common one. Time correlation func-
tions CF A (t) = F (0)A(t) are among the most important quantities in statistical
physics which describe transport properties, such as diffusion, dielectric properties,
chemical reaction rates, equilibrium or non-equilibrium optical properties. An ex-
ample has already been considered in Sect. 2.2 – the density-density auto-correlation
function (2.13). Here we use a more general expression for the quantum correlation
function of two quantities A and F given by the operators F and A.
In the canonical
ensemble the averaging is performed by a trace with the canonical density opera-
with β = 1/kB T , and the correlation function has the
tor ρeq = Z −1 exp(−β H),
form [27]
1 iHt β
∗ −iHt

CF A (t) = Tr F e β A e , (2.26)
Z
where H is the Hamiltonian (2.3), tβ is a complex time argument tβ = t − iβ/2

which absorbs ρeq , Z = Tr
ρeq is the partition function, and we use = 1.
The time correlation function can now be computed by first writing (2.26) in
coordinate representation and then transforming to the Wigner picture, using the
Weyl representation of F and A,


1 ∗
CF A (t) = dq1 dq2 dq3 dq4 q1 |F |q2 q2 |eiHtβ |q3
Z

4 q4 |e−iHt β
× q3 |A|q |q1

= dp1 dq1 dp2 dq2 F (p1 , q1 ) A(p2 , q2 ) W (p1 , q1 ; p2 , q2 ; t; β) ,
(2.27)
where W (p1 , q1 ; p2 , q2 ; t; β) is now a generalization of the Wigner function which is

defined as double Fourier transformation of the product of two non-diagonal matrix
elements of the density operator

1
W (p1 , q1 ; p2 , q2 ; t; β) = dξ1 dξ2 eip1 ξ1 eip2 ξ2
Z(2π)2N d
' (' (
ξ1 "" iHt "
∗" ξ2 ξ2 "" −iHt
β"
" ξ1
× q1 − "e β " q2 + q2 − "e " q1 + . (2.28)
2 2 2 2
Calculating the partial time derivatives of the function W it can be shown that the
function W satisfies a system of two Wigner-Liouville equations [12, 13]
∂W p1
+ · ∇q1 W + F (q 1 ) · ∇p1 W = I1 ,
∂t m
∂W p2
+ · ∇q2 W + F (q 2 ) · ∇p2 W = I2 , (2.29)
∂t m
where on the r.h.s. we have two collision integrals
∞
I1 = ds1 W (p1 − s1 , q1 ; p2 , q2 ; t; β) ω (s1 , q1 , t) ,
−∞
∞
I2 = ds2 W (p1 , q1 ; p2 − s2 , q2 ; t; β) ω (s2 , q2 , t) , (2.30)
−∞
and the function ω (s, q, t) is defined in the same way as in the microcanonical
ensemble, see (2.16).
2.4.1 Initial Conditions for the Wigner-Liouville Equation
Using (2.28) at t = 0, we find that the initial value of the Wigner function is given
by the integral

1
W0 (1; 2; 0; β) = dξ1 dξ2 eip1 ξ1 eip2 ξ2
Z(2π)2N d
' (' (
ξ1 "" −β H/2
"
" ξ2 ξ2 "" −β H/2
"
" ξ1
× q1 − "e " q2 + q2 − "e " q1 + (2.31)
2 2 2 2
with 1 = q1 , p1 and 2 = q2 , p2 .
Let us now exploit the group property of the density operator ρ and the high
temperature approximation for the matrix elements of q ′ |
ρ|q (see Chap. 13)
!
M
e−β H = e−β/M H
" " " " " "
" " " " " "
q ′ "e−β/(2M)H " q ′′ ≈ q ′ "e−β/(2M)K " q ′′ q ′ "e−β/(2M)U " q ′′ . (2.32)
Then we obtain
M
1 ′ ′ ′′ ′′ − M m=2 Km − m=1 Um
W0 (1; 2; 0; β) ≈ dq1 . . . dq M dq 1 . . . dqM e
Z(2π)2N d
' " " (' " (
ip1 ξ1 / ′ " −β K/(2M
)" ξ1 ξ1 "" −β K/(2M
) " ′′
× dξ1 e qM "e " q1 + q1 − "e " q1
2 2
' " " ( ' " (
ip2 ξ2 / ′′ " −β K/(2M
)" ξ2 ξ2 "" −β K/(2M
)" ′
× dξ2 e qM "e " q2 + q2 − "e " q1 ,
2 2
(2.33)
) ′ *
where Km = (π/λ2M ) (qm ′
− qm−1 )2 + (qm ′′
− qm−1′′
)2 and Um = (β/(2M ))
′ ′′
[U (qm ) + U (qm )]. Here we have assumed that M ≫ 1, and λ2M = 2π2 β/(mM )
denotes the thermal de Broglie wave length corresponding to the inverse temperature
β/(2M ). A direct calculation of the last two factors in (2.33) gives
' " " (' " (

′ " −β K/(2M
)" ξ1 ξ1 "" −β K/(2M
) " ′′
dξ1 eip1 ξ1 / qM "e " 1q + q1 − "e " q1
2 2
" " " "
′ " −β K/(2M
)" ′ " "
= qM "e " q φ(p; qM , q1 ) q "e−β K/(2M ) " q1 , (2.34)
where
′ ′′
′ )/λM )2 /(2π)
φ (p; qM , q1 ) = (2λ2M )N d/2 e−(pλM /+iπ(q −q (2.35)
The final result for the Wigner function at t = 0 can be written as

W (1; 2; 0; β) ≈ dq1′ . . . dqM
′
dq1′′ . . . dqM
′′
Ψ (1; 2; q1′ . . . qM
′
; q1′′ . . . qM
′′
; 0; β)
′
×φ(p2 ; qM , q1′′ ) φ(p1 ; qM
′′
, q1′ ) , (2.36)
where
1 −M +1 M
′
Ψ (p1 , q1 ; p2 , q2 ; q1′ . . . qM ; q1′′ . . . qM
′′
; β) = e m=1 Km − m=1 Um . (2.37)
Z
Here we have introduced the notation {q0′ ≡ q1 ; q0′′ ≡q2 } and {qM+1
′ ′′
≡ q2 ; qM+1 ≡
q1 }. Fig. 2.8 illustrates the simulation idea. Two closed loops with the set of points
t+ t+
qM'' e
q1
e q1'
q1''
q2 qM'
t–
t–
Fig. 2.8. Two closed loops illustrating the path integral representation of two electrons in the
density matrices in (2.33). Two special points, (p1 , q1 ) and (p2 , q2 ), are starting points for
two dynamical trajectories propagating forward and backward in time
show the path integral representation of the density matrices in (2.33). The left
chain of points, i.e. {q1 , q1′ , . . . , qM
′
, q2 , q1′′ , . . . , qM
′′
} characterizes the path of a sin-
gle quantum particle. The chain has two special points (p1 , q1 ) and (p2 , q2 ). As it
follows from (2.28) and (2.29) these points are the original points for the Wigner
function, the additional arguments arise from the path integral representation. As
we show in the next section, we can consider these points as starting points for two
dynamical trajectories propagating forward and backward in time, i.e. t → t+ and
t → t− . The Hamilton equations for the trajectories are defined in the next section.
2.4.2 Integral Equations
The solution follows the scheme explained before. The only difference is that we
now have to propagate two trajectories instead of one,
dq̄1 p̄1 (τ )
= , q̄1 (0) = q10 ,
dτ 2m
dp̄1 1
= F [q̄1 (τ )] , p̄1 (0) = p01 ,
dτ 2
dq̄2 p̄2 (τ )
=− , q̄2 (0) = q20 ,
dτ 2m
dp̄2 1
= − F [q̄2 (τ )], p̄2 (0) = p02 . (2.38)
dτ 2
The first (second) trajectory propagates forward (backward). Let us substitute ex-
pressions for F [q̄1 (τ )], p̄1 (τ ), F [q̄2 (τ )] and p̄2 (τ ) from (2.38) into (2.29) and sub-
tract the second equation from the first. As a result, on the l.h.s. we obtain a full
differential of the Wigner function. After multiplication by the factor 1/2 and inte-
gration over time, the integral equation for the Wigner function takes the form

W (p1 , q1 ; p2 , q2 ; t; β) = dp01 dq10 dp02 dq20
×G(p1 , q1 , p2 , q2 , t; p01 , q10 , p02 , q20 , 0)W (p01 , q10 ; p02 , q20 ; 0; β)
t
+ dτ dp11 dq11 dp12 dq21 G(p1 , q1 , p2 , q2 , t; p11 , q11 , p12 , q21 , τ )
0
∞
× ds dη ϑ(s, q11 ; η, q21 ; τ ) W (p11 − s, q11 ; p12 − η, q21 ; τ ; β) , (2.39)
−∞
where ϑ(s, q11 ; η, q21 ; τ ) = [ω(s, q11 )δ(η) − ω(η, q21 )δ(s)]/2. The dynamical Green
function G is defined as G(p1 , q1 , p2 , q2 , t; p01 , q10 , p02 , q20 , 0)=δ[p1 − p¯1 (τ ; p01 , q10 , 0)]
δ[q1 − q¯1 (τ ; p01 , q10 , 0)]δ[p2 − p¯2 (τ ; p02 , q20 , 0)]δ[q2 − q¯2 (τ ; p02 , q20 , 0)]. Let us de-
note the first term on the r.h.s. of (2.39) as W (0) (p1 , q1 ; p2 , q2 ; t; β). This term
represents the Wigner function of the initial state propagating along classical tra-
jectories (characteristics – solutions of (2.38)). Using the approach applied for
the microcanonical ensemble, we obtain expressions for W (1) (p1 , q1 ; p2 , q2 ; t; β),
W (2) (p1 , q1 ; p2 , q2 ; t; β), . . . and represent W (p1 , q1 ; p2 , q2 ; t; β) as iteration se-
ries. In this case, we can calculate this also with an ensemble of trajectories using
the quantum dynamics MC approach described in [28]. As a result the expression
for the time correlation function (2.27) can be rewritten as

CF A (t) = dp1 dq1 dp2 dq2 F (p1 , q1 )A(p2 , q2 )W (p1 , q1 ; p2 , q2 ; t; β)

∞
= φ(P )|W (0) (P ; β) + φ(P )|W (i) (P ; β) , (2.40)

i=1

where φ(P )|W (i) (P ; β) denotes the integral in the phase space {p1 , q1 , p2 , q2 }
(now we consider a 2N -particle system), and φ(P ) = F (p1 , q1 )A(p2 , q2 ).
An illustrative example for the calculations of the time correlation functions
CF A is the momentum-momentum autocorrelation function CP P (t) for a 1D sys-
tem of interacting electrons in an array of fixed random scatterers at finite tempera-
ture [28]. This system is of high interest because at zero temperature it shows An-
derson localization if e-e interaction is neglected. It is a long standing question what
the effect of e-e interaction on localization will be. The present method is, in princi-
ple, well suited to answer this question. In [28] the first applications of the method
to an 1D system at finite temperature have been presented showing that Coulomb
e-e interaction has the trend to enhance the mobility of localized electrons [10, 28].
2.5 Discussion
We have presented a general idea how to extend the powerful method of molecular
dynamics to quantum systems. First, we discussed semi-classical MD, i.e., classical
MD with accurate quantum pair potentials. This method is very efficient and allows
to compute thermodynamic properties of partially ionized plasmas for temperatures
above the molecule binding energy (i.e. as long as three and four particle correla-
tions can be neglected). Further, frequency dependent quantities, e.g., the plasmon
spectrum, are computed correctly for ω < ωpl . Further progress is possible if more
general quantum potentials are derived.
In the second part, we considered methods for a rigorous solution of the quantum
Wigner-Liouville equation for the N -particle Wigner function. Results were derived
for both, a pure quantum state and a mixed state (canonical ensemble). Although this
method is by now well formulated, it is still very costly in terms of CPU time, so
that practical applications are only starting to emerge. Yet, we expect that, due to its
first principle character, Wigner function QMD will become increasingly important
for a large variety of complex many-body problems.
This work is supported by the Deutsche Forschungsgmeinschaft through SFB
TR 24 and in part by Award No. Y2-P-11-02 of the U.S. Civilian Research and
Development Foundation for the Independent States of the Former Soviet Union
(CRDF) and of Ministry of Education and Science of Russian Federation, and
RF President Grant NS-3683.2006.2 for governmental support of leading scientific
schools.
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3 The Monte Carlo Method, an Introduction
Detlev Reiter
Institut für Energieforschung - Plasmaphysik, Forschungszentrum Jülich GmbH, 52425

Jülich, Germany
This chapter presents the basic principles of stochastic algorithms, usually called
Monte Carlo methods. After some historical notes, the generation of random num-
bers is discussed. Then, as a first non-trivial example, the concept is applied to the
evaluation of integrals. More involved problems will be discussed in the two subse-
quent chapters of this part.
3.1 What is a Monte Carlo Calculation?

In an early lecture note (around 1960, but see also [1]) one of the pioneers of the
Monte Carlo technique M.H. Kalos, quotes the two “definitions”: (i) A last resort
when doing numerical integration, and (ii) a way of wastefully using computer time.
Today common assumptions characterize it as a numerical method involving ran-
dom numbers in a significant way.
In a certain sense any large computer calculation has random aspects, due to
roundoff errors. Also deterministic molecular dynamics (MD) calculations, in which
the interaction of a large number of moving particles is followed by integrating
Newton’s equation can have random results, due to randomly chosen initial condi-
tions and/or due to the large number of particles. These are usually excluded from
that definition of Monte Carlo techniques. The involvement of randomness in Monte
Carlo methods is rendered more precisely to mean deliberate use of random num-
bers in a calculation which has the structure of a stochastic process.
Two major areas of application are in statistical mechanics (many particle sys-
tems) and in linear kinetic (particle) transport theory. The first type of calculations
are embodied in a very specific sampling technique, and are not discussed here.
The second, for example traffic flow, finance, genetics, but in particular neutronics,
radiation transport, cosmic rays, neutral and charged particle transport in plasmas,
etc., rely on a study of many interesting stochastic processes by imitating the ran-
dom processes directly on the computer. Although intuition, and the resulting high
transparency of the procedure, is an important ingredient in this type of stochastic
analysis, a sound mathematical basis also exists. This allows rigorous mathematical
proofs to be given that certain methods actually provide solutions to certain generic
mathematical equations, e.g., to Fredholm Integral Equations of second kind in case
of transport problems. Distinct from most numerical schemes, in these stochastic
methods error estimates are provided by the method itself rather than requiring
D. Reiter: The Monte Carlo Method, an Introduction, Lect. Notes Phys. 739, 63–78 (2008)
64 D. Reiter
additional considerations. Some mathematical background and basic statistical re-

sults are also needed to analyze results of Monte Carlo simulations, for estimation
of errors and for obtaining more economical approaches beyond simple simulation
of nature.
There exists a vast amount of introductory literature, from a basic text-book level
up to monographs focussing on very specialized applications (see, for example, [1,
2, 3, 4]), probably now hundreds of web-based lecture notes and uncounted journal
articles. This present introductory chapter certainly duplicates most, if not all of that
material. Our aims are to introduce the terminology, and to convey the message that
Monte Carlo Methods do have a solid basis in measure theory (with the theory of
probability as special case thereof). Strict mathematical proofs of convergence of
the method to the exact solution exist, but also, and distinct from most numerical
concepts, implementation can be be strongly guided by intuition and retain a high
transparency even in very complex situations.
We will, after some short historical remarks below, start with introducing the
concepts of random events, of error estimates and unbiased procedures for estima-
tion. Practical implementations of Monte Carlo techniques rely on our ability to
draw random number from any probability law we wish. Only a few, most basic
facts and concepts in this regard will be repeated here in Sect. 3.2. In Sect. 3.3
the central limit theorem and variance reduction techniques will be demonstrated at
work using the generic example for Monte Carlo methods: Integration by stochastic
sampling. The relation of this very general but intuitively clear and transparent ap-
plication to the mathematically and statistically more involved transport problems
(Monte Carlo particle simulation) will be frequently used as guidance here and will
be discussed in more detail in Chap. 5.
3.1.1 Historical Notes
Monte Carlo concepts fall into the branch of experimental mathematics. In ordinary
mathematics conclusions are deduced from postulates (Deduction). In experimental
mathematics conclusions are inferred from observations (Induction). Monte Carlo
methods comprise that branch of experimental mathematics, which is concerned
with experiments on random events (mainly random numbers). Monte Carlo meth-
ods can be of probabilistic or deterministic type.
Usually the first reference to the Monte Carlo Method is the famous needle
experiment of Compte de Buffon (1733), a French biologist (1707–1788), Fig. 3.1.
Buffon pointed out that if a needle of length L is tossed on a plane with parallel
lines a distance D apart (D > L), it has probability p = 2L/(πD) to fall such that
is crosses one of the lines. Later, also Laplace suggested this procedure to determine
π by counting the number of crosses n in N repetitions of the experiment. Then
n 2L 2L n
= ⇒π≈ · . (3.1)
N πD D N
This historical use of Monte Carlo has all key features of the method:
3 The Monte Carlo Method, an Introduction 65
Fig. 3.1. Buffon’s needles: What is the probability p, that a needle (length L), which falls
randomly on a sheet, crosses one of the lines (distance D)? (Left: Copyright
c 1998–2003:
The Regents of the University of California)
– Convergence: About N = 100 000 trials are needed for only two digits after the
comma. Convergence is slow, but foolproof.
– Transparency: The method is intuitively understandable, even without any math-
ematical reasoning.
– Error estimates, optimization: Error estimates and optimal choice of L, D are
provided by theory of probability. (Binomial distribution, statistical variance as
2nd central moment etc.).
Modern use Monte Carlo techniques, in the age of digital computers, was initiated
by the pioneering work of John von Neumann and Stanislaw Ulam in thermonuclear
weapon development. They are also credited for having coined the phrase Monte
Carlo.
Many monographs on Monte Carlo Methods start with an introduction to mea-
sure theory and in particular to elementary probability theory. Although we will
introduce and use the proper mathematical vocabulary too, we will, with respect to
purely mathematical aspects, refer to those and largely rely upon the intuitive mean-
ing. We refer in particular to the classic monograph by Hammersley and Handscomb
[2]. This book provides a short and very readable overview of Monte Carlo. Remark-
ably, the theoretical foundations today remain rather similar to those from 1964,
when this book was first published. Just the applications are far more sophisticated
today. The illustrative examples on Monte Carlo integration and some of the ad-
vanced techniques in this present introduction will be based upon this text1 .
1
A pdf-file of that book, which is out of print since long, can be downloaded from the
internet, e.g., http://www.eirene.de/html/textbooks.html.
66 D. Reiter
3.1.2 The Basic Principle
The principle is to find (estimate) mean values, i.e. expectation values, I of some
system components. If a deterministic problem is to be solved, one first has to invent
a stochastic system such that a mean value ( = expectation value) coincides with the
desired solution I of the deterministic problem.
In any case: I is a single numerical quantity of interest (not an entire functional
dependence), and one might always think of I as some definite integral.
The simple intuitive interpretations are given below, but in abstract mathematical
terms this stochastic model is given by the probability space (Ω, σ, p, X). Ω is a set
of elementary (random) events ω, the σ-field is a set of subsets of Ω to which the
measurable function p assigns a value (the probability) from the interval [0, 1], such
that the Kolmogoroff axioms for a probability are fulfilled. X is a random variable
on Ω, assigning a (usually real) number (or vector) to each random event, e.g.:
X(ω) → R, such that I = E(X), the expected value of X.
The expectation value E(X) and variance σ 2 (X) are defined as the first moment
and second central moment, respectively, and, unless otherwise stated, we assume
that they both exist

E(X) := dp X ,
Ω

2
σ (X) := dp (X − E(X))2 . (3.2)
Ω
Note that E(X) = Ep (X), σ 2 (X) = σp2 (X), i.e., the moments of X of course
depend upon the probability measure p.
A stochastic approximation to I is then obtained by producing an independent
sequence of random events ωi , i = 1, . . . N according to probability law p and
evaluating
N
1
E(XN ) = IN = X(ωi ) . (3.3)
N i=1
The estimator IN is just the arithmetic mean of many (N ) outcomes of the random
experiment.
Even without any of this abstract mathematical background it is intuitively clear
(see examples below) that IN will converge to E(X), hence to I by construction,
as the number of samples N is increased. However the laws of large numbers and
the central limit theorems of probability theory not only provide sound mathematical
proofs that this Monte Carlo procedure is exact
√ (unbiased) but also that it converges:
IN → I for N → ∞, albeit slowly (with 1/ N ). In particular the central limit the-
orem of probability theory2 asserts that the probability distribution of IN , for large
enough N , converges to a Gaussian distribution, with mean value I = E(X) and
2
See any textbook on Monte Carlo, or Probability Theory.
variance σ 2 (IN ) = σ 2 (X)/N . Hence the typical results from statistical error analy-
sis under Gaussian distribution laws apply, e.g., also the resulting confidence levels.
It is, therefore, common practice in Monte Carlo applications to quote results as
I ≈ IN ± σ(IN ) or I ≈ IN ± 2 · σ(IN ) , (3.4)
which have confidence levels of about 66% and 95%, respectively.

Of course, in applications the variance σ 2 (X) is usually even more difficult
to compute than the mean value E(X). It is therefore replaced by the empirical
variance
N
1 2
s2 = [X(ωi ) − E(XN )]
N − 1 i=1
⎛ N 2 ⎞
N
1 ⎝ 2 1
= X (ωi ) − X(ωi ) ⎠ (3.5)
N − 1 i=1 N i=1
and one has also, under the assumptions made, for large sample size N
s2 → σ 2 ,
1 2
σ 2 (IN ) ≈ s2N = s . (3.6)
N
Hence, for large enough N , in the Gaussian based error estimates (3.4) σ can safely
be replaced by sN , at least for large sample size N 100. In the opposite case
N 100 Student’s t-distribution should be employed in error analysis instead.
3.2 Random Number Generation

The Monte Carlo method rests on our ability to produce random numbers drawn
from any particular probability distribution&F (x), or, if it exists, from the probability
x
density function (pdf) f (x), with F (x) = −∞ dt f (t).
Examples are wetting of a surface by rain (uniform distribution), radioactive
decay (Poisson distribution), or the distribution of velocities of molecules in a gas
(Gaussian distribution). In general, the probability law must be known, either from
theory, experiment or plausibility.
A theorem from measure theory states:
Theorem 1. Each (probability) measure μ can be decomposed into a weighted sum
μ = p1 μc + p2 μd + p3 μa of three parts:
(i) Part one has a continuous distribution (with probability density f (x)).
(ii) Part two has a discrete distribution.
(iii) Part three is a pathological contribution.
68 D. Reiter
The third part is required for the abstract mathematical case only (general measur-
able spaces, σ-algebras, . . . ), but it does not occur in practical Monte Carlo appli-
cations. This means, for any distribution law arising in an application we can obtain
random numbers in two steps: First a random decision (based on the two remaining
weighting factors p1 , p2 ) whether the continuous or the discrete distribution is to be
sampled, and second then generating a random number from the chosen distribution
μc or μd . We will show below that for both cases, continuous and discrete distribu-
tions, general procedures for random number generation exist, at least in principle.
We refer to the standard reference on the production of nonuniform random numbers
[5]. This book deals with the myriad number of ways to transform the uniform ran-
dom numbers into anything else one might want. Also the first section (pp. 1–193)
of [6] is a very comprehensive introduction to random number generation.
3.2.1 Uniform Random Numbers
Uniform random numbers are the basis for generation of random numbers with all
other distribution laws. A random variable is uniformly distributed on an interval
[a, b], if the distribution density f is
1
f (x) = χ[a,b] , xǫR (3.7)
b−a
with χ[a, b] = 1 if x is in the interval [a, b] and f (x) = 0 elsewhere.
The classical method to generate uniform random numbers on [0, 1] is by so
called linear congruential random number generators, which are defined by the
recursion
ξn+1 = [a ξn + b] mod m (3.8)
Here a is a magic multiplicand, m if often chosen to be the largest integer repre-
sentable on the machine (m = 232 , etc.), and b should be prime to m. Proofs for
particular choices of (large) parameters a and m that the generator achieves the
largest possible period of m − 1 different random numbers are quite cumbersome.
Optimal parameter choices are typically found experimentally, see again [6]. The
finite periodicity limits precision only in very large calculations, e.g. on modern
massively parallel computing systems. A rather subtle issue is also independence of
an entire sequence of random numbers (loc.cit.).
3.2.2 Non-uniform Random Numbers
As stated above we only need to consider discrete distributions and continuous

distributions.
Finding random numbers with a given discrete distribution is trivial: Let a
discrete distribution, with k elementary outcomes labelled by natural numbers
{0, 1, 2, . . . , k}, be given by
P (X = i) = pi ≥ 0 ,
k

pi = 1 ,
i=0
i

F (i) = P (X ≤ i) = pi (3.9)
j=0
with P (X = i) the probability of event i. F is the (cumulative) distribution. Let ξ

be a uniform random number on [0, 1], then the random variable X with X = i if
F (i − 1) < ξ ≤ F (i) is distributed according to F .
3.2.2.1 Inversion Method
The inversion method provides random samples z from a distribution F by convert-

ing uniform random numbers ξ. This is simply done by setting
z := min{x|F (x) ≥ ξ} ∼ F . (3.10)
If F is strictly monotonous, then z = F −1 (ξ). For example, if f (x) is the distri-

bution density
& x function (pdf) to be generated, then first find the cumulative function
F (x) = −∞ dt f (t), pick a uniform random number ξ on [0, 1] and set ξ = F (z)
and finally invert this to find random number z, which is then distributed according
to f (x).
The same transformation rules as for any density function apply also for a pdf.
Hence the general strategy is: Try to transform a given pdf f (x) to another distri-
bution f#, such that the inverse of the new cumulative distribution F# is explicitly
known. Then apply the method of inversion and transform back. Figure 3.2 illus-
trates the method of inversion for the normal (Gaussian) distribution
1 2
φ(x) = √ e−x /2 ,
2π
x
1 x
Φ(x) = dt φ(t) = 1 + erf √ . (3.11)
2 2
−∞
Unfortunately, the Gaussian error function erf(x) and hence Φ(x) cannot be inverted
in closed form. We will show how to generate Gaussian random numbers, even
without numerical inversion, further below.
From this procedure follows directly the natural and best format for storing (also
multi-dimensional) tabulated data for random sampling in Monte Carlo applica-
tions: Form the inverse cumulative distribution function F −1 (x) (i.e.: the quantile
function) and store this for x uniformly spaced in [0, 1]. Then take ξ from a uniform
distribution on [0, 1] and find F −1 (ξ) by interpolation in this table.
70 D. Reiter
1
0.6 (a) Gauss (b) 4 (c)
Cauchy
0.8
0.5 2
0.6 ξ2 z1
0.4
0
0.3 ξ1
0.4 z2
0.2 –2
0.2
0.1 –4
0 0
–4 –2 0 2 4 –4 –2 0 2 4 0 0.2 0.4 0.6 0.8 1
Fig. 3.2. (a) Comparison of Cauchy (dashed line) and normal distribution (solid line).
(b) Cumulative distribution function Φ(x) of normal distribution (3.11), (c) Inverse cumu-
lative distribution of normal distribution Φ−1 (ξ). Uniform random numbers ξ1 , ξ2 (abscissa)
are converted to random numbers z1 , z2 from a normal distribution (ordinate)
3.2.2.2 Rejection
Another general method for generating non-uniform random numbers is the re-
jection method (J.v. Neumann, 1947). This method is always applicable, although
it may sometimes be rather inefficient. For distributions with finite support, i.e.,
f (x) = 0 only on a finite domain M (say, M = [a, b]), find the maximum c of
f (x), sample a random pair (ξ1 , ξ2 ) with ξ1 uniform on M and ξ2 uniform on [0, c].
If ξ2 ≤ f (ξ1 ), accept ξ1 . Otherwise reject this pair and pick a new pair. Repeat this
procedure until a pair is accepted. Clearly, the efficiency of this method (e.g. mea-
sured as average number of accepted random pairs to number of pairs produced)
may be quite poor, in particular if the distribution f (x) has sharp maxima.
A more general, and sometimes more efficient rejection method, working even
on infinite sampling domains M , results if one finds a second distribution g(x) and a
numerical constant c such that f (x) ≤ c · g(x). Again find a pair (z1 , z2 ) of random
numbers, however with z1 not sampled uniformly on M but from distribution g(z)
instead. z2 is uniform on the interval [0, c]. The random variable z1 is accepted if
z2 ≤ f (z1 )/g(z1 ). Otherwise a new pair (z1 , z2 ) is generated. See Chap. 5 for an
important application in particle simulation.
3.2.2.3 Examples
3.2.2.3.1 Inversion
Important examples in which the inversion method can be applied are, e.g., the expo-
nential distribution (of the mean free flight length of radiation in matter), the cosine
distribution of polar emission angles against surface normals, the surfaces cross-
ing Maxwellian flux distribution f (v⊥ ) ∝ v⊥ fMaxw (v⊥ ) of normal velocity compo-
nents of gas molecules with Maxwellian velocity distribution (fMaxw ). We explicitly
illustrate the inversion method here for the Cauchy distribution: The Cauchy dis-
tribution, see Fig. 3.2(a), in physical applications also called Lorentz distribution, is
an example of a distribution function that has no moments. It arises often in radia-
tion transfer, e.g., as line-shapes of naturally- or Stark broadened lines or in other
resonance phenomena
c 1
fC (x) = . (3.12)
π (x − b)2 + c2
Here b is the median (line shift), and c is the half width at half maximum (HWHM).
Generating random number with a Cauchy distribution is usually done by inver-
sion. First transform to a standardized Cauchy, by s = (x − b)/c. The cumulative
distribution is then given as
x
1 1 1 1 x−b
FC (x) = ds = + arctan . (3.13)
π s2 + 1 2 π c
−∞
Therefore the random number z = b + c · tan{π(ξ − 1/2)}, with ξ a uniformly

distributed random number on [0, 1], has a Cauchy (b,c) distribution.
3.2.2.3.2 The Box Muller Method for Gaussian Random Numbers
Because the Gaussian error function cannot be inverted in closed form, the following
combination of transformation, rejection and inversion method is typically applied:
Not one, but two independent normally distributed random numbers (z1 , z2 ) are
produced by first transforming random variables Z1 , Z2 from cartesian to polar co-
ordinates R, Φ. The angle Φ is then uniform in [0, 2π]. Only cos(Φ) and sin(Φ) are
needed, and a rejection method (comparing a unit circle and a surrounding square)
can be used for them. The variable R has, due to the Jacobian of the transformation,
a Gaussian flux distribution (see above) rather than a Gaussian itself, and this can be
directly generated by the Method of Inversion. Transforming back Z1 = R · cos(Φ)
and Z2 = R · sin(Φ) provides a pair of independent Gaussian random numbers.
3.3 Integration by Monte Carlo

Integration by Monte Carlo is a stochastic method for the deterministic problem of
finding an integral, which in sufficiently complex high dimensional situations can
be competitive or even superior to numerical methods.
Let’s consider the source rate of particles (likewise, of momentum, heat, etc.)
in a macroscopic system (e.g., a fluid flow), in which these particles (microscopic
objects) are ruled by a kinetic, i.e. microscopic (Boltzmann) equation. Examples are
chemical sources (particle, momentum, energy) in plasma chemistry, or radiative
heat source in case of radiation transfer theory.
Such terms then read

I = dx g(x)f (x) := df g(x) . (3.14)
V V
Here f is the one particle distribution (density) function f (r, v, i, t) or f (x), where
the state x of the relevant phase-space may, e.g., be characterized by a position vec-
tor r, a velocity vector v, the time t, i.e. continuous variables, and further a discrete
72 D. Reiter
chemical species index i, also for example for internal quantal states. g(x) is again
some weighting function determined by the particular moment of interest. In math-
ematical terms one would refer to this as Lebesgue-Stieltjes Integral of measurabel
function g(x) with respect to (probability) measure defined by distribution density
f (x).
We will discuss Integration by Monte Carlo using the example from [2]: Let the
integration domain V be the unit interval [0, 1], f (x) the uniform distribution on
[0, 1] (i.e.: f (x) = 1 on [0, 1], and f (x) = 0 elsewhere) and g(x) = (exp(x) −
1)/(e − 1). Clearly,
1
ex − 1
I= dx = 0.418 0 . . . . (3.15)
e−1
0
We will now integrate this same function by Monte Carlo. Our first method does not
require any theory, but instead, inspired by Buffon’s needle experiment, we will just
use pairs ξ1 , ξ2 of independent uniform random numbers and compare the known
area (the unit square [0, 1] × [0, 1]) with the unknown area I, which is the area
underneath function g(x), in [0,1]. I.e., we count a hit if the point defined by the
pair of random numbers is under the curve g(x), and a miss otherwise.
As can clearly be seen on Fig. 3.3 the ratio of hits to total number of samples con-
verges to the exact values of the integral, as expected, and also the √ statistical error,
indicated as empirical standard deviation sN , (3.5) scales with 1/ N as expected.
Of course such a Monte Carlo integration method is patently foolish. By this
method we have, in principle, replaced the single integral over function g by a dou-
ble integral over the area between abscissa and function g(x). The conventional
text-book method (crude Monte Carlo) can be obtained from this one by the obser-
vation that once the first random number ξ1 of the pair is known, we do not have
to rely upon ξ2 to decide about counting zero or one. Given ξ1 , then an one will be
counted with probability p: p = g(ξ1 ). Hence instead we can use that (conditional)
expected value p of the binomial distribution b(1, p) directly. This is, admittedly, a
quite obscure explanation for something really trivial. But it is also the underlying
idea behind a powerful variance reducing Monte Carlo technique known under dif-
ferent names in different areas of application: Conditional expectation estimator (in
neutron shielding), [4], averaging transformation (transfer theory, mainly in Russian
literature), [7], or energy partitioning method in radiative heat transfer [8].
This method is opposite to randomization: We have replaced a sampled result
(zero or one) by its expectation value. In our particular example we have carried out
one of the two integrations analytically, conditional on the outcome ξ1 . The second
random number is not needed at all in this particular trivial case but this not the
relevant point. What is important also in general terms is that one (generally: some)
of the two (generally: many) integrals has been done analytically, and only the re-
maining ones by random sampling. The general rule is: Always try to do as many
integrations analytically or numerically and resort to Monte Carlo only for the rest.
In particle transport theory this concept will lead to powerful hybrid methods com-
bining information gained analytically (or numerically) and stochastically, bridging
Integration of f(x) with DULL-Monte Carlo-Method

ex – 1
f(x) =
e–1
0.70
0.65
0.60
0.55
X I MC-approximation
0.50
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
100.0 100.3 100.6 100.9 101.2 101.5 101.8 102.1 102.4 102.7 103.0
number of samples, logarithmic scaling
integral
approximation
0.4180233
Fig. 3.3. Evaluating Integral of (exp(x) − 1)/(e − 1) on [0,1], method: hit or miss Monte
Carlo
continuously the gap between stochastic and numerical methods. Sometimes, how-
ever, these resulting methods may loose their transparency.
In this crude Monte Carlo integration I is obtained as estimated mean value
(expectation value) of function g(x) with respect to the uniform probability distri-
bution f (x) on [0, 1], I = Ef (g), see remark after (3.2). Also indicated in Fig. 3.4
is again the empirical standard deviation sN , which, as expected, is significantly
smaller than with the hit or miss method.
Note that although this method has certainly a smaller statistical error per sam-
ple, the efficiency gain of one over the other method has also to account for the extra
labor involved in evaluating the smoother estimator (which is hardly measurable in
this trivial example chosen here).
In general Monte Carlo terminology one would refer to the uniform distribu-
tion f (x) as the underlying stochastic law, according to which random samples
X are produced. The random variable g(X) is called estimator, score, or response
function.
3.3.0.4 Importance sampling
We are now in the position to explain the famous Monte Carlo concept of impor-
tance sampling for improving the statistical performance of Monte Carlo methods.
Distinct from the conditional expectation technique discussed above, in which the
74 D. Reiter
Integration of f( x) with CRUDE-Monte Carlo-Method

ex – 1
f(x) =
e–1
0.70
0.65
0.60
0.55
x I MC-approximation
0.50
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
100.0 100.3 100.6 100.9 101.2 101.5 101.8 102.1 102.4 102.7 103.0
integral
approximation
0.4180233
Fig. 3.4. Evaluating Integral of (exp(x) − 1)/(e − 1) on [0,1], method: crude Monte Carlo
statistical noise is reduced solely by modifying (smoothing) the estimator g(x), in

importance sampling the underlying random variable (or random process) f (x) is
altered to another one, f#(x) in order to achieve variance reduction. A compensating
weight correction factor in introduced in the estimator to maintain the same mean
value I = E(g(X))

f (x) #
I = g(x) · f (x)dx = g(x) f (x)dx = # g(x)f#(x)dx . (3.16)
f#(x)
V V V
Hence we have g#(x) = g(x)f (x)/f#(x). The name of this method, importance
sampling originates from the special techniques often used to find optimal biassing
schemes (i.e.: f#(x)) of the random process, in particular in transfer theory. A more
general, but also somewhat imprecise terminology would refer to this concept as
non-analog Monte Carlo, as compared to the analog Monte Carlo scheme. In the
latter the underlying probability distribution law is directly taken from the applica-
tion, whereas in the former one uses a different distribution, motivated by practical,
economical or other reasons, and statistical weights to compensate this.
As seen from (3.16), the value of I is independent of how the integrant is
decomposed into a product of a probability density and a response function, but
the variances, σf2 (g) and σf2#(#
g ), certainly can be different.
Let’s take, again, our example, to illustrate the concept: In order to reduce the
variance σf2#(#g ) of g# with respect to probability law f# we should try to make #g as
constant as possible on [0,1]. The Taylor expansion of our particular function g(x)
indicates that the ratio g#(x) = g(x)/x should be more constant than g(x) itself.
Hence we try f#(x) ∝ x, i.e., f#(x) = 2x so that f#(x) is normalized to one on [0,1].
Our importance sampling procedure to evaluate I now proceeds as follows:
Draw random numbers ξ# from f#(x). By the method of inversion, this is done by
√
setting ξ# = ξ, with ξ a uniform random number on [0,1]. Then, again, form the
arithmetic average of many (N ) random variables g#(ξ). # Figure 3.5 shows the result
of such an integration, again vs. N . Clearly the convergence is (i) to the correct
value, (ii) still only ∝ 1/ (N ), but (iii) the error bars sN are much smaller than in
both previously discussed Monte Carlo integration methods.
Again, it needs to be pointed out that the efficiency of the procedure is nei-
ther determined by the variance, not by N per CPU-time, but only by the figure
of merit: variance per CPU time. And hence, importance sampling, more generally,
non-analog sampling, can go both ways in Monte Carlo. Its performance has to be
assessed on a case by case basis.
As a general observation, one should note that in non-analog Monte Carlo
schemes the error assessment simply based upon the empirical variance, and error
bars obtained from the central limit theorem, can be less reliable than in analog sim-
ulations. Although the variance may be decreased by a clever importance sampling
Integration of f(x) with Importance Sample-Monte Carlo-Method

ex – 1
f(x) =
e–1
0.70
0.65
0.60
0.55
0.50
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
100.0 100.3 100.6 100.9 101.2 101.5 101.8 102.1 102.4 102.7 103.0
integral
approximation
0.4180233
Fig. 3.5. Same integral as in Fig. 3.4, method: importance sampling Monte Carlo
76 D. Reiter
method, the variance of the variance may increase, thus invalidating conventional
error bar estimates, see [9].
As in the case of conditional expectation Monte Carlo we can design an extreme
case of importance sampling with zero statistical error after only one sample: Let us
set f#(x) = g(x)/I, hence: g#(x) = I = const. Monte Carlo integration proceeds by
sampling from this distribution f#(x) which, in case of our particular example can
be done by the rejection technique. Then, independent of the sampling, I is scored.
Unfortunately we needed the knowledge of the final result I already to design this
perfect zero variance scheme.
3.3.0.5 δf Monte Carlo
Finally we use our simple integral to illustrate the concept of the δf Monte Carlo
method, which is widely used in kinetic particle transport simulations. Starting point
is the idea to split the unknown parameter into a large known nearby quantity and
small unknown perturbation. In particle simulations this can also be the single parti-
cle distribution function f (x) solving some kinetic equation or moments of this pdf.
In near equilibrium situations we have
f (x) = fequil (x) + δf (x) (3.17)
with, for example, the Maxwellian equilibrium distribution fequil and a small pertur-
bation δf . It can then be advantageous to solve, by Monte Carlo sampling, only for
δf rather than for the full distribution.
So let us consider our integral again, and write, accordingly, I = I0 + δI with
I0 the known part
1 1
1 1 1 2 2 1
I0 = dx g0 (x) = dx x + x = (3.18)
e−1 e−1 2 3e−1
0 0
and δI the rest. Clearly,

1
ex − 1 − x − x2 /2
δI = dx . (3.19)
0 e−1
Figure 3.6 shows the result of the estimate for I, with I0 known and δI evaluated
by crude Monte Carlo. Clearly by eliminating a large, known, contribution to I the
relative errors of the estimates for any given sample size N are greatly reduced as
compared to previous methods.
This method is also related to the so called correlation sampling technique, in
which one would evaluate both I and I0 by Monte Carlo techniques, but using the
same random numbers. Both estimates are then positively correlated and the statis-
tical precision of the Monte Carlo estimate for the difference δI can be substantially
better than in independent estimates of I and I0 or of I alone.
Integration of f(x) with δf-Monte Carlo-Method

ex–1
f(x) =
e –1
0.70
0.65
0.60
0.55
0.50
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
100.0 100.3 100.6 100.9 101.2 101.5 101.8 102.1 102.4 102.7 103.0
integral
approximation
0.4180233
Fig. 3.6. Same integral as in Fig. 3.4, method: δf Monte Carlo
3.4 Summary
The purpose of this introduction was to show that random numbers can be generated
from any given probability density distribution, and that Monte Carlo Methods can
be regarded as stochastic (rather than numerical) procedures for integration. Monte
Carlo consists of inventing a random game such that the expected value of a proper
random variable is exactly equal to the parameter which is to be computed. Averag-
ing over repeated independent Monte Carlo samples from that game converges (in
the proper measure theoretical sense) to the desired solution.
The additional complication arising in many particle physics applications and
in transfer theory is due to one fact only: Distinct from the material in this present
chapter the sampling distribution f (x) is sometimes not known explicitly. Instead
it will be given only implicitly as solution of a, usually, very complicate equation
(e.g.: the Boltzmann equation, the Fokker-Planck equation, etc.). We will see that
this extra complication can be dealt with by sampling from certain stochastic pro-
cesses (generating particle trajectories), rather than sampling from a given pdf, see
Chap. 5. But the rest: Estimation of multi-dimensional integrals, the unbiased nature
of the method, proof of convergence, error bars, variance reduction methods, remain
essentially the same as in this present introduction.
78 D. Reiter
References
1. H. Kalos, P.A. Whitlock, Monte Carlo Methods, Vol. I: Basics (Wiley-Interscience Pub-
lications, John Wiley and Sons, New York, 1986) 63, 64
2. J.M. Hammersley, D.C. Handscomb, Monte Carlo Methods (Chapman and Hall, Lon-
don & New York, 1964) 64, 65, 72
3. R.Y. Rubenstein, in Wiley Series in Probability and Mathematical Statistics (John Wiley
and Sons, New York, 1981) 64
4. J. Spanier, E. Gelbard, Monte Carlo Principles and Neutron Transport Problems (Ad-
dison Wesley Publication Company, 1969) 64, 72
5. L. Devroye, Non-Uniform Random Variate Generation (Springer-Verlag, Berlin Hei-
delberg New York, 1986) 68
6. D.E. Knuth, in Seminumerical Algorithms, Vol. 2 (Addison Wesley, Reading, 1998) 68
7. G. Mikhailov, Optimization of Weighted Monte Carlo Methods (Springer Verlag, Berlin
Heidelberg New York, 1992) 72
8. A. Wang, M.F. Modest, J. Quant. Spectrosc. R. A 104, 288 (2007) 72
9. K. Noack, Ann. nucl. Energy 18(6), 309 (1991) 76
4 Monte Carlo Methods in Classical
Statistical Physics
Wolfhard Janke
Institut für Theoretische Physik and Centre for Theoretical Sciences, Universität Leipzig,
04009 Leipzig, Germany
The purpose of this chapter is to give a brief introduction to Monte Carlo simu-
lations of classical statistical physics systems and their statistical analysis. To set
the general theoretical frame, first some properties of phase transitions and sim-
ple models describing them are briefly recalled, before the concept of importance
sampling Monte Carlo methods is introduced. The basic idea is illustrated by a few
standard local update algorithms (Metropolis, heat-bath, Glauber). Then methods
for the statistical analysis of the thus generated data are discussed. Special atten-
tion is payed to the choice of estimators, autocorrelation times and statistical error
analysis. This is necessary for a quantitative description of the phenomenon of crit-
ical slowing down at continuous phase transitions. For illustration purposes, only
the two-dimensional Ising model will be needed. To overcome the slowing-down
problem, non-local cluster algorithms have been developed which will be described
next. Then the general tool of reweighting techniques will be explained which is ex-
tremely important for finite-size scaling studies. This will be demonstrated in some
detail by the sample study presented in the next section, where also methods for es-
timating spatial correlation functions will be discussed. The reweighting idea is also
important for a deeper understanding of so-called generalized ensemble methods
which may be viewed as dynamical reweighting algorithms. After first discussing
simulated and parallel tempering methods, finally also the alternative approach us-
ing multicanonical ensembles and the Wang-Landau recursion are briefly outlined.
4.1 Introduction
Classical statistical physics is a well understood subject which poses, however,
many difficult problems when a concrete solution for interacting systems is sought.
In almost all non-trivial applications, analytical methods can only provide approxi-
mate answers. Numerical computer simulations are, therefore, an important comple-
mentary method on our way to a deeper understanding of complex physical systems
such as (spin) glasses and disordered magnets or of biologically motivated prob-
lems such as protein folding. Quantum statistical problems in condensed matter or
the broad field of elementary particle physics and quantum gravity are other ma-
jor applications which, after suitable mappings, also rely on classical simulation
techniques.
W. Janke: Monte Carlo Methods in Classical Statistical Physics, Lect. Notes Phys. 739, 79–140 (2008)
80 W. Janke
In these lecture notes we shall confine ourselves to a survey of computer simu-

lations based on Markov chain Monte Carlo methods which realize the importance
sampling idea. Still, not all aspects can be discussed in these notes in detail, and for
further reading the reader is referred to recent textbooks [1, 2, 3, 4], where some
of the material is presented in more depth. For illustration purposes, here we shall
focus on the simplest spin models, the Ising and Potts models. From a theoretical
point of view, also spin systems are still of current interest since they provide the
possibility to compare completely different approaches such as field theory, series
expansions, and simulations. They are also the ideal testing ground for general con-
cepts such as universality, scaling or finite-size scaling, where even today some new
features can still be discovered. And last but not least, they have found a revival in
slightly disguised form in quantum gravity and and random network theory, where
they serve as idealized matter fields on Feynman diagrams or fluctuating graphs.
This chapter is organized as follows. In Sect. 4.2, first the definition of the stan-
dard Ising model is recalled and the most important observables (specific heat, mag-
netization, susceptibility, correlation functions, . . . ) are briefly discussed. Next some
characteristic properties of phase transitions, their scaling properties, the definition
of critical exponents and finite-size scaling are briefly summarized. In Sect. 4.3,
the basic method underlying all importance sampling Monte Carlo simulations is
described and some properties of local update algorithms (Metropolis, heat-bath,
Glauber) are discussed. The following Sect. 4.4 is devoted to non-local cluster al-
gorithms which in some cases can dramatically speed up the simulations. A fairly
detailed account of the initial non-equilibrium period and ageing phenomena as well
as statistical error analysis in equilibrium is given in Sect. 4.5. Here temporal corre-
lation effects are discussed, which explain the problems with critical slowing down
at a continuous phase transition and exponentially large flipping times at a first-
order transition. In Sect. 4.6, we discuss reweighting techniques which are particu-
larly important for finite-size scaling studies. A worked out example of such a study
is presented in the following Sect. 4.7. Finally, more refined generalized ensemble
simulation methods are briefly outlined in Sect. 4.8, focusing on simulated and par-
allel tempering, the multicanonical ensemble and the Wang-Landau recursion. The
lecture notes close in Sect. 4.9 with a few concluding remarks.
4.2 Statistical Physics Primer

To set the scenery for the simulation methods discussed below, we need to briefly
recall a few basic concepts of statistical physics [5, 6, 7, 8]. In these lecture notes
we will only consider classical systems and mainly focus on the canonical ensemble
where the partition function is generically given as

Z= e−βH = e−βF , (4.1)
states
with the summation running over all possible states of the system. The state space
may be continuous or discrete. As usual β ≡ 1/kB T denotes the inverse temperature
4 Monte Carlo Methods in Classical Statistical Physics 81
fixed by an external heat bath, kB is Boltzmann’s constant, H is the Hamiltonian of

the system, encoding the details of the interactions which may be short-, medium-,
or long-ranged, and F is the free energy. Expectation values denoted by angular
brackets . . . then follow as

O = Oe−βH /Z , (4.2)
states
where O stands symbolically for any observable, e.g., the energy E ≡ H.

As we will see in the next section, the most elementary Monte Carlo simulation
method (Metropolis algorithm) can, in principle, cope with all conceivable variants
of this quite general formulation. Close to a phase transition, however, this basic al-
gorithm tends to become very time consuming and for accurate quantitative results
one needs to employ more refined methods. Most of them are much more specific
and take advantage of certain properties of the model under study. One still quite
broad class of systems are lattice models, where one assumes that the degrees of
freedom live on the sites or/and links of a D-dimensional lattice. These are often
taken to be hypercubic, but more complicated regular lattice types (e.g., triangular
(T), body-centered cubic (BCC), face-centered cubic (FCC), etc.) and even random
lattices do not cause problems in principle. The degrees of freedom may be continu-
ous or discrete field variables such as a gauge field or the height variable of a crystal
surface, continuous or discrete spins such as the three-dimensional unit vectors of
the classical Heisenberg model or the ±1 valued spins of the Ising model, or arrow
configurations along the links of the lattice such as in Baxter’s vertex models, to
give only a few popular examples.
To be specific and to keep the discussion as simple as possible, most simulation
methods will be illustrated with the minimalistic Ising model [9, 10] where

H = −J σi σj − h σi (4.3)
ij i
with σi = ±1. Here J is a coupling constant which is positive for a ferromagnet

(J > 0) and negative for an anti-ferromagnet (J < 0), h is an external magnetic
field, and the symbol ij indicates that the lattice sum is restricted to run only
over all nearest-neighbor pairs. In the examples discussed below, usually periodic
boundary conditions are applied. And to ease the notation, we will always assume
units in which kB = 1 and J = 1.
Basic observables are the internal energy per site, u = U/V , with U =
−d ln Z/dβ ≡ H, and the specific heat
du E 2 − E2
C= = β2 = β 2 V e2 − e2 , (4.4)
dT V
where we have set H ≡ E = eV with V denoting the number of lattice sites, i.e.,
the lattice volume. The magnetization per site m = M/V and the susceptibility χ
are defined as
82 W. Janke
1 d ln Z 1
M= = V μ , μ= σi , (4.5)
β dh V i
and
χ = βV μ2 − μ2 . (4.6)
The correlation between spins σi and σj at sites labeled by i and j can be measured
by considering correlation functions like the two-point spin-spin correlation G(i, j),
which is defined as
G(r) = G(i, j) = σi σj − σi σj , (4.7)
where r = ri − rj (assuming translational invariance). Away from criticality and

at large distances |r| ≫ 1 (where we have assumed a lattice spacing a = 1), G(r)
decays exponentially
G(r) ∼ |r|κ e−|r|/ξ , (4.8)
where ξ is the correlation length and the exponent κ of the power-law prefactor
depends in general on the dimension and on whether one studies the ordered or
disordered phase. Some model (and simulation) specific details of the latter observ-
ables and further important quantities like various magnetization cumulants will be
discussed later when dealing with concrete applications.
The Ising model is the paradigm model for systems exhibiting a continuous (or,
roughly speaking, second-order) phase transition from an ordered low-temperature
to a disordered high-temperature phase at some critical temperature Tc when the
temperature is varied. In two dimensions (2D), the thermodynamic limit of this
model in zero external field has been solved exactly by Onsager [11], and also for
finite Lx × Ly lattices the exact partition function is straightforward to compute
[12, 13]. For infinite lattices, even the correlation length is known in arbitrary lattice
directions [14, 15]. The exact magnetization for h = 0, apparently already known
to Onsager [16]1 , was first derived by Yang [17, 18], and the susceptibility is known
to very high precision [19, 20], albeit still not exactly. In 3D no exact solutions are
available, but analytical and numerical results from various methods give a consis-
tent and very precise picture.
The most characteristic feature of a second-order phase transition is the diver-
gence of the correlation length at Tc . As a consequence thermal fluctuations are
equally important on all length scales, and one therefore expects power-law sin-
gularities in thermodynamic functions. The leading divergence of the correlation
length is usually parameterized in the high-temperature phase as
ξ = ξ0+ |1 − T /Tc|−ν + . . . (T ≥ Tc ) , (4.9)
where the . . . indicate sub-leading analytical as well as confluent corrections. This

defines the critical exponent ν > 0 and the critical amplitude ξ0+ on the high-
temperature side of the transition. In the low-temperature phase one expects a simi-
lar behavior
1
See also the historical remarks in Refs. [14, 15].
ξ = ξ0− (1 − T /Tc )−ν + . . . (T ≤ Tc ) , (4.10)

with the same critical exponent ν but a different critical amplitude ξ0− = ξ0+ .
An important consequence of the divergence of the correlation length is that
qualitative properties of second-order phase transitions should not depend on short-
distance details of the Hamiltonian. This is the basis of the universality hypothesis
[21] which means that all (short-ranged) systems with the same symmetries and
same dimensionality should exhibit similar singularities governed by one and the
same set of critical exponents. For the amplitudes this is not true, but certain ampli-
tude ratios are also universal.
The singularities of the specific heat, magnetization (for T < Tc ), and suscepti-
bility are similarly parameterized by the critical exponents α, β and γ, respectively,
C = Creg + C0 |1 − T /Tc|−α + . . . ,
m = m0 (1 − T /Tc )β + . . . ,
χ = χ0 |1 − T /Tc |−γ + . . . , (4.11)
where Creg is a regular background term, and the amplitudes are again in general
different on the two sides of the transition. Right at the critical temperature Tc , two
further exponents δ and η are defined through
m ∝ h1/δ ,
G(r) ∝ r−D+2−η . (4.12)
In the 1960’s, Rushbrooke [22], Griffiths [23], Josephson [24, 25] and Fisher
[26] showed that these six critical exponents are related via four inequalities. Sub-
sequent experimental evidence indicated that these relations were in fact equalities,
and they are now firmly established and fundamentally important in the theory of
critical phenomena. With D representing the dimensionality of the system, the scal-
ing relations are
Dν = 2 − α (Josephson’s law) ,
2β + γ = 2 − α (Rushbrooke’s law) ,
β(δ − 1) = γ (Griffiths’ law) ,
ν(2 − η) = γ (Fisher’s law) . (4.13)
In the conventional scaling scenario, Rushbrooke’s and Griffiths’ laws can be de-
duced from the Widom scaling hypothesis that the Helmholtz free energy is a ho-
mogeneous function [27, 28]. Widom scaling and the remaining two laws can in turn
be derived from the Kadanoff block-spin construction [29] and ultimately from that
of the renormalization group (RG) [30]. Josephson’s law can also be derived from
the hyperscaling hypothesis, namely that the free energy behaves near criticality as
84 W. Janke
Table 4.1. Critical exponents of the Ising model in two (2D) and three (3D) dimensions. All
2D exponents are exactly known [31, 32], while for the 3D Ising model the world-average
for ν and γ calculated in [33] is quoted. The other exponents follow from the hyperscaling
relation α = 2 − Dν, and the scaling relations β = (2 − α − γ)/2, δ = γ/β + 1, and
η = 2 − γ/ν
dimension ν α β γ δ η
D=2 1 0 (log) 1/8 7/4 15 1/4

D=3 0.630 05(18) 0.109 85 0.326 48 1.237 17(28) 4.7894 0.036 39
−D
the inverse correlation volume: f∞ (t) ∼ ξ∞ (t). Twice differentiating this relation
one recovers Josephson’s law (4.13). The critical exponents for the 2D and 3D Ising
model [31, 32, 33] are collected in Table 4.1.
In any numerical simulation study, the system size is necessarily finite. While
the correlation length may still become very large, it is therefore always finite. This
implies that also the divergences in other quantities are rounded and shifted [34, 35,
36, 37]. How this happens is described by finite-size scaling (FSS) theory, which in
a nut-shell may be explained as follows: Near Tc the role of ξ is taken over by the
linear size L of the system. By rewriting (4.9) or (4.10) and replacing ξ → L
|1 − T /Tc | ∝ ξ −1/ν −→ L−1/ν , (4.14)
it is easy to see that the scaling laws (4.11) are replaced by the FSS Ansätze,
C = Creg + aLα/ν + . . . ,
m ∝ L−β/ν + . . . ,
χ ∝ Lγ/ν + . . . . (4.15)
As a mnemonic rule, a critical exponent x of the temperature scaling law is
replaced by −x/ν in the corresponding FSS law. In general these scaling laws are
valid in a neighborhood of Tc as long as the scaling variable
x = (1 − T /Tc)L1/ν (4.16)
is kept fixed [34, 35, 36, 37]. This implies for the locations Tmax of the (finite)
maxima of thermodynamic quantities such as the specific heat or susceptibility, an
FSS behavior of the form
Tmax = Tc (1 − xmax L−1/ν + . . .) . (4.17)
In this more general formulation the scaling law for, e.g., the susceptibility reads
χ(T, L) = Lγ/ν f (x) , (4.18)
where f (x) is a scaling function. By plotting χ(T, L)/Lγ/ν versus the scaling vari-
able x, one thus expects that the data for different T and L fall onto a master
curve described by f (x). This is a nice visual method for demonstrating the scaling
properties.
Similar considerations for first-order phase transitions [38, 39, 40, 41] show
that here the δ-function like singularities in the thermodynamic limit, originating
from phase coexistence, are also smeared out for finite systems [42, 43, 44, 45,
46]. They are replaced by narrow peaks whose height (width) grows proportional to
the volume (1/volume) with a displacement of the peak location from the infinite-
volume limit proportional to 1/volume [47, 48, 49, 50, 51, 52].
4.3 The Monte Carlo Method

Let us now discuss how the expectation values in (4.2) can be estimated in a Monte
Carlo simulation. For any reasonable system size, a direct summation of the parti-
tion function is impossible, since already for the minimalistic Ising model with only
two possible states per site the number of terms would be enormous: For a moderate
20×20 lattice, the state space consists already of 2400 ≈10120 different spin config-
urations.2 Also a naive random sampling of the spin configurations does not work.
Here the problem is that the relevant region in the high-dimensional phase space is
relatively narrow and hence too rarely hit by random sampling. The solution to this
problem is known since long under the name importance sampling [53].
4.3.1 Importance Sampling
The basic idea of importance sampling is to set up a suitable Markov chain that
draws configurations not at random but according to their Boltzmann weight
e−βH({σi })
P eq ({σi }) = . (4.19)
Z
A Markov chain defines stochastic rules for transitions from one state to another
subject to the condition that the probability for the new configuration only depends
on the preceding state but not on the history of the whole trajectory in state space,
i.e., it is almost local in time. Symbolically this can be written as
W W W W
. . . −→ {σi } −→ {σi }′ −→ {σi }′′ −→ . . . , (4.20)
where the transition probability W has to satisfy the following conditions:

W ({σi } −→ {σi }′ ) ≥ 0 for all {σi }, {σi }′ ,
(i)
(ii) W ({σi } −→ {σi }′ ) = 1 for all {σi },
{σi }′ ′ eq eq ′ ′
(iii) {σi } W ({σi } −→ {σi } )P ({σi }) = P ({σi } ) for all {σi } .
2
This number should be compared with the estimated number of protons in the Universe
which is about 1080 .
86 W. Janke
From condition (iii) we see that the desired Boltzmann distribution P eq is a fixed
point of W (eigenvector of W with unit eigenvalue). A somewhat simpler sufficient
condition is detailed balance,
P eq ({σi }) W ({σi } −→ {σi }′ ) = P eq ({σi }′ ) W ({σi }′ −→ {σi }) . (4.21)
By summing over {σi } and using condition (ii), the more general condition (iii)
follows. After an initial equilibration period (cf. Sect. 4.5.1), expectation values can
be estimated as an arithmetic mean over the Markov chain of length N , e.g.,
N
1
E = H = H({σi })P eq ({σi }) ≈ H({σi }j ) , (4.22)
N j=1
{σi }
where {σi }j denotes the spin configuration at “time” j. A more detailed exposition
of the mathematical concepts underlying any Markov chain Monte Carlo algorithm
can be found in many textbooks and reviews [1, 2, 3, 4, 34, 54, 55].
4.3.2 Local Update Algorithms
The Markov chain conditions (i)–(iii) are still quite general and can be satisfied by
many different concrete update rules. In a rough classification one distinguishes be-
tween local and non-local algorithms. Local update algorithms discussed in this
subsection are conceptually much simpler and, as the main merit, quite univer-
sally applicable. The main drawback is their relatively poor performance close to
second-order phase transitions where the spins or fields of a typical configuration
are strongly correlated over large spatial distances. Here non-local update algo-
rithms based on multigrid methods or in particular self-adaptive cluster algorithms
discussed later in Sect. 4.4 perform much better.
4.3.2.1 Metropolis Algorithm
The most flexible update rule is the classic Metropolis algorithm [56], which
is applicable in practically all cases (lattice/off-lattice, discrete/continuous, short-
range/long-range interactions, . . . ). Here one proposes an update for a single degree
of freedom (spin, field, . . . ) and accepts this proposal with probability
/
1 Enew < Eold
W ({σi }old −→ {σi }new ) = , (4.23)
e−β(Enew −Eold) Enew ≥ Eold
where Eold and Enew denote the energy of the old and new spin configuration {σi }old
and {σi }new , respectively, where {σi }new differs from {σi }old only locally by one
modified degree of freedom at, say, i = i0 . More compactly, this may also be writ-
ten as
W ({σi }old −→ {σi }new ) = min{1, e−β∆E } , (4.24)
where ∆E = Enew − Eold . If the proposed update lowers the energy, it is always
accepted. On the other hand, when the new configuration has a higher energy, the up-
date has still to be accepted with a certain probability in order to ensure the proper
treatment of entropic contributions – in thermal equilibrium, it is the free energy
F = U − T S which has to be minimized and not the energy. Only in the limit of
zero temperature, β → ∞, the acceptance probability for this case tends to zero and
the Metropolis method degenerates to a minimization algorithm for the energy func-
tional. With some additional refinements, this is the basis for the simulated anneal-
ing technique [57], which is often applied to hard optimization and minimization
problems.
The verification of the detailed balance condition (4.21) is straightforward. If
Enew < Eold , then the l.h.s. of (4.21) becomes exp(−βEold ) × 1 = exp(−βEold ).
On the r.h.s. we have to take into account that the reverse move would increase
the energy, Eold > Enew (with Eold now playing the role of the new energy), such
that now the second line of (4.23) with Eold and Enew interchanged is relevant.
This gives exp(−βEnew ) × exp(−β(Eold − Enew )) = exp(−βEold ) on the r.h.s. of
(4.21), completing the demonstration of detailed balance. In the opposite case with
Enew < Eold , a similar reasoning leads to exp(−βEold ) × exp(−β(Enew − Eold )) =
exp(−βEnew ) = exp(−βEnew ) × 1. Admittedly, this proof looks a bit like a tautol-
ogy. To uncover its non-trivial content, it is a useful exercise to replace the r.h.s. of
the Metropolis rule (4.23) by some general function f (Enew − Eold ) and repeat the
above steps [58].
Finally a few remarks on the practical implementation of the Metropolis method
are in order. To decide whether a proposed update should be accepted or not, one
draws a uniformly distributed random number r ∈ [0, 1), and if W ≤ r, the new
state is accepted. Otherwise one keeps the old configuration and continues with
the next spin. In computer simulations, random numbers are generated by means
of pseudo-random number generators (RNGs), which produce (more or less) uni-
formly distributed numbers whose values are very hard to predict – by using some
deterministic rule (see [59] and references therein). In other words, given a finite
sequence of subsequent pseudo-random numbers, it should be (almost) impossible
to predict the next one or to even guess the deterministic rule underlying their gen-
eration. The goodness of an RNG is thus measured by the difficulty to derive its
underlying deterministic rule. Related requirements are the absence of trends (cor-
relations) and a very long period. Furthermore, an RNG should be portable among
different computer platforms and, very importantly, it should yield reproducible re-
sults for testing purposes. The design of RNGs is a science in itself, and many things
can go wrong with them. As a recommendation one should better not experiment
too much with some fancy RNG one has picked up somewhere from the Web, say,
but rely on well-tested and well-documented routines.
There are many different ways how the degrees of freedom to be updated can
be chosen. They may be picked at random or according to a random permutation,
which can be updated every now and then. But also a simple fixed lexicographical
88 W. Janke
(sequential) order is permissible.3 In lattice models one may also update first all odd
and then all even sites, which is the usual choice in vectorized codes. A so-called
sweep is completed when on the average4 for all degrees of freedom an update was
proposed. The qualitative behavior of the update algorithm is not sensitive to these
details, but its quantitative performance does depend on the choice of the update
scheme.
4.3.2.2 Heat-Bath Algorithm
This algorithm is only applicable to lattice models and at least in its most straight-
forward form only to discrete degrees of freedom with a few allowed states. The
new value σi′0 at site i0 is determined by testing all its possible states in the heat-
bath of its (fixed) neighbors (e.g., four on a square lattice and six on a simple-cubic
lattice with nearest-neighbor interactions):
′
e−βH({σi }new ) e−βσi0 Si0
W ({σi }old −→ {σi }new ) = −βH({σ } )
= −βσi0 Si0
, (4.25)
σi e σi e
i old
0 0

where Si0 = − j σj − h is an effective spin or field collecting all neighboring
spins (in their old states) interacting with the spin at site i0 and h is the external
magnetic field. Note that this decomposition also works in the case of vectors (σi →
σi , h → h, Si0 → Si0 ), interacting via the usual dot product (σi′0 Si0 → σi′0 ·
Si0 ). As the last equality in (4.25) shows, all other contributions to the energy not
involving σi′0 cancel due to the ratio in (4.25), so that for the update at each site i0
only a small number of computations is necessary (e.g, about four for a square and
six for a simple-cubic lattice of arbitrary size). Detailed balance (4.21) is obviously
satisfied since
e−βH({σi }new ) e−βH({σi }old )
e−βH({σi }old ) −βH({σi }new )
= e −βH({σi }new )
−βH({σi }old )
. (4.26)
σi e
0 σi e
0
How is the probability (4.25) realized in practice? Due to the summation over
all local states, special tricks are necessary when each degree of freedom can
take many different states, and only in special cases the heat-bath method can be
efficiently generalized to continuous degrees of freedom. In many applications,
however, the admissible local states of σi0 can be labeled by a small number of
integers, say n = 1, . . . , N . Since the probability in (4.25) is normalized to unity,
the sequence (P1 , P2 , . . . , Pn , . . . , PN ) decomposes the unit interval into segments

of length Pn = exp(−βnSi0 )/ N k=1 exp(−βkSi0 ). If one now draws a random
n
number R ∈ [0, 1) and compares the accumulated probabilities k=1 k with R,
P
n0
then the new state n0 is given as the smallest integer for which k=1 Pk ≥ R.
Clearly, for a large number of possible local states, the determination of n0 can be-
come quite time-consuming (in particular, if many small Pn are at the beginning
3
Some special care is necessary, however, for one-dimensional spin chains.
4
This is only relevant when the random update order is chosen.
of the sequence, in which case a clever permutation of the Pn -list can help a lot).
The order of updating the individual variables can be chosen as for the Metropolis
algorithm (random, sequential, . . . ).
In the special case of the Ising model with only two states per spin, σi = ±1,
(4.25) reads explicitly as
′
e−βσi0 Si0
W ({σi }old −→ {σi }new ) = βSi . (4.27)
e 0 + e−βSi0
And since ∆E = Enew − Eold = (σi′0 − σi0 )Si0 , the probability for a spin flip,
σi′0 = −σi0 , becomes [58]
e−β∆E/2
Wσi0 →−σi0 = . (4.28)
eβ∆E/2 + e−β∆E/2
The acceptance ratio (4.28) is plotted in Fig. 4.1 as a function of ∆E for various
(inverse) temperatures and compared with the corresponding ratio (4.24) of the
Metropolis algorithm. As we shall see in the next paragraph, for the Ising model,
the Glauber and heat-bath algorithm are identical.
4.3.2.3 Glauber Algorithm
The Glauber update prescription [60] is conceptually similar to the Metropolis algo-
rithm in that also here a local update proposal is accepted with a certain probability
1.0 M
0.8
acceptance ratio
0.6
HB
0.4
β = 0.2
0.2 β = 0.44
β = 1.0
0.0
−8 −4 0 4 8
energy difference ΔE
Fig. 4.1. Comparison of the acceptance ratio for a spin flip with the heat-bath (HB) (or
Glauber) and Metropolis (M) algorithm in the Ising model for three different inverse temper-
atures β. Note that for all values of ∆E and temperature, the Metropolis acceptance ratio is
higher than that of the heat-bath algorithm
90 W. Janke
or otherwise rejected. For the Ising model with spins σi = ±1 the acceptance prob-
ability can be written as
1
Wσi0 →−σi0 = [1 + σi0 tanh (βSi0 )] , (4.29)
2

where as before σi0 Si0 with Si0 = − j σj − h is the energy of the ith
0 spin in the
current old state.
Due to the point symmetry of the hyperbolic tangent, one may rewrite σi0 tanh
(βSi0 ) as tanh (σi0 βSi0 ). And since as before ∆E = Enew − Eold = −2σi0 Si0 ,
(4.29) becomes
1
Wσi0 →−σi0 = [1 − tanh (β∆E/2)] , (4.30)
2
showing explicitly that the acceptance probability only depends on the total en-
ergy change as in the Metropolis case. In this form it is thus possible to generalize
the Glauber update rule from the Ising model with only two states per spin to any
general model that can be simulated with the Metropolis procedure. Also detailed
balance is straightforward to prove. Finally by using trivial identities for hyperbolic
functions, (4.30) can be further recast to read

1 cosh(β∆E/2) − sinh(β∆E/2)
Wσi0 →−σi0 =
2 cosh(β∆E/2)
e−β∆E/2
= , (4.31)
eβ∆E/2 + e−β∆E/2
which is just the flip probability (4.28) of the heat-bath algorithm for the Ising
model, i.e., heat-bath updates for the special case of a 2-state model and the Glauber
update algorithm are identical. In the general case with more than two states per
spin, however, this is not the case.
The Glauber (or equivalently heat-bath) update algorithm for the Ising model is
also theoretically of interest since in this case the dynamics of the Markov chain can
be calculated analytically for a one-dimensional system [60]. For two and higher
dimensions, however, no exact solutions are known.
4.3.3 Performance of Local Update Algorithms
Local update algorithms are applicable to a very wide class of models and the com-
puter codes are usually quite simple and very fast. The main drawback are tempo-
ral correlations of the generated Markov chain which tend to become huge in the
vicinity of phase transitions. They can be determined by analysis of autocorrelation
functions
Oi Oi+k − Oi Oi
A(k) = , (4.32)
Oi2 − Oi Oi
where O denotes any measurable quantity, for example the energy or magnetization.
More details and how temporal correlations enter into the statistical error analysis
will be discussed in Sect. 4.5.2.3. For large time separations k, A(k) decays expo-
nentially (a = const)
k→∞
A(k) −−−− → ae−k/τO,exp , (4.33)
which defines the exponential autocorrelation time τO,exp . At smaller distances usu-
ally also other modes contribute and A(k) behaves no longer purely exponentially.
This is illustrated in Fig. 4.2 for the 2D Ising model on a rather small 16×16
square lattice with
√ periodic boundary conditions at the infinite-volume critical point
βc = ln(1 + 2)/2 = 0.440 686 793 . . .. The spins were updated in sequential
order by proposing always to flip a spin and accepting or rejecting this proposal
according to (4.23). The raw data of the simulation are collected in a time-series
file, storing 1 000 000 measurements of the energy and magnetization taken after
each sweep over the lattice, after discarding (quite generously) the first 200 000
sweeps for equilibrating the system from a disordered start configuration. The last
1 000 sweeps of the time evolution of the energy are shown in Fig. 4.2(a). Using the
complete time series the autocorrelation function was computed according to (4.32)
which is shown in Fig. 4.2(b). On the linear-log scale of the inset we clearly see the
asymptotic linear behavior of ln A(k). A linear fit of the form (4.33), ln A(k) =
ln a − k/τe,exp , in the range 10 ≤ k ≤ 40 yields an estimate for the exponential
autocorrelation time of τe,exp ≈ 11.3. In the small k behavior of A(k) we observe
an initial fast drop, corresponding to faster relaxing modes, before the asymptotic
behavior sets in. This is the generic behavior of autocorrelation functions in realistic
models where the small-k deviations are, in fact, often much more pronounced than
for the 2D Ising model.
Close to a critical point, in the infinite-volume limit, the autocorrelation time
typically scales as
τO,exp ∝ ξ z , (4.34)
where z ≥ 0 is the so-called dynamical critical exponent. Since the spatial correla-
tion length ξ ∝ |T −Tc |−ν → ∞ when T → Tc , also the autocorrelation time τO,exp
Fig. 4.2. (a) Part of the time evolution

√ of the energy e = E/V for the 2D Ising model on
a 16×16 lattice at βc = ln(1 + 2)/2 = 0.440 686 793 . . . and (b) the resulting autocor-
relation function. In the inset the same data are plotted on a logarithmic scale, revealing a
fast initial drop for very small k and noisy behavior for large k. The solid lines show a fit
to the ansatz A(k) = a exp(−k/τe,exp ) in the range 10 ≤ k ≤ 40 with τe,exp = 11.3 and
a = 0.432
92 W. Janke
diverges when the critical point is approached, τO,exp ∝ |T − Tc |−νz . This leads to
the phenomenon of critical slowing down at a continuous phase transition. This is
not in the first place a numerical artefact, but can also be observed experimentally for
instance in critical opalescence, see Fig. 1.1 in [5]. The reason is that local spin-flip
Monte Carlo dynamics (or diffusion dynamics in a lattice-gas picture) describes at
least qualitatively the true physical dynamics of a system in contact with a heat-bath
(which, in principle, enters stochastic elements also in molecular dynamics simula-
tions). In a finite system, the correlation length ξ is limited by the linear system size
L, and similar to the reasoning in (4.14) and (4.15), the scaling law (4.34) becomes
τO,exp ∝ Lz . (4.35)
For local dynamics, the critical slowing down effect is quite pronounced since
the dynamical critical exponent takes a rather large value around
z≈2, (4.36)
which is only weakly dependent on the dimensionality and can be understood by a

simple random-walk or diffusion argument in energy space. Non-local update algo-
rithms such as multigrid schemes or in particular the cluster methods discussed in
the next section can reduce the value of the dynamical critical exponent z signifi-
cantly, albeit in a strongly model-dependent fashion.
At a first-order phase transition, a completely different mechanism leads to an
even more severe slowing-down problem [47]. Here, the password is phase coex-
istence. A finite system close to the (pseudo-) transition point can flip between the
coexisting pure phases by crossing a two-phase region. Relative to the weight of the
pure phases, this region of state space is strongly suppressed by an additional Boltz-
mann factor exp(−2σLd−1 ), where σ denotes the interface tension between the
coexisting phases, Ld−1 is the (projected) area of the interface and the factor two
accounts for periodic boundary conditions, which enforce always an even number
of interfaces for simple topological reasons. The time spent for crossing this highly
suppressed rare-event region scales proportional to the inverse of this interfacial
Boltzmann factor, implying that the autocorrelation time increases exponentially
with the system size,
d−1
τO,exp ∝ e2σL . (4.37)
In the literature, this behavior is sometimes termed supercritical slowing down, even
though, strictly speaking, nothing is critical at a first-order phase transition. Since
this type of slowing-down problem is directly related to the shape of the probability
distribution, it appears for all types of update algorithms, i.e., in contrast to the
situation at a second-order transition, here it cannot be cured by employing multigrid
or cluster techniques. It can be overcome, however, at least in part by means of
tempering and multicanonical methods also briefly discussed at the end of these
notes in Sect. 4.8.
4.4 Cluster Algorithms

In this section we first concentrate on the problem of critical slowing down at a
second-order phase transition which is caused by very large spatial correlations, re-
flecting that excitations become equally important on all length scales. It is therefore
intuitively clear that some sort of non-local updates should be able to alleviate this
problem. While it was realized since long that whole clusters or droplets of spins
should play a central role in such an update, it took until 1987 before Swendsen
and Wang [61] proposed a legitimate cluster update procedure first for q-state Potts
models [62] with
HPotts = −J δσi ,σj , (4.38)
ij
where σi = 1, . . . , q. For q = 2 (and a trivial rescaling) the Ising model (4.3)

is recovered. Soon after this discovery, Wolff [63] introduced the so-called single-
cluster variant and developed a generalization to O(n)-symmetric spin models. By
now cluster update algorithms have been constructed for many other models as well
[64]. However, since in all constructions some model specific properties enter in a
crucial way, they are still far less general applicable than local update algorithms of
the Metropolis type. We therefore first concentrate again on the Ising model where
(as for more general Potts models) the prescription for a cluster-update algorithm
can be easily read off from the equivalent Fortuin-Kasteleyn representation [65, 66,
67, 68]
β σ σ
Z= e ij i j (4.39)
{σi }
0 ) *
= eβ (1 − p) + pδσi ,σj (4.40)
{σi } ij
0 ) *
= eβ (1 − p)δnij ,0 + pδσi ,σj δnij ,1 (4.41)
{σi } {nij } ij
with
p = 1 − e−2β . (4.42)
Here the nij are bond occupation variables which can take the values nij = 0 or
nij = 1, interpreted as deleted or active bonds. The representation (4.40) in the
second line follows from the observation that the product σi σj of two Ising spins
can only take the two values ±1, so that exp(βσi σj ) = x + yδσi σj can easily be
solved for x and y.
And in the third line (4.41) we made use of the trivial (but clever)
1
identity a + b = n=0 (aδn,0 + bδn,1 ).
4.4.1 Swendsen-Wang Cluster
According to (4.41) a cluster update sweep consists of two alternating steps. First,
updates of the bond variables nij for given spins, and second updates of the spins
σi for a given bond configuration. In practice one proceeds as follows:
94 W. Janke
always
Fig. 4.3. Illustration of the bond variable update. The bond between unlike spins is always
deleted as indicated by the dashed line. A bond between like spins is only active with prob-
ability p = 1 − exp(−2β). Only at zero temperature (β → ∞) stochastic and geometrical
clusters coincide
(i) Set nij = 0 if σi = σj , or assign values nij = 1 and 0 with probability p and
1 − p, respectively, if σi = σj , cp. Fig. 4.3.
(ii) Identify clusters of spins that are connected by active bonds (nij = 1).
(iii) Draw a random value ±1 independently for each cluster (including one-site
clusters), which is then assigned to all spins in a cluster.
Technically the cluster identification part is the most complicated step, but there
are by now quite a few efficient algorithms available which can even be used on
parallel computers. Vectorization, on the other hand, is only partially possible.
Notice the difference between the just defined stochastic clusters and geometri-
cal clusters whose boundaries are defined by drawing lines through bonds between
unlike spins. In fact, since in the stochastic cluster definition also bonds between
like spins are deleted with probability p0 = 1 − p = exp(−2β), stochastic clus-
ters are smaller than geometrical clusters. Only at zero temperature (β → ∞) p0
approaches zero and the two cluster definitions coincide.
As described above, the cluster algorithm is referred to as Swendsen-Wang (SW)
or multiple-cluster update [61]. The distinguishing point is that the whole lattice is
decomposed into stochastic clusters whose spins are assigned a random value +1 or
−1. In one sweep one thus attempts to update all spins of the lattice.
4.4.2 Wolff Cluster
Shortly after the original discovery of cluster algorithms, Wolff [63] proposed a
somewhat simpler variant in which only a single cluster is flipped at a time. This
variant is therefore sometimes also called single-cluster algorithm. Here one chooses
a lattice site at random, constructs only the cluster connected with this site, and then
flips all spins of this cluster. In principle, one could also here choose for all spins in
the updated cluster a new value +1 or −1 at random, but then nothing at all would
be changed if one hits the current value of the spins. Typical configuration plots
before and after the cluster flip are shown in Fig. 4.4, which also nicely illustrates the
difference between stochastic and geometrical clusters already stressed in the last
paragraph. The upper right plot clearly shows that, due to the randomly distributed
inactive bonds between like spins, the stochastic cluster is much smaller than the
underlying black geometrical cluster which connects all neighboring like spins.
Fig. 4.4. Illustration of the Wolff cluster update, using actual simulation results for the 2D
Ising model at 0.97βc on a 100×100 lattice. Upper left: Initial configuration. Upper right:
The stochastic cluster is marked. Note how it is embedded in the larger geometric cluster
connecting all neighboring like (black) spins. Lower left: Final configuration after flipping
the spins in the cluster. Lower right: The flipped cluster
In the single-cluster variant some care is necessary with the definition of the unit
of time since the number of flipped spins varies from cluster to cluster. It also de-
pends crucially on temperature since the average cluster size automatically adapts
to the correlation length. With |C| denoting the average cluster size, a sweep is
usually defined to consist of V /|C| single cluster steps, assuring that on the av-
erage V spins are flipped in one sweep. With this definition, autocorrelation times
are directly comparable with results from the Swendsen-Wang or Metropolis algo-
rithm. Apart from being somewhat easier to program, Wolff’s single-cluster variant
is usually even more efficient than the Swendsen-Wang multiple-cluster algorithm,
especially in 3D. The reason is that with the single-cluster method, on the average,
larger clusters are flipped.
96 W. Janke
4.4.3 Embedded Clusters
While it is straightforward to generalize the derivation (4.39)–(4.42) to q-state Potts

models (because as in the Ising model each contribution to the energy, δσi σj , can
take only two different values), for O(n) spin models with Hamiltonian

H = −J σi · σj , (4.43)
ij
with σ i = (σi,1 , σi,2 , . . . , σi,n ) and |σ i | = 1, one needs a new strategy for n ≥ 2
[63, 69, 70, 71] (the case n = 1 degenerates again to the Ising model). Here the
basic idea is to isolate Ising degrees of freedom by projecting the spins σ i onto a
randomly chosen unit vector r

σi = σi + σ⊥
i ,

σ i = ǫ |σ i · r| r ,
ǫ = sign(σ i · r) . (4.44)
If this is inserted in the original Hamiltonian one ends up with an effective

Hamiltonian
H=− Jij ǫi ǫj + const , (4.45)
ij
with positive random couplings Jij = J|σ i · r||σ j · r| ≥ 0, whose Ising degrees of
freedom ǫi can be updated with a cluster algorithm as described above.
4.4.4 Performance of Cluster Algorithms
The advantage of cluster algorithms is most pronounced close to criticality where

excitations on all length scales occur. A convenient performance measure is thus
the dynamical critical exponent z (even though one should always check that the
proportionality constant in τ ∝ Lz is not exceedingly large, but this is definitely not
the case here [72]). Some results on z are collected in Table 4.2, which allow us to
conclude:
(i) Compared to local algorithms with z ≈ 2, z is dramatically reduced for both
cluster variants in 2D and 3D [73, 74, 75].
(ii) In 2D, Swendsen-Wang and Wolff cluster updates are equally efficient, while
in 3D, the Wolff update is clearly favorable.
(iii) In 2D, the scaling with system size can hardly be distinguished from a very
weak logarithmic scaling. Note that this is consistent with the Li-Sokal bound
[76, 77] for the Swendsen-Wang cluster algorithm of τSW ≥ C ( = C0 + A ln L
for the 2D Ising model), implying zSW ≥ α/ν ( = 0 for the 2D Ising model).
(iv) Different observables (e.g., energy E and magnetization M ) may yield quite
different values for z when defined via the scaling behavior of the integrated
autocorrelation time discussed below in Sect. 4.5.2.3.
Table 4.2. Dynamical critical exponents z for the 2D and 3D Ising model (τ ∝ Lz ). The sub-
scripts indicate the observables and method used (exp resp. int: exponential resp. integrated
autocorrelation time, rel: relaxation, dam: damage spreading)
algorithm 2D 3D observable authors

Metropolis 2.1667(5) – zM,exp Nightingale and
Blöte [78, 79]
– 2.032(4) zdam Grassberger
[80, 81]
– 2.055(10) zM,rel Ito et al. [82]
Swendsen-Wang cluster 0.35(1) 0.75(1) zE,exp Swendsen and

Wang [61]
0.27(2) 0.50(3) zE,int Wolff [72]
0.20(2) 0.50(3) zχ,int Wolff [72]
0(log L) – zM,exp Heermann and
Burkitt [83]
0.25(5) – zM,rel Tamayo [84]
Wolff cluster 0.26(2) 0.28(2) zE,int Wolff [72]

0.13(2) 0.14(2) zχ,int Wolff [72]
0.25(5) 0.3(1) zE,rel Ito and Kohring
[85]
4.4.5 Improved Estimators
The intimate relationship of cluster algorithms with the correlated percolation rep-
resentation of Fortuin and Kasteleyn leads to another quite important improvement
which is not directly related with the dynamical properties discussed so far. Within
the percolation picture, it is quite natural to introduce alternative estimators (mea-
surement prescriptions) for most standard quantities which turn out to be so-called
improved estimators. By this one means measurement prescriptions that yield the
same expectation value as the standard ones but have a smaller statistical variance
which helps to reduce the statistical errors. Suppose we want to measure the expec-
tation value O of an observable O. Then any estimator O satisfying O
= O

is permissible. This does not determine O uniquely since there are infinitely many
other possible choices O ′ = O + X, as long as the added estimator X has zero

expectation X = 0. The variance of the estimator O ′ , however, can be quite dif-
ferent and is not necessarily related to any physical quantity (contrary to the standard
mean-value estimator of the energy, for instance, whose variance is proportional to
the specific heat). It is exactly this freedom in the choice of O which allows the
construction of improved estimators.
For the single-cluster algorithm an improved cluster estimator for the spin-spin
correlation function in the high-temperature phase G(xi − xj ) ≡ σ i · σ j is given
by [71]
98 W. Janke
i − xj ) = n V (r · σ i ) (r · σ j ) ΘC (xi )ΘC (xj ) ,

G(x (4.46)
|C|
where r is the normal of the mirror plane used in the construction of the cluster of
size |C| and ΘC (x) is its characteristic function (= 1 if x ∈ C and zero otherwise).
In the Ising case (n = 1), this simplifies to
i − xj ) = V ΘC (xi )ΘC (xj ) ,
G(x (4.47)
|C|
i.e., to the test whether the two sites xi and xj belong to same stochastic cluster
or not. Only in the former case, the average over clusters is incremented by one,
otherwise nothing is added. This implies that G(x i − xj ) is strictly positive which
is not the case for the standard estimator σ i · σ j , where ±1 contributions have to
average to a positive value. It is therefore at least intuitively clear that the cluster
(or percolation) estimator has a smaller variance and is thus indeed an improved
estimator, in particular for large separations |xi − xj |.

#
For the Fourier transform G(k) = x G(x) exp(−ik · x), (4.46) implies the
improved estimator
⎡1 22 1 22 ⎤
# n ⎣
G(k) = r · σ i cos kxi + r · σ i sin kxi ⎦ , (4.48)
|C|
i∈C i∈C
which, for k = 0, reduces to an improved estimator for the susceptibility χ′ =

βV m2 in the high-temperature phase
1 22
# ′ n
G(0) = χ
/β = r · σi . (4.49)
|C|
i∈C
′
For the Ising model (n = 1) this reduces to χ /β = |C|, i.e., the improved estima-
tor of the susceptibility is just the average cluster size of the single-cluster update
algorithm. For the XY (n = 2) and Heisenberg (n = 3) model one finds empirically
that in two as well as in three dimensions |C| ≈ 0.81χ′ /β for n = 2 [69, 86] and
|C| ≈ 0.75χ′ /β for n = 3 [71, 87], respectively.
Close to criticality, the average cluster size becomes large, growing ∝ χ′ ∝
γ/ν
L ≃ L2 (since γ/ν = 2 − η with η usually small) and the advantage of cluster
estimators diminishes. In fact, in particular for short-range quantities such as the
energy (the next-neighbor correlation) it may even degenerate into a depraved or
deteriorated estimator, while long-range quantities such as G(xi − xj ) for large
distances |xi − xj | usually still profit from it. A significant reduction of variance by
means of the estimators (4.46)–(4.49) can, however, always be expected outside the
FSS region where the average cluster size is small compared to the volume of the
system.
Finally it is worth pointing out that at least for 2D Potts models also the geo-
metrical clusters do encode critical properties – albeit those of different but related
(tricritical) models [88, 89, 90, 91, 92]5 .
5
See also the extensive list of references to earlier work given therein.
4.5 Statistical Analysis of Monte Carlo Data

4.5.1 Initial Non-Equilibrium Period and Ageing
When introducing the importance sampling technique in Sect. 4.3.1 it was already
indicated in (4.22) that within Markov chain Monte Carlo simulations, the expec-
tation value O of some quantity O, for instance the energy, can be estimated as
arithmetic mean
N
eq 1
O = O({σi })P ({σi }) ≈ O = Oj , (4.50)
N j=1
{σi }
where Oj = O({σi }j ) is the measured value for the j th configuration and N is

the number of measurement sweeps. Also a warning was given that this is only
valid after a sufficiently long equilibration period without measurements, which is
needed by the system to approach equilibrium after starting the Markov chain in an
arbitrary initial configuration.
This initial equilibration or thermalization period, in general, is a non-trivial
non-equilibrium process which is of interest in its own right and no simple gen-
eral recipe determining how long one should wait before starting measurements
can be given. Long suspected to be a consequence of the slow dynamics of glassy
systems only, the phenomenon of ageing for example has also been found in the
phase-ordering kinetics of simple ferromagnets such as the Ising model. To study
this effect numerically, one only needs the methods introduced so far since most
theoretical concepts assume a local spin-flip dynamics as realized by one of the
three local update algorithms discussed above. Similarly to the concept of univer-
sality classes in equilibrium, all three algorithms should yield qualitatively similar
results, being representatives of what is commonly referred to as dynamical Glauber
universality class.
Let us assume that we pick as the initial configuration of the Markov chain
a completely disordered state. If the simulation is run at a temperature T > Tc ,
equilibration will, in fact, be fast and nothing spectacular happens. If, however, we
choose instead to perform the simulation right at Tc or at a temperature T < Tc , the
situation is quite different. In the latter two cases one speaks of a quench, since now
the starting configuration is in a statistical sense far away from a typical equilib-
rium configuration at temperature T . This is easiest to understand for temperatures
T < Tc , where the typical equilibrium state consists of homogeneously ordered con-
figurations. After the quench, local regions of parallel spins start forming domains or
clusters, and the non-equilibrium dynamics of the system is governed by the move-
ment of the domain walls. In order to minimize their surface energy, the domains
grow and straighten their surface. A typical time evolution for the 2D Ising model is
illustrated in Fig. 4.5, showing spin configurations after a quench to T < Tc , starting
from an initially completely disordered state.
This leads to a growth law for the typical correlation length scale of the form
ξ ∼ t1/z , where t is the time (measured in units of sweeps) elapsed since the quench
100 W. Janke
Fig. 4.5. Phase-ordering with progressing Monte Carlo time (from left to right) of an initially
disordered spin configuration for the 2D Ising model at T = 1.5 ≈ 0.66 Tc [93]
and z is the dynamical critical exponent already introduced in Sect. 4.3.2. In the case
of a simple ferromagnet like the Ising- or q-state Potts model with a non-conserved
scalar order parameter, below Tc the dynamical exponent can be found exactly as
z = 2 [94], according to diffusion or random-walk arguments. Right at the transition
temperature, critical dynamics (for a recent review, see [95]) plays the central role
and the dynamical exponent of, e.g., the 2D Ising model takes the somewhat larger
non-trivial value z ≈ 2.17 [78, 79] cf. Table 4.2. To equilibrate the whole system, ξ
must approach the system size L, so that the typical relaxation time for equilibration
scales as
τrelax ∼ Lz . (4.51)
Note that this implies in the infinite-volume limit L → ∞ that true equilibrium can
never be reached.
Since 1/z < 1, the relaxation process after the quench happens on a growing
time scale. This can be revealed most clearly by measurements of two-time quan-
tities f (t, s) with t > s, which no longer transform time-translation invariantly as
they would do for small perturbations in equilibrium, where f would be a function
of the time difference t − s only. Instead, in phase-ordering kinetics, two-time quan-
tities depend non-trivially on the ratio t/s of the two times. The dependence of the
relaxation on the so-called waiting time s is the notional origin of ageing: Older
samples respond more slowly.
For the most commonly considered two-time quantities, dynamical scaling
forms can be theoretically predicted (for recent reviews see, e.g., [96, 97]). Well
studied are the two-time autocorrelation function (here in q-state Potts model
notation)
1 V
2
1 q ) *
C(t, s) = δσi (t),σi (s) av − 1 = s−b fC (t/s) , (4.52)
q − 1 V i=1
with the asymptotic behavior fC (x) → x−λC /z (x ≫ 1), and the two-time response
function "
δ [σi (t)]av ""
R(t, s) = = s−1−a fR (t/s) , (4.53)
δhi (s) " h=0
−λR /z
where fR (x) → x (x ≫ 1). Here h(s) is the amplitude of a small spa-
tially random external field which is switched off after the waiting time s and [. . .]av
denotes an average over different random initial configurations (and random fields
in (4.53)). In phase-ordering kinetics after a quench to T < Tc , in general b = 0 (and
z = 2) [94], but all other exponents depend on the dimensionality of the considered
system. In the simplest case of the Ising model in two dimensions, it is commonly
accepted that λC = λR = 5/4. The value of the remaining exponent a, however, is
more controversial [98, 99], with strong claims for a = 1/z = 1/2 [96, 100], but
also a = 1/4 [101, 102] has been conjectured. In computer simulation studies the
two-time response function is rather difficult to handle and it is more convenient to
consider the integrated response or thermoremanent magnetization (TRM) [103],
s
T
ρ(t, s) = T duR(t, u) = MTRM (t, s) . (4.54)
h
0
By extending dynamical scaling to local scale invariance (LSI) in analogy to

conformal invariance [104], even explicit expressions of the scaling functions fC (x)
and fR (x) have been predicted [105] (for a recent review, see [106]). For the 2D
and 3D Ising model, extensive numerical tests of the LSI predictions have been
performed by Henkel, Pleimling and collaborators [107, 108, 109], showing a very
good agreement with the almost parameter-free analytical expressions. Recently this
could be confirmed also for more general q-state Potts models with q = 3 and q = 8
in two dimensions [93, 110].
If one is primarily interested in equilibrium properties of the considered statis-
tical system, there is, of course, no need to study the initial equilibration period
in such a great detail. It is, however, advisable to watch the time evolution of the
system and to make sure that no apparent trends are still visible when starting the
measurements. If estimates of the autocorrelation or relaxation time are available, a
good a priori estimate is to wait at least about 20 τO,exp. Finally, as a (not further
justified) rule of thumb, most practicers of Monte Carlo simulations spend at least
about 10% of the total computing time on the equilibration or thermalization period.
4.5.2 Statistical Errors and Autocorrelation Times
4.5.2.1 Estimators
As already indicated in (4.50), conceptually it is important to distinguish between

the expectation value O and the mean value O, which is an estimator for the
former. While O is an ordinary number and represents the exact result (which is
usually unknown, of course), the estimator O is still a random number which for
finite N fluctuates around the theoretically expected value. Of course, from a single
Monte Carlo simulation with N measurements, we obtain only a single number for
O at the end of the day. To estimate the statistical uncertainty due to the fluctuations,
i.e., the statistical error bar, it seems at first sight that one would have to repeat
the whole simulation many times. Fortunately, this is not necessary since one can
estimate the variance of O,
102 W. Janke
2 2
σO = [O − O]2 = O − O2 , (4.55)
from the statistical properties of individual measurements Oi , i = 1, . . . , N , in a

single Monte Carlo run.
4.5.2.2 Uncorrelated Measurements and Central-Limit Theorem
Inserting (4.50) into (4.55) gives

N N
2 2 1 1
σO = O − O2 = O O
i j − Oi Oj , (4.56)
N 2 i,j=1 N 2 i,j=1
and by collecting diagonal and off-diagonal terms one arrives at [111]

N N
2 1 2 2
1
σO = Oi − Oi + (Oi Oj − Oi Oj ) . (4.57)
N 2 i=1 N2
i=j
2
Assuming equilibrium, the individual variances σO i
= Oi2 − Oi 2 do not de-
2
pend on “time” i, such that the first term gives σOi /N . The second term with
Oi Oj − Oi Oj = (Oi − Oi )(Oj − Oj ) records the correlations be-
tween measurements at times i and j. For completely uncorrelated data (which is,
of course, an unrealistic assumption for importance sampling Monte Carlo simula-
tions), the second term would vanish and (4.57) simplifies to
2
ǫ2O ≡ σO 2
= σO i
/N . (4.58)
This result is true for any distribution P(Oi ). In particular, for the energy or mag-
netization, distributions of the individual measurements are often plotted as phys-
ically directly relevant (N independent) histograms (see, e.g., Fig. 4.8(b) below)
2
whose squared width (= σO i
) is proportional to the specific heat or susceptibility,
respectively.
Whatever form the distribution P(Oi ) assumes (which, in fact, is often close to
Gaussian because the Oi are usually already lattice averages over many degrees of
freedom), by the central limit theorem the distribution of the mean value is Gaussian,
at least for uncorrelated data in the asymptotic limit of large N . The variance of
2
the mean, σO , is the squared width of this (N dependent) distribution which is
2 2
usually taken as the one-sigma squared error, ǫO ≡ σO , and quoted together with
the mean value O. Under the assumption of a Gaussian distribution for the mean,
the interpretation is that about 68% of all simulations under the same conditions
would yield a mean value in the range [O − σO , O + σO ] [113]. For a two-sigma
interval which also is sometimes used, this percentage goes up to about 95.4%, and
for a three-sigma interval which is rarely quoted, the confidence level is higher than
99.7%.
4.5.2.3 Correlated Measurements and Autocorrelation Times
For correlated data the second term in (4.57) does not vanish and things become
more involved
N N115, 116]. Using the symmetry i ↔ j to reduce the summation
N[114,
i=j to 2 i=1 j=i+1 , reordering the summation, and using time-translation in-
variance in equilibrium, one finally obtains [111]

1 N
k
2 2
σO = σOi + 2 O1 O1+k − O1 O1+k 1− , (4.59)
N N
k=1
where, due to the last factor (1 − k/N ), the k = N term may be trivially kept in the
2
summation. Factoring out σO i
, this can be written as
2
σO
ǫ2O ≡ σO
2
= i ′
2τO,int , (4.60)
N
where we have introduced the (proper) integrated autocorrelation time
N
′ 1 k
τO,int = + A(k) 1 − , (4.61)
2 N
k=1
with
O1 O1+k − O1 O1+k k→∞
A(k) ≡ 2 −−−→ ae−k/τO,exp
− (4.62)
σO i
being the normalized autocorrelation function (A(0) = 1) already introduced in

(4.32). Since in any meaningful simulation study N ≫ τO,exp , A(k) in (4.61) is
already exponentially small before the correction term in parentheses becomes im-
portant. For simplicity this correction is hence usually omitted (as is the prime of
′
τO,int in (4.61)) and one employs the following definition for the integrated autocor-
relation time
N
1
τO,int = + A(k) . (4.63)
2
k=1
The notion “integrated” derives from the fact that this may be interpreted as a trape-
&N
zoidal discretization of the (approximate) integral τO,int ≈ 0 dkA(k). Notice that,
′
in general, τO,int (and also τO,int ) is different from τO,exp . In fact, one can show [117]
that τO,int ≤ τO,exp in realistic models. Only if A(k) is a pure exponential, the two
autocorrelation times, τO,int and τO,exp , coincide (up to minor corrections for small
τO,int [58, 111]).
As far as the accuracy of Monte Carlo data is concerned, the important point
of (4.60) is that due3 to temporal correlations of the measurements the statistical
error ǫO ≡ O ⇒ σO 2 on the Monte Carlo estimator O is enhanced by a factor

of 2τO,int . This can be rephrased by writing the statistical error similar to the
3
uncorrelated case as ǫO = σO 2 /N , but now with a parameter
j eff
104 W. Janke
Neff = N/2τO,int ≤ N , (4.64)
describing the effective statistics. This shows more clearly that only every 2τO,int
iterations the measurements are approximately uncorrelated and gives a better idea
of the relevant effective size of the statistical sample. In view of the scaling behavior
of the autocorrelation time in (4.34), (4.35) or (4.37), it is obvious that without extra
care this effective sample size may become very small close to a continuous or first-
order phase transition, respectively.
4.5.2.4 Bias
A too small effective sample size does not only affect the error bars, but for some
quantities even the mean values can be severely underestimated. This happens for
so-called biased estimators, as is for instance the case for the specific
heat and
susceptibility. The specific heat can be computed as C = β 2 V e2 − e2 =
β 2 V σe2i , with the standard estimator for the variance
N
1 2
e2i = e2 − e2 = (e − e)2 =
σ (ei − e) . (4.65)
N i=1
Subtracting and adding e2 , one finds for the expectation value

σe2i = e2 − e2 = e2 − e2 − e2 − e2 = σe2i + σe2 .
(4.66)
Using (4.60) this gives

2τe,int 1
σe2i
= σe2i 1− 2
= σei 1 − = σe2i . (4.67)
N Neff
The estimator σ e2i in (4.65) thus systematically underestimates the true value by a
term of the order of τe,int /N . Such
√ an estimator is called weakly biased (weakly be-
cause the statistical error ∝ 1/ N is asymptotically larger than the systematic bias;
for medium or small N , however, also prefactors need to be carefully considered).
We thus see that for large autocorrelation times or equivalently small effective
statistics Neff , the bias may be quite large. Since τe,int scales quite strongly with
the system size for local update algorithms, some care is necessary when choosing
the run time N . Otherwise the FSS of the specific heat or susceptibility and thus the
determination of the static critical exponent α/ν or γ/ν could be completely spoiled
by the temporal correlations [118]! Any serious simulation study should therefore
provide at least a rough order-of-magnitude estimate of autocorrelation times.
4.5.3 Numerical Estimation of Autocorrelation Times
The above considerations show that not only for the error estimation but also for
the computation of static quantities themselves, it is important to have control over
autocorrelations. Unfortunately, it is very difficult to give reliable a priori estimates,

and an accurate numerical analysis is often too time consuming. As a rough estimate
it is about ten times harder to get precise information on dynamic quantities than on
static quantities like critical exponents. A (weakly biased) estimator A(k) for the
autocorrelation function is obtained as usual by replacing in (4.32) the expectation
values (ordinary numbers) by mean values (random variables), e.g., Oi Oi+k by
diverges rapidly.
Oi Oi+k . With increasing separation k the relative variance of A(k)
To get at least an idea of the order of magnitude of τO,int and thus the correct error
estimate (4.60), it is useful to record the running autocorrelation time estimator
k
1 max

τO,int (kmax ) = + A(k) , (4.68)
2
k=1
which approaches τO,int in the limit of large kmax where, however, its statistical error
increases rapidly. As an example, Fig. 4.6(a) shows results for the 2D Ising model
from an analysis of the same raw data as in Fig. 4.2.
As a compromise between systematic and statistical errors, an often employed
procedure is to determine the upper limit kmax self-consistently by cutting off the
summation once kmax ≥ 6 τO,int (kmax ), where A(k) ≈ e−6 ≈ 10−3 . In this case an
a priori error estimate is available [116, 119, 120]
4 4
2(2kmax + 1) 12
ǫτO,int = τO,int ≈ τO,int . (4.69)
N Neff
For a 5% relative accuracy one thus needs at least Neff ≈ 5 000 or N ≈ 10 000 τO,int
measurements. For an order of magnitude estimate consider the 2D Ising model
on a square lattice with L = 100 simulated with a local update algorithm. Close
to criticality, the integrated autocorrelation time for this example is of the order
of Lz ≈ L2 ≈ 1002 (ignoring an priori unknown prefactor of order unity which
Fig. 4.6. (a) Integrated autocorrelation time approaching τe,int ≈ 5.93 for large upper cutoff
kmax and (b) binning analysis for the energy of the 2D Ising model on a 16×16 lattice at βc ,
using the same data as in Fig. 4.2. The horizontal line in (b) shows 2τe,int with τe,int read off
from (a)
106 W. Janke
depends on the considered quantity), implying N ≈ 108 . Since in each sweep L2

spins have to be updated and assuming that each spin update takes about 0.1 μsec,
we end up with a total time estimate of about 105 s ≈ 1 CPU-day to achieve this
accuracy.
An alternative is to approximate the tail end of A(k) by a single exponential as
in (4.33). Summing up the small k part exactly, one finds [121]
τO,int (kmax ) = τO,int − c e−kmax /τO,exp , (4.70)
where c is a constant. The latter expression may be used for a numerical estimate of
both the exponential and integrated autocorrelation times [121].
4.5.4 Binning Analysis
It should be clear by now that ignoring autocorrelation effects can lead to severe
underestimates of statistical errors. Applying the full machinery of autocorrelation
analysis discussed above, however, is often too cumbersome. On a day by day basis
the following binning analysis is much more convenient (though somewhat less ac-
curate). By grouping the N original time-series data into NB non-overlapping bins
or blocks of length k (such that6 N = NB k), one forms a new, shorter time series
of block averages
k
(B) 1
Oj ≡ O(j−1)k+i (4.71)
k i=1
with j = 1, . . . , NB , which by choosing the block length k ≫ τ are almost uncor-
related and can thus be analyzed by standard means. The mean value over all block
averages obviously satisfies O(B) = O and their variance can be computed accord-
ing to the standard (unbiased) estimator, leading to the squared statistical error of
the mean value
B N
2 2 2 1 (B)
ǫO ≡ σO = σB /NB = (O − O(B) )2 . (4.72)
NB (NB − 1) j=1 j
2 2
By comparing with (4.60) we see that σB /NB = 2τO,int σO i
/N . Recalling the defi-
nition of the block length k = N/NB , this shows that one may also use
2 2
2τO,int = kσB /σO i
(4.73)
for the estimation of τO,int . This is demonstrated in Fig. 4.6(b). Estimates of τO,int
obtained in this way are often referred to as blocking τ or binning τ .
A simple toy model (bivariate time series), where the behavior of the blocking
τ and also of τO,int (kmax ) for finite k resp. kmax can be worked out exactly, is dis-
cussed in [58]. These analytic formulas are very useful for validating the computer
implementations.
6
Here we assume that N was chosen cleverly. Otherwise one has to discard some of the
data and redefine N .
4.5.5 Jackknife Analysis
Even if the data are completely uncorrelated in time, one still has to handle the
problem of error estimation for quantities that are not directly measured in the sim-
ulation but are computed as a non-linear combination of basic observables. This
problem can either be solved by error propagation or by using the Jackknife method
[122, 123], where instead of considering rather small blocks of length k and their
(J)
fluctuations as in the binning method, one forms NB large Jackknife blocks Oj
th
containing all data but the j block of the previous binning method,
(B)
(J) N O − kOj
Oj = (4.74)
N −k
with j = 1, . . . , NB , cf. the schematic sketch in Fig. 4.7.
Each of the Jackknife blocks thus consists of N − k data, i.e., it contains almost
as many data as the original time series. When non-linear combinations of basic
variables are estimated, the bias is hence comparable to that of the total data set
(typically 1/(N − k) compared to 1/N ). The NB Jackknife blocks are, of course,
trivially correlated because one and the same original data enter in NB − 1 different
Jackknife blocks. This trivial correlation caused by re-using the original data over
and over again has nothing to do with temporal correlations. As a consequence,
the Jacknife block variance σJ2 will be much smaller than the variance estimated in
the binning method. Because of the trivial nature of the correlations, however, this
reduction can be corrected by multiplying σJ2 with a factor (NB − 1)2 , leading to
N
NB − 1 B
(J)
2
ǫ2O ≡ σO = (O − O(J) )2 . (4.75)
NB j=1 j
To summarize this section, any realization of a Markov chain Monte Carlo up-
date algorithm is characterized by autocorrelation times which enter directly into the
statistical errors of Monte Carlo estimates. Since temporal correlations always in-
crease the statistical errors, it is thus a very important issue to develop Monte Carlo
O
(J)
1 O1
(J)
2 O2
(J)
3 O3
(J)
NB ONB
Fig. 4.7. Schematic sketch of the organization of Jackknife blocks. The grey part of the
N data points is used for calculating the total and the Jackknife block averages. The white
blocks enter into the more conventional binning analysis using non-overlapping blocks
108 W. Janke
update algorithms that keep autocorrelation times as small as possible. This is the
reason why cluster and other non-local algorithms are so important.
4.6 Reweighting Techniques
The physics underlying reweighting techniques [124, 125] is extremely simple and
the basic idea has been known since long (see the list of references in [125]), but
their power in practice has been realized only relatively late in 1988. The impor-
tant observation by Ferrenberg and Swendsen [124, 125] was that the best perfor-
mance is achieved near criticality where histograms are usually broad. In this sense
reweighting techniques are complementary to improved estimators, which usually
perform best off criticality.
4.6.1 Single-Histogram Technique
The single-histogram reweighting technique [124] is based on the following very

simple observation. If we denote the number of states (spin configurations) that
have the same energy E by Ω(E), the partition function at the simulation point
β0 = 1/kB T0 can always be written as7

Z(β0 ) = e−β0 H({s}) = Ω(E)e−β0 E ∝ Pβ0 (E) , (4.76)
{s} E E
where we have introduced the unnormalized energy histogram (density)
Pβ0 (E) ∝ Ω(E)e−β0 E . (4.77)
If we would normalize Pβ0 (E) to unit area, the r.h.s. would have to be divided by

E Pβ0 (E) = Z(β0 ), but the normalization will be unimportant in what follows.
Let us assume we have performed a Monte Carlo simulation at inverse temperature
β0 and thus know Pβ0 (E). It is then easy to see that
Pβ (E) ∝ Ω(E)e−βE = Ω(E)e−β0 E e−(β−β0 )E ∝ Pβ0 (E)e−(β−β0 )E , (4.78)
i.e., the histogram at any point β can be derived, in principle, by reweighting the
simulated histogram at β0 with the exponential factor exp[−(β − β0 )E]. Notice that
in reweighted expectation values

f (E)Pβ (E)
f (E)(β) = E , (4.79)
E Pβ (E)
the normalization of Pβ (E) indeed cancels. This gives, for instance, the energy
e(β) = E(β)/V and the specific heat C(β) = β 2 V [e2 (β) − e(β)2 ], in
principle, as a continuous function of β from a single Monte Carlo simulation at β0 ,

where V = LD is the system size.
As an example of this reweighting procedure, using actual Swendsen-Wang
cluster simulation data (with 5 000 sweeps for equilibration√ and 50 000 sweeps for
measurements) of the 2D Ising model at β0 = βc = ln(1 + 2)/2 = 0.440 686 . . .
on a 16×16 lattice with periodic boundary conditions, the specific heat C(β) is
shown in Fig. 4.8(a) and compared with the curve obtained from the exact Kauf-
man solution [12, 13] for finite Lx × Ly lattices. This clearly demonstrates that, in
practice, the β-range over which reweighting can be trusted is limited. The reason
for this limitation are unavoidable statistical errors in the numerical determination
of Pβ0 using a Monte Carlo simulation. In the tails of the histograms the relative
statistical errors are largest, and the tails are exactly the regions that contribute most
when multiplying Pβ0 (E) with the exponential reweighting factor to obtain Pβ (E)
for β-values far off the simulation point β0 . This is illustrated in Fig. 4.8(b) where
the simulated histogram at β0 = βc is shown together with the reweighted his-
tograms at β = 0.375 ≈ β0 − 0.065 and β = 0.475 ≈ β0 + 0.035, respectively.
For the 2D Ising model the quality of the reweighted histograms can be judged by
comparing with the curves obtained from Beale’s [112] exact expression for Ω(E).
4.6.1.1 Reweighting Range
As a rule of thumb, the range over which reweighting should produce accurate
results can be estimated by requiring that the peak location of the reweighted his-
2 β = 0.375 β = 0.475
2D Ising
2
16 10
specific heat
β0 = βc
counts
(b)
(a)
0
0 0.5 1.0 1.5 2.0
0.3 0.4 0.5 0.6
β −E/V
Fig. 4.8. (a) The specific heat of the 2D Ising model on a 16×16 square lattice computed
by reweighting from a single Monte Carlo simulation at β0 = βc , marked by the filled data
symbol. The continuous line shows for comparison the exact solution of Kaufman [12, 13].
(b) The corresponding energy histogram at β0 , and reweighted to β = 0.375 and β = 0.475.
The dashed lines show for comparison the exact histograms obtained from Beale’s expression
[112]
7
For simplicity we consider here only models with discrete energies. If the energy varies
continuously, sums have to be replaced by integrals, etc. Also lattice size dependences are
suppressed to keep the notation short.
110 W. Janke
togram should not exceed the energy value at which the input histogram had de-
creased to about one half or one third of its maximum value. In most applications
this range is wide enough to locate from a single simulation, e.g., the specific-heat
maximum by employing a standard maximization subroutine to the continuous func-
tion C(β). This is by far more convenient, accurate and faster than the traditional
way of performing many simulations close to the peak of C(β) and trying to deter-
mine the maximum by spline or least-squares fits.
For an analytical estimate of the reweighting range we now require that the peak
of the reweighted histogram is within the width e(T0 ) ± ∆e(T0 ) of the input
histogram (where a Gaussian histogram would have decreased to exp(−1/2) ≈
0.61 of its the maximum value)
|e(T ) − e(T0 )| ≤ ∆e(T0 ) , (4.80)
where we have made use of the fact that for a not too asymmetric histogram Pβ0 (E)
the maximum location approximately coincides with e(T0 ). Recalling that the half
width ∆e of a histogram is related to the specific heat via (∆e)2 ≡ (e − e)2 =
e2 − e2 = C(β0 )/β02 V and using the Taylor expansion e(T ) = e(T0 ) +
C(T0 )(T − T0 ) + . . ., this can be written as C(T0 )|T − T0 | ≤ T0 C(T0 )/V or
|T − T0 | 1
≤ . (4.81)
T0 V C(T0 )
Since C(T0 ) is known from the input histogram this is quite a general estimate of the
reweighting range. For the example in Fig. 4.8 with V =16×16, β0 = βc ≈ 0.44
and C(T0 ) ≈ 1.5, this estimate yields |β − β0 |/β0 ≈ |T − T0 |/T0 ≤ 0.04, i.e.,
|β − β0 | ≤ 0.02 or 0.42 ≤ β ≤ 0.46. By comparison with the exact solution we see
that this is indeed a fairly conservative estimate of the reliable reweighting range.
If we only want to know the scaling behavior with system size V = LD , we can
go one step further by considering three generic cases:
(i) Off-criticality, where C(T0 ) ≈ const, such that
|T − T0 |
∝ V −1/2 = L−D/2 . (4.82)
T0
(ii) Criticality, where C(T0 ) ≃ a1 + a2 Lα/ν , with a1 and a2 being constants, and
α and ν denoting the standard critical exponents of the specific heat and cor-
relation length, respectively. For α > 0, the leading scaling behavior becomes
|T − T0 |/T0 ∝ L−D/2 L−α/2ν . Assuming hyperscaling (α = 2 − Dν) to be
valid, this simplifies to
|T − T0 |
∝ L−1/ν , (4.83)
T0
i.e., the typical scaling behavior of pseudo-transition temperatures in the finite-
size scaling regime of a second-order phase transition [126]. For α < 0, C(T0 )
approaches asymptotically a constant and the leading scaling behavior of the
reweighting range is as in the off-critical case.
(iii) First-order transitions, where C(T0 ) ∝ V . This yields
|T − T0 |
∝ V −1 = L−D , (4.84)
T0
which is again the typical finite-size scaling behavior of pseudo-transition tem-
peratures close to a first-order phase transition [47].
4.6.1.2 Reweighting of Non-Conjugate Observables
If we also want to reweight other quantities such as the magnetization m we

have to go one step further. The conceptually simplest way would be to store two-
dimensional histograms Pβ0 (E, M ) where M = V m is the total magnetization. We
could then proceed in close analogy to the preceding case, and even reweighting to
non-zero magnetic
field h would be possible, which enters via the Boltzmann fac-
tor exp(βh i si ) = exp(βhM ). However, the storage requirements may be quite
high (of the order of V 2 ), and it is often preferable to proceed in the following way.
For any function g(M ), e.g., g(M ) = M k , we can write

g(M ) = g(M ({s}))e−β0 H /Z(β0 )
{s}

= Ω(E, M )g(M )e−β0 E /Z(β0 )
E,M
Ω(E, M )g(M )
= M
Ω(E, M )e−β0 E /Z(β0 ) . (4.85)
M Ω(E, M )
E M

Recalling that M Ω(E, M )e−β0 E /Z(β0 ) = Ω(E)e−β0 E /Z(β0 ) = Pβ0 (E) and
defining the microcanonical expectation value of g(M ) at fixed energy E (some-
times denoted as a list)

Ω(E, M )g(M )
g(M )(E) ≡ M , (4.86)
M Ω(E, M )
we arrive at
g(M ) = g(M )(E)Pβ0 (E) . (4.87)
E
Identifying g(M )(E) with f (E) in (4.79), the actual reweighting procedure is
precisely as before. An example for computing |M |(E) and M 2 (E) using
the data of Fig. 4.8 is shown in Fig. 4.9. Mixed quantities, e.g. E k M l , can be
treated similarly. One caveat of this method is that one has to decide beforehand
which lists g(M )(E) one wants to store during the simulation, e.g., which pow-
ers k in M k (E) are relevant.
An alternative and more flexible method is based on time series. Suppose we
have performed a Monte Carlo simulation at β0 and stored the time series of N
112 W. Janke
1.0 1.0
β = 0.375 β = 0.375
0.8 β = βc 0.8 β = βc
β = 0.475 β = 0.475
<<m2>>(E)
<<|m|>>(E)
0.6 0.6
0.4 0.4
0.2 0.2
(a) (b)
0.0 0.0
0.5 1.0 1.5 2.0 0.5 1.0 1.5 2.0
−E/V −E/V
Fig. 4.9. Microcanonical expectation values for (a) the absolute magnetization and (b) the
magnetization squared obtained from the 2D Ising model simulations shown in Fig. 4.8
measurements E1 , E2 , . . . , EN and M1 , M2 , . . . , MN . Then the most general ex-

pectation values at another inverse temperature β can simply be obtained from
N
f (Ei , Mi )e−(β−β0 )Ei
f (E, M ) = i=1N , (4.88)
−(β−β0 )Ei
i=1 e
i.e., in particular all moments E k M l can be computed. Notice that this can also
be written as
f (E, M )e−(β−β0 )E 0
f (E, M ) = , (4.89)
e−(β−β0 )E 0
where the subscript zero refers to expectation values taken at β0 . Another very im-
portant advantage of the last formulation is that it works without any systematic
discretization error also for continuously distributed energies and magnetizations.
As nowadays hard-disk space is no real limitation anymore, it is advisable to
store time series in any case. This guarantees the greatest flexibility in the data anal-
ysis. As far as the memory requirement of the actual reweighting code is concerned,
however, the method of choice is sometimes not so clear. Using directly histograms
and lists, one typically has to store about (6−8) V data, while working directly with
the time series one needs 2N computer words. The cheaper solution (also in terms
of CPU time) thus obviously depends on both, the system size V and the run length
N . It is hence sometimes faster to generate from the time series first histograms and
the required lists and then proceed with reweighting the latter quantities.
4.6.2 Multi-Histogram Technique
The basic idea of the multi-histogram technique [127] can be summarized as

follows:
(i) Perform m Monte Carlo simulations at β1 , β2 , . . . , βm with Ni , i = 1, . . . , m,
measurements.
(ii) Reweight all runs to a common reference point β0 .

(iii) Combine at β0 all information by computing error weighted averages.
(iv) Reweight the combined histogram to any other β.
Here we shall assume that the histograms Pβi (E) are naturally normalized
E Pβi (E) = Ni , such that
the statistical errors for each of the histograms Pβi (E)
are approximately given by Pβi (E). By choosing as reference point β0 = 0 and
working out the error weighted combined histogram one ends up with
m
Pβi (E)
Ω(E) = m i=1 −1 −βi E
, (4.90)
i=1 i i e
N Z
where the unknown partition function values Zi ≡ Z(βi ) are determined self-
consistently from
m
−βi E −βi E Pβk (E)
Zi = Ω(E)e = e m k=1 −1 −βk E
, (4.91)
E E k=1 Nk Zk e
up to an unimportant overall constant. A good starting point for the recursion is

to fix, say, Z1 = 1 and use single histogram reweighting to get an estimate of
Z2 /Z1 = exp[−(F2 − F1 )], where Fi = βi F (βi ). Once Z2 is determined, the
same procedure can be applied to estimate Z3 and so on. In the limit of infinite
statistics, this would already yield the solution of (4.91). In realistic simulations
the statistics is of course limited and the (very few) remaining recursions average
this uncertainty to get a self-consistent set of Zi . In order to work in practice, the
histograms at neighboring β-values must have sufficient overlap, i.e., the spacings
of the simulation points must be chosen according to the estimates (4.82)–(4.84).
Multiple-histogram reweighting has been widely applied in many different ap-
plications. Some problems of this method are that autocorrelations cannot properly
be taken into account when computing the error weighted average (which is still cor-
rect but no longer optimized), the procedure for computing mixed quantities such
as E k M l is difficult to justify (even though it does work as an ad hoc prescription
quite well), and the statistical error analysis becomes quite cumbersome.
As an alternative one may compute by reweighting from each of the m simula-
tions all quantities of interest as a function of β, including their statistical error bars
which now also should take care of autocorrelations as discussed in Sect. 4.5.2.3.
In this way one obtains, at each β-value, m estimates, e.g. e1 (β) ± ∆e1 , e2 (β) ±
∆e2 , . . . , em (β) ± ∆em , which may be optimally combined according to their error
bars to give e(β) ± ∆e. If the relative error ∆e/e(β) is minimized, this leads to [87]
1 2
e1 (β) e2 (β) em (β) 2
e(β) = 2 + 2 + ... + 2 (∆e) , (4.92)
(∆e1 ) (∆e2 ) (∆em )
with
1 1 1 1
2 = 2 + 2 + ... + 2 . (4.93)
(∆e) (∆e1 ) (∆e2 ) (∆em )
Notice that in this way the average for each quantity can be individually optimized.
114 W. Janke
4.7 Finite-Size Scaling Analysis

Equipped with the various technical tools discussed above, the purpose of this sec-
tion is to outline a typical FSS analysis of Monte Carlo simulations of second-order
phase transitions. The described procedure is generally applicable but to keep the
notation short, all formulas are formulated for Ising like systems. For instance for
O(n) symmetric models, m should be replaced by m etc. The main results of such
studies are usually estimates of the critical temperature and the critical exponents
characterizing the universality class of the transition.
4.7.1 General Framework

To facilitate most flexibility in the analysis, it is advisable to store during data pro-
duction the time series of measurements. Standard quantities are the energy and
magnetization, but depending on the model at hand it may be useful to record also
other observables. In this way the full dynamical information can be extracted still
after the actual simulation runs and error estimation can be easily performed. For
example it is no problem to experiment with the size and number of Jackknife bins.
Since a reasonable choice depends on the a priori unknown autocorrelation time,
it is quite cumbersome to do a reliable error analysis on the flight during the sim-
ulation. Furthermore, basing data reweighting on time-series data is more efficient
since histograms, if needed or more convenient, can still be produced from this data
but working in the reverse direction is obviously impossible.
For some models it is sufficient to perform for each lattice size a single long
run at some coupling β0 close to the critical point βc . This is, however, not always
the case and also depends on the observables of interest. In this more general case,
one may use several simulation points βi and combine the results by the multi-
histogram reweighting method or may apply a very recently developed finite-size
adapted generalized ensemble method [128]. In both situations, one can compute
from the time series of the energies e = E/V (if E happens to be integer valued, this
should be stored of course) by reweighting
the internal energy e(β), the specific
heat C(β) = β 2 V e2 − e2 , and for instance also the energetic fourth-order
parameter
e4
V (β) = 1 − (4.94)
3e2 2
as a function of temperature. Similarly, from measurements of the magnetiza-
tion m = M/V one can derive the temperature variation of the mean mag-
netization8 m(β) = |m|, the susceptibility χ(β) = β V m2 − |m|2 (or
χ′ (β) = βV m2 for β ≤ βc ), the magnetic cumulants (Binder parameters)
8
Notice that here and in the following formulas, |m| is used instead of m as would
follow from the formal definition (4.5) of the zero-field magnetization m(β) =
1/(V β) limh→0 ∂ ln Z(β, h)/∂h. The reason is that for a symmetric model on finite lat-
tices one obtains
m(β) = 0 for all temperatures due to symmetry. Only in the proper
infinite-volume limit, that is limh→0 limV →∞ , spontaneous symmetry breaking can occur
below Tc . In a simulation on finite lattices, this is reflected by a symmetric double-peak
m2
U2 (β) = 1 − ,
3|m|2
m4
U4 (β) = 1 − , (4.95)
3m2 2
and their slopes

2
dU2 (β) V 2 m |m|e 2
= m e − 2 + m e
dβ 3|m|2 |m|

|m|e m2 e
= V (1 − U2 ) e − 2 + ,
|m| m2

dU4 (β) m2 e m4 e
= V (1 − U4 ) e − 2 + . (4.96)
dβ m2 m4
Further quantities with a useful FSS behavior are the derivatives of the magnetiza-
tion,
d|m|
= V (|m|e − |m|e) ,
dβ

d ln|m| |m|e
=V − e ,
dβ |m|
2
d lnm2 m e
=V − e . (4.97)
dβ m2
These latter five quantities are good examples for expectation values containing
both, powers of e and m.
In the infinite-volume limit most of these quantities exhibit singularities at the
transition point. As already discussed in Sect. 4.2, in finite systems the singularities
are smeared out and the standard observables scale in the critical region according to
C = Creg + Lα/ν fC (x)[1 + . . .] , (4.98)

−β/ν
|m| = L fm (x)[1 + . . .] , (4.99)
γ/ν
χ = L fχ (x)[1 + . . .] , (4.100)
where Creg is a regular background term, α, ν, β (in the exponent of L) and γ are
the usual critical exponents, and fi (x) are FSS functions with
structure of the magnetization distribution (provided the runs are long enough). By aver-
aging m one thus gets zero by symmetry, while the peak locations ±m0 (L) are close to
the spontaneous magnetization and the average of |m| is a good estimator. Things become
more involved for slightly asymmetric models, where this recipe would produce a sys-
tematic error and thus cannot be employed. For strongly asymmetric models, on the other
hand, one peak clearly dominates and the average of m can usually be measured without
too many problems.
116 W. Janke
x = (β − βc )L1/ν (4.101)
being the scaling variable (do not confuse the unfortunate double-meaning of β –
here β = 1/kB T ). The brackets [1+. . .] indicate corrections-to-scaling terms which
become unimportant for sufficiently large system sizes L.
A particular role play the magnetic cumulants or Binder parameters U2 and U4
which scale according to
U2p = fU2p (x)[1 + . . .] , (4.102)
i.e., for constant scaling variable x, they take approximately the same value for
∗
all lattice sizes, in particular U2p ≡ fU2p (0) at βc . Their curves as function of
∗
temperature for different L hence cross around (βc , U2p ) (with slopes ∝ L1/ν ), apart
from corrections-to-scaling collected in [1 + . . .] which explain small systematic
deviations. From a determination of this crossing point, one thus obtains a basically
∗
unbiased estimate of βc , the critical exponent ν, and U2p . Note that in contrast to the
∗
truly universal critical exponents, U2p is only weakly universal. By this one means
that the infinite-volume limit of such quantities does depend in particular on the
boundary conditions and geometrical shape of the considered lattice, e.g., on the
aspect ratio r = Ly /Lx [129, 130, 131, 132, 133, 134, 135, 136].
Differentiating U2p with respect to β, one picks up an extra power of L from the
scaling function, dU2p /dβ = (dx/dβ)fU′ 2p = L1/ν fU′ 2p . This leads to
dU2p
= L1/ν fU′ 2p (x)[1 + . . .] , (4.103)
dβ
and similarly for the magnetization derivatives
d|m|
= L(1−β)/ν fm′
(x)[1 + . . .] , (4.104)
dβ
d ln|m|p
= L1/ν fdmp (x)[1 + . . .] . (4.105)
dβ
By applying standard reweighting techniques to the time-series data one first
determines the temperature dependence of C(β), χ(β), . . . , in the neighborhood
of the simulation point β0 ≈ βc (a reasonably good guess of β0 can usually be
obtained quite easily from a few short test runs). It should be stressed that in a
serious study, by estimating the valid reweighting range, one should at any rate
make sure that no systematic errors crept in by this procedure (which may be eas-
ily overlooked if one works too mechanically). Once the temperature dependence
is known, one can determine the maxima, e.g., Cmax (βmaxC ) ≡ maxβ C(β), by
applying standard extremization routines: When reweighting is implemented as a
subroutine, for instance C(β) can be handled as a normal function with a con-
tinuously varying argument β, i.e., no interpolation or discretization error is in-
volved when iterating towards the maximum. The locations of the maxima of C,
χ, dU2 /dβ, dU4 /dβ, d|m|/dβ, d ln|m|/dβ, and d lnm2 /dβ provide us with
seven sequences of pseudo-transition points βmaxi (L) which all should scale ac-
cording to βmaxi (L) = βc + ai L−1/ν + . . .. In other words, the scaling variable
x = (βmaxi (L) − βc )L1/ν = ai + . . . should be constant, if we neglect the small
higher-order corrections indicated by . . ..
Notice that while the precise estimates of ai do depend on the value of ν, the
qualitative conclusion that x ≈ const for each of the βmaxi (L) sequences does not
require any a priori knowledge of ν or βc . Using this information one thus has
several possibilities to extract unbiased estimates of the critical exponents ν, α/ν,
β/ν, and γ/ν from least-squares fits assuming the FSS behaviors (4.98)–(4.105).
4.7.2 A Practical Recipe
The typical procedure of an FSS analysis then proceeds as follows:

(i) Estimate the critical exponent ν by least-square fits to the scaling behavior
(4.103) and (4.105). For this one may consider directly the maxima of dU2p /dβ
and d ln|m|p /dβ, p = 1, 2, or work with any other FSS sequence βmaxi (L).
Remarks: Considering only the asymptotic behavior, e.g., d ln|m|/dβ =
aL1/ν , and taking the logarithm, ln(d ln|m|/dβ) = c+(1/ν) ln(L), one ends
up with a linear two-parameter fit yielding estimates for the constant c = ln(a)
and the exponent 1/ν. For small lattice sizes the asymptotic ansatz is, of course,
not justified. Taking into account the (effective) correction term [1 + bL−w ]
would result in a non-linear four-parameter fit for a, b, 1/ν and w. Even if we
would fix w to some theoretically expected value (as is sometimes done), we
would be still left with a non-linear fit which is usually much harder to control
than a linear fit (where only a set of linear equations with a unique solution
has to be solved, whereas a non-linear fit involves a numerical minimization
of the χ2 -function, possessing possibly several local minima). The alternative
method is to use the linear fit ansatz and to discard successively more and more
small lattice sizes until the χ2 per degree of freedom or the goodness-of-fit Q
[113] has reached an acceptable value and does not show any further trend. Of
course, all this relies heavily on correct estimates of the statistical error bars on
the original data for d ln|m|/dβ.
Furthermore, when combining the various fit results for ν to a final value,
some care is necessary with the final statistical error estimate on ν, since the
various fits for determining ν are of course correlated (since they use the data
from one and the same simulation).
(ii) Once ν is estimated one can use the scaling form βmaxi (L) = βc +ai L−1/ν +. . .
to extract βc and ai . As a useful check, one should repeat these fits at the error
margins of ν, but usually this dependence turns out to be very weak.
Remark: Regarding the βc fit alone, the uncertainty in the proper value of ν
looks like a kind of systematic error or bias, whose origin, however, is also of
statistical nature occurring in the first step.
118 W. Janke
(iii) As a useful cross-check one can determine βc also from the Binder parameter
crossings. For a first rough estimate, this is a very convenient and fast method.
Remarks: As a rule of thumb, an accuracy of about 3–4 digits for βc can be
obtained with this method without any elaborate infinite-volume extrapolations
– the crossing points lie usually much closer to βc than the various maxima
locations. For high precision, however, it is quite cumbersome to control the
necessary extrapolations and often more accurate estimates can be obtained
by considering the scaling of the maxima locations. Also, error estimates of
crossing points involve the data for two different lattice sizes which tends to be
quite unhandy.
(iv) Next, similarly to ν, the ratios of critical exponents α/ν, β/ν, and γ/ν can be
obtained from fits to (4.98)–(4.100), and (4.104). Again the maxima of these
quantities or any of the FSS sequences βmaxi can be used. What concerns the
fitting procedure the same remarks apply as for ν.
Remarks: The specific heat C usually plays a special role in that the expo-
nent α is difficult to determine. The reason is that α is usually relatively small
(3D Ising model: α ≈ 0.1), may be zero (logarithmic divergence as in the 2D
Ising model) or even negative (as for instance in the 3D XY and Heisenberg
models). In all these cases, the constant background contribution Creg in (4.98)
becomes important, which enforces a non-linear three-parameter fit with the
just described problems. Also for the susceptibility χ, a regular background
term cannot be excluded, but it is usually much less important since γ ≫ α.
Therefore, in (4.99), (4.100), and (4.104), similar to the fits for ν, one may take
the logarithm and work with much more stable linear fits.
(v) As a final step one may re-check the FSS behavior of C, χ, dU2 /dβ, . . . at the
numerically determined estimate of βc . These fits should be repeated also at
βc ± ∆βc in order to estimate by how much the uncertainty in βc propagates
into the thus determined exponent estimates.
Remark: In (the pretty rare) cases where βc is known exactly (e.g., through self-
duality), this latter option is by far the most accurate one. This is the reason,
why for such models numerically estimated critical exponents are usually also
much more precise.
4.7.3 Finite-Size Scaling at Work – An Example
The purpose of this subsection is to illustrate the above outlined recipe with ac-
tual data from recent simulations of a 2D Ising model with next-nearest neighbor
interactions [137]. The Hamiltonian has the form

H = −J σi σj − Jd σk σl , (4.106)
i,j (k,l)
where the spins can take the values σi = ±1, J denotes the nearest-neighbor (nn)
coupling and Jd is the next-nearest-neighbor (nnn) coupling along the two diagonals
of a square lattice. The corresponding pairs of spins are denoted by the brack-
ets i, j and (k, l), respectively. In [137] we restricted ourselves to that region
of the phase diagram where the ground states show ferromagnetic order (J ≥ 0,
Jd ≥ −J/2), and always assumed periodic boundary conditions. Absorbing the nn
coupling J into the inverse temperature β (i.e., formally putting J = 1), the remain-
ing second parameter is the coupling-constant ratio α = Jd /J. In the following we
will concentrate on the case α = 0.5 [138]. The linear size of the lattices varies from
L = 10, 20, 40, . . . up to 640. All simulations are performed with the single-cluster
algorithm which is straightforward to adapt to nnn interactions by setting bonds also
along the diagonals. Similarly to the standard nn model, the integrated autocorrela-
tion time close to criticality is found for α = 1 [137] to scale only weakly with
lattice size: τe,int ∝ Lz with z = 0.134(3).
Another example following closely the lines sketched above is provided by a
Monte Carlo study of the 3D Ising model, albeit not on a regular but on Poissonnian
random lattices of Voronoi-Delaunay type [139]. The random lattices are treated as
quenched disorder in the local coordination numbers and hence necessitate an ad-
ditional average over many realizations (in the study described in [139], for each
lattice size 96 independent realizations were used). This introduces in all FSS for-
mulas additional disorder averages which complicate some aspects of the analysis.
The general concept of FSS analysis, however, does not depend on this special fea-
ture and it may be worthwhile to consult [139] for a supplementary example.
4.7.3.1 Critical Exponent ν
Having recorded the times series of the energy and magnetization, all quantities of
the preceding paragraph can be computed in the FSS region. The scaling behavior
of the maxima of d ln|m|p /dβ and dU2p /dβ for p = 1 and p = 2 is shown in
9
(d ln m2/dβ)max
8 (d ln⏐m⏐/dβ)max
(dU4/dβ)max
7 (dU2/dβ)max
6
ln Omax
5
4
3
2
1
0
2 3 4 5 6 7
ln L
Fig. 4.10. FSS of the maxima of d ln

|m|p /dβ and dU2p /dβ for p = 1 and p = 2 of the
2D nnn Ising model (4.106) with α = Jd /J = 0.5 and fits to extract 1/ν
120 W. Janke
Table 4.3. Fit results for the correlation length critical exponent ν of the 2D nnn Ising model
with α = Jd /J = 0.5, and the weighted average of the four estimates. Also listed are the χ2
per degree of freedom, χ2 /d.o.f., and the goodness-of-fit parameter Q [113]
d ln
|m|/dβ d ln
m2 /dβ dU2 /dβ dU4 /dβ weighted av.
ν 1.0031(17) 1.0034(21) 1.0027(24) 1.0025(44) 1.0031(11)
χ2 /d.o.f 0.98 0.60 2.02 0.49
Q 0.37 0.55 0.13 0.61
the log-log plot of Fig. 4.10. From the parameters of the four linear fits over the
data points with Lmin > 40 collected in Table 4.3, we obtain a weighted average of
ν = 1.003 1 ± 0.001 1.
As the more detailed analysis in [139] clearly shows, considering all 4×7 =
28 possible FSS sequences (the four observables shown in Fig. 4.10 evaluated at
the seven different βmaxi sequences) does not significantly improve the precision
of the final estimate. The reason are the quite strong correlations between most of
these 28 estimates. In a really large-scale simulation such a more detailed analysis
may still be valuable, however, since it potentially helps to detect systematic trends
which otherwise may remain unnoticed. Also here the weighted average is clearly
dominated by the result from the d ln|m|/dβ fit, and correlations between the first
and second pair of estimates are obvious. Therefore, to account for these correlations
at least heuristically, we usually quote in our investigations the weighted average,
but take the smallest contributing error estimate (here thus from the d ln|m|/dβ
fit). This recipe then gives from Table 4.3 the final result
ν = 1.003 1 ± 0.001 7 , (4.107)
in good agreement with the 2D Ising universality class (cf. Table 4.1).
4.7.3.2 Critical Coupling βc
Fixing the critical exponent ν at the numerically determined estimate (or in the
present context at the exactly known value ν = 1), it is now straightforward to
obtain estimates of the critical coupling βc from linear least-squares fits to
βmaxi = βc + ai L−1/ν , (4.108)
where βmaxi are the pseudo-transition points discussed earlier. Depending on the
quantity considered, here we found a significant improvement of the fit quality if the
smallest lattice sizes were excluded. This is illustrated in Table 4.4, where detailed
results for various fit ranges are compiled.
As final result we quote the weighted average of the five estimates and again the
smallest contributing error bar,
βc = 0.262 817 4 ± 0.000 0017 . (4.109)

Table 4.4. FSS fits of the pseudo-transition points βmax = βc + aL−1/ν of the nnn model
(4.106) with α = 0.5 for varying fit ranges, assuming ν = 1. Here n is the number of data
points, Lmin denotes the smallest lattice size considered, and Q is the standard goodness-of-fit
parameter. The selected fit ranges used for the final average are high-lighted in boldface. The
last line labeled HTS gives a high-temperature series estimate [140] for comparison
observables n Lmin βc Q
C
βmax 7 10 0.262 699(13) 0.00
6 20 0.262 766(15) 0.03
5 40 0.262 799(18) 0.88
4 80 0.262 807(22) 0.89
|m|
βinf 7 10 0.262 8706(36) 0.00
6 20 0.262 8398(40) 0.00
5 40 0.262 8272(47) 0.16
4 80 0.262 8212(58) 0.38
χ
βmax 7 10 0.262 8253(12) 0.00
6 20 0.262 8195(13) 0.00
5 40 0.262 8178(14) 0.09
4 80 0.262 8153(17) 0.66
ln |m|
βinf 7 10 0.262 8437(62) 0.00
6 20 0.262 8243(68) 0.24
5 40 0.262 8183(77) 0.42
4 80 0.262 8099(97) 0.70
2
ln m
βinf 7 10 0.262 8684(94) 0.00
6 20 0.262 837(11) 0.43
5 40 0.262 837(13) 0.57
4 80 0.262 818(17) 0.55
average 0.262 8204(144)
weighted average 0.262 8174(16)
final 0.262 8174(17)
HTS (Oitmaa [140]) 0.262 808
The corrections to the asymptotic FSS behavior can be also visually inspected
in Fig. 4.11, where the Monte Carlo data and fits are compared. One immediately
notices a systematic trend that the L = 10 data deviate from the linear behavior.
For larger L, however, the deviations are already so small that only a quantitative
judgement in terms of the χ2 per degree of freedom or goodness-of-fit parameter Q
of the fits [113] can lead to a sensible conclusion.
4.7.3.3 Binder Parameters U2 and U4
Following our general recipe sketched above, the Binder parameter U4 (L) is shown
in Fig. 4.12 as a function of temperature. Even though the temperature range is much
122 W. Janke
0.265
0.260
0.255
0.250
βmax
0.245
C
0.240 βmax
d|m|
0.235 βmax
χ
βmax
0.230 dln|m|
βmax
0.225 d ln m
2
βmax
0.220
0.00 0.02 0.04 0.06 0.08 0.10
L−1/ν(with ν = 1 )
Fig. 4.11. FSS fits of the pseudo-transition points βmaxi with ν = 1.0 fixed of the 2D nnn Ising
model (4.106) with α = Jd /J = 0.5. The error weighted average of the FSS extrapolations
yields βc = 0.262 817 4(16), cf. Table 4.4 for details
smaller than in the βmaxi plot of Fig. 4.11, a clear-cut crossing point can be observed.
Already from the crossing of the two curves for the very modestly sized lattices with
L = 10 and L = 20 (which can be obtained in a few minutes of computing time),
one can read off that βc ≈ 0.262 8. This clearly demonstrates the power of this
method, although it should be stressed that the precision is exceptionally good for
this model.
On the scale of Fig. 4.12 one reads off that U4∗ ≈ 0.61. Performing an extrapo-
lation (on a very fine scale) to infinite size at β = βc , one obtains the more accurate
0.65
0.6
U4(L)
0.55
L = 10
L = 20
L = 40
0.5 L = 80
L = 160
L = 320
L = 640
0.45
0.256 0.258 0.26 0.262 0.264 0.266
β
Fig. 4.12. Fourth-order Binder parameter U4 , exhibiting a sharp crossing point around
(βc , U4∗ ) ≈ (0.262 82, 0.61). Note the much smaller temperature scale compared to Fig. 4.11
estimate of U4∗ = 0.610 8(1). This result for the 2D nnn Ising model with α = 0.5
is in perfect agreement with the very precisely known value for the standard square
lattice nn Ising model with periodic boundary conditions from extrapolating exact
transfer-matrix data for L ≤ 17 [129], U4∗ = 0.610 690 1(5), and a numerical
evaluation of an exact expression [130], U4∗ = 0.610 692(2). This illustrates the ex-
pected universality of U4∗ (and also U2∗ ) for general isotropic interactions (e.g., also
for α = 1 one finds the same result within error bars [137]), as long as boundary
conditions, lattice shapes etc. are the same. As emphasized already in Sect. 4.7.1,
the cumulants are, however, only weakly universal in the sense that they do depend
sensitively on the anisotropy of interactions, boundary conditions and lattice shapes
(aspect ratios) [131, 132, 133, 134, 135, 136].
4.7.3.4 Critical Exponent γ
The exponent ratio γ/ν can be obtained from fits to the FSS behavior (4.100) of
the susceptibility. By monitoring the quality of the fits, using all data starting from
L = 10 is justified. The fits collected in Table 4.5 all have Q ≥ 0.15.
Still it is fairly obvious, that the two fits with Q < 0.2 have some problems.
Discarding them in the averages, one obtains from the weighted average (and again
quoting the smallest contributing error estimate to heuristically take into account the
correlations among the individual fits)
Table 4.5. Fit results for the critical exponents γ/ν, β/ν, and (1 − β)/ν. The fits for γ/ν and
(1 − β)/ν take all lattices with L ≥ 10 into account while the fits for β/ν start at L = 20
at Kmax of γ/ν Q β/ν Q (1 − β)/ν Q
C 1.7574(28) 0.87 0.12856(38) 0.00 0.8889(13) 0.00

χ 1.7407(10) 0.16 0.12480(32) 0.45 0.8710(24) 0.93
dU4 /dβ 1.7700(50) 0.40 0.12481(39) 0.51 0.9154(99) 0.38
dU2 /dβ 1.7417(12) 0.42 0.12562(32) 0.02 0.8815(35) 0.39
d
|m|/dβ 1.7356(11) 0.19 0.12191(33) 0.00 0.8760(15) 0.82
d ln
|m|/dβ 1.7520(20) 0.62 0.12407(34) 0.02 0.8923(49) 0.57
d ln
m2 /dβ 1.7630(32) 0.76 0.12363(37) 0.01 0.9047(68) 0.81
average 1.7515(49) ≥0 0.12477(78) ≥0 0.8900(60) ≥0

weighted av. 1.7423(06) 0.12468(13) 0.8822(09)
final 1.7423(10) 0.12468(32) 0.8822(13)
average 1.7568(49) ≥ 0.2 0.12483(32) ≥ 0.02 0.8901(71) ≥ 0.3

weighted av. 1.7477(09) 0.12485(17) 0.8775(11)
final 1.7477(12) 0.12485(32) 0.8775(15)
exact 1.75 0.125 0.875

124 W. Janke
γ/ν = 1.747 7 ± 0.001 2 (4.110)
to be compared with the exact result 7/4 = 1.75. For the critical exponent η, the
estimate (4.110) implies η = 2 − γ/ν = 0.252 3 ± 0.001 2, and, by inserting
our value of ν = 1.003 1(17), one obtains γ = 1.753 1 ± 0.004 2. Here and in
the following we are quite conversative and always quote the maximal error, i.e.,
max{(O1 + ǫ1 )(O2 + ǫ2 ) − O1 O2 , O1 O2 − (O1 − ǫ1 )(O2 − ǫ2 )}.
4.7.3.5 Critical Exponent β
The exponent ratio β/ν can be obtained either from the FSS behavior of |m|
or d|m|/dβ, (4.99) or (4.104). In the first case, Table 4.5 shows that most βmaxi
sequences yield poor Q values (≤ 0.1) even if the L = 10 lattice data is discarded.
If one averages only the fits with Q ≥ 0.02, the final result is
β/ν = 0.124 85 ± 0.000 32 , (4.111)
and, by using our estimate (4.107) for ν, β = 0.125 23 ± 0.000 54, in very good
agreement with the exact result β/ν = β = 1/8 = 0.125 00 for the 2D Ising
universality class. Assuming hyperscaling to be valid, the estimate (4.111) implies
γ/ν = D − 2β/ν = 1.750 30(64).
From the Q values in Table 4.5 one can conclude that the FSS of d|m|/dβ is
somewhat better behaved, so that one can keep again all lattice sizes L ≥ 10 in the
fits. By discarding only the fit for the βmaxC sequence, which has an exceptionally
small Q value, one arrives at
(1 − β)/ν = 0.877 5 ± 0.001 5 , (4.112)
so that by inserting our estimate (4.107) for ν, β/ν = 0.119 4 ± 0.003 2, and finally
β = 0.119 8 ± 0.003 0.
4.7.3.6 Critical Exponent α
Due to the regular background term Creg in the FSS behavior (4.98), the specific
heat is usually among the most difficult quantities to analyze [141]. In the present
example the critical exponent α is expected to be zero, as can be verified by using
the hyperscaling relation α = 2 − Dν = −0.0062(34). In such a situation it may
be useful to test at least the consistency of a linear two-parameter fit with α/ν kept
fixed. In the present case with α = 0, this amounts to the special form C = Creg +
a ln(L). As can be inspected in Fig. 4.13, the expected linear behavior is, in fact,
satisfied over the whole range of lattice sizes.
To conclude this example analysis [138], it should be stressed that no particular
care was taken to arrive at high-precision estimates for the critical exponents since in
the original work [137] primarily the critical coupling was of interest. In applications
aiming also at accurate exponent estimates, one may experiment more elaborately
3.5
C(βmax(L)) 3
2.5
2 C
dm/dβ
χ
1.5 dU2/dβ
d ln|m|/dβ
1 d ln m2/dβ
dU4/dβ
0.5
2 3 4 5 6 7
log L
Fig. 4.13. FSS behavior of the specific heat evaluated at the various βmaxi sequences, assum-
ing α = 0, i.e., a logarithmic scaling ∝ ln L
with the fit ranges and averaging procedures. If (small) inconsistencies happen to
persist, it is in particular also wise to re-check the extent of the reliable reweighting
range, which often turns out to be the source of trouble in the first place (. . . which
we have not seriously attempted to exclude in this example analysis).
4.7.4 Spatial Correlation Length
Since critical phenomena are intimately connected with diverging spatial correla-
tions, it is in many applications important to also estimate the correlation length. In
the high-temperature phase down to the critical point, we have σi = 0 and the
two-point correlation function (4.7) simplifies to
G(r i − rj ) = σi σj . (4.113)
By summing over all lattice points one obtains the susceptibility (without β
prefactor)
1
χ′ /β = G(r i − r j ) = G(r)
V r ,r r
i j

1
2
=V σi = V m2 . (4.114)
V r
Recall that above Tc , m = 0. On D-dimensional periodic lattices with edge

lengths L1 = L2 = . . . = L, the correlation function can be decomposed into
Fourier modes
126 W. Janke
L−1

1 ik·(r i −r j )
G(r i − r j ) = G(k)e , (4.115)
V n1 ,n2 ,...=0
where k ≡ (2π/L)(n1 , n2 , . . .) are the discrete lattice momenta. In the high-

temperature phase the amplitudes for long-wavelength modes (|k| → 0) are ef-
fectively given by
D −1
|k|→0 1

G(k) =a 2(1 − cos ki ) + m2 ≈ a , (4.116)
i=1
k 2 + m2
with β dependent prefactor a and mass parameter m. Inserting this into (4.114), one
finds for large distances |r| ≫ 1 (but |r| ≪ L/2 for finite periodic lattices)
G(r) ∝ |r|−(D−1)/2 e−m|r| (4.117)
with (|r| ≫ 1), so that the inverse mass can be identified as the correlation length
ξ ≡ 1/m.
4.7.4.1 Zero-Momentum Projected Correlation Function
In order to avoid the power-like prefactor in (4.117) and to increase effectively the
statistics one actually measures in most applications a so-called projected (zero-
momentum) correlation function defined by (r = (x1 , x2 , . . .))
g(x1 − x′1 )
L
L

1
= G(r i − rj )
LD−1 x2 ,x3 ,...=1 x′2 ,x′3 ,...=1
L
L

1 1
D−1
=L σx1 ,x2 ,x3 ,... σx′1 ,x′2 ,x′3 ,... ,
LD−1 LD−1
x2 ,x3 ,...=1 x′2 ,x′3 ,...=1
(4.118)
L
i.e., the correlations of line magnetizations L−1 x2 =1 σx1 ,x2 for 2D systems or
L
surface magnetizations L−2 x2 ,x3 =1 σx1 ,x2 ,x3 for 3D systems at x1 and x′1 . Notice
that in all dimensions
L−1
1 1
χ′ /β = g(0) + g(i) + g(L) (4.119)
2 i=1
2
&L
is given by the trapezoidal approximation to the area 0 g(x)dx under the pro-
jected correlation function g(x). Applying the summations in (4.118) to the Fourier
decomposition of G(r i − rj ) and using
L

1
eik2 x2 +ik3 x3 +... = δk2 ,0 δk3 ,0 . . . , (4.120)
LD−1 x2 ,x3 ,...=1
it is easy to see that

L−1 ′
a eik1 (x1 −x1 )
g(x1 − x′1 ) = (4.121)
L n =0 2(1 − cos k1 ) + m2
1
is the one-dimensional version of (4.115) and (4.116), since all but one momentum
component are projected to zero in (4.120). This can be evaluated exactly as
a cosh[m∗ (L/2 − x)]
g(x) = ∗
2 sinh m sinh(m∗ L/2)
∗
a −m∗ x 2e−m L ∗
= e + cosh(m x) , (4.122)
2 sinh m∗ 1 − e−m∗ L
with m and m∗ related by
∗
m m
= sinh ,
2 2
4

m∗ m m 2
= ln + +1 . (4.123)
2 2 2
For ξ > 10 (m < 0.1) the difference between ξ and ξ ∗ ≡ 1/m∗ is completely
negligible, (ξ ∗ − ξ)/ξ < 0.042%. Notice that there is no x-dependent prefactor in
(4.122). And also note that G(r) computed for r along one of the coordinate axes
is a truly D-dimensional correlation function (albeit along some special direction),
exhibiting the r (D−1)/2 prefactor of (4.117).
Figure 4.14 shows as an example g(x) for the standard nn Ising model at
T = 2.5 ≈ 1.1 Tc on a 50×50 square lattice. By fitting the Monte Carlo data
to the cosh-form (4.122), m∗ = 0.167 9 is obtained or ξ ∗ = 5.957. Inserting
this value into (4.123), one obtains ξ = 1/m = 5.950. This is in very good
agreement (at a 0.1-0.2% level) with the exactly known correlation length (of the
two-dimensional correlation function) along one of the two main coordinate axes,
ξ||(ex) = −1/(ln(tanh(β)) + 2β) = 5.962 376 984 . . . [14, 15].
4.7.4.2 Second-Moment Correlation Length
Alternatively, one may also measure directly the Fourier amplitudes

1

G(k) = G(r)e−ik·r = σ (k)|2 ,
| (4.124)
r
V

for a few long-wavelength modes σ (k) = r σ(r)eik·r , where the normalization

is chosen such that G(0) = χ′ /β. From (4.116) we read off that
128 W. Janke
6
Monte Carlo
5 cosh fit
exp
3
g(x)
0
0 5 10 15 20 25 30 35 40 45 50
x
Fig. 4.14. Zero momentum projected correlation function g(x) for the standard 2D nn Ising
model at T = 2.5 > Tc . Also shown is a fit with the cosh-ansatz (4.122), yielding m∗ =
0.167 9 or ξ ∗ = 5.957, and the exponential approximation ∝ exp(−m∗ x)
1 D
2
1

G(k) −1
= 2(1 − cos ki ) + m 2
≡ c1 κ 2 + c0 , (4.125)
a i=1
with c1 = 1/a and c0 = m2 /a, so that the squared correlation length
ξ 2 = 1/m2 = c1 /c0 (4.126)
−1 versus κ2 = D 2(1 − cos ki ) ≈ k2 .

can be extracted from a linear fit of G(k) i=1
In 2D, for instance, one may use k = 2πn/L with n = (0, 0), (1, 0), (1, 1), (2, 0),
and (2, 1), as done for the example in Fig. 4.15, which shows Monte Carlo data
−1 from the same run used for Fig. 4.14 and a fit with (4.125). From the
for G(k)
parameters c1 and c0 one then obtains ξ = c1 /c0 = 5.953.
Even the simplest expression, using only k = 0 and k = 1 = (2π/L)(1, 0, 0, . . .)
and involving no fit at all, can be used:
1/2
1
G(0)
ξ= −1 . (4.127)

2 sin(π/L) G(1)
This quantity, which is comparatively easy to measure in a Monte Carlo simulation,

is usually referred to as second-moment correlation length. In the 2D Ising example,

with G(0)
= 62.66 and G(1) = 1.768 (cp. Fig. 4.15) and L = 50, (4.127) evaluates
to ξ = 5.965, again in good agreement with the exact result for ξ||(ex) . Finally note
that the Fourier method gives directly ξ (and not ξ ∗ ).
0.08
0.07 Monte Carlo

0.06 fit
0.05
1/G(k)
0.04
0.03
0.02
0.01
0.00
0.00 0.02 0.04 0.06 0.08
2
Σi=1 2(1 − cos ki)
Fig. 4.15. Inverse −1 versus squared lattice mo-
components G(k)
2 2 long-wavelength Fourier
2
menta κ ≡ i=1 2(1 − cos ki ) ≈ k for the 2D Ising model at T = 2.5 > Tc . The
2
fit (4.125),
c1 κ + c0 , gives c1 = 0.565 5 and c0 = 0.015 96, and hence by (4.126),
ξ = c1 /c0 = 5.953
4.8 Generalized Ensemble Methods

All Monte Carlo methods described so far assumed a conventional canonical ensem-
ble where the probability distribution of configurations is governed by a Boltzmann
factor ∝ exp(−βE). A simulation at some inverse temperature β0 then covers a cer-
tain range of configuration space but not all (recall the discussion of the reweighting
range). In principle a broader range can be achieved by patching several simula-
tions at different temperatures using the multi-histogram method. Loosely speaking
generalized ensemble methods aim at replacing this static patching by a single simu-
lation in an appropriately defined generalized ensemble. The purpose of this section
is to give at least a brief survey of the available methods.
4.8.1 Simulated Tempering
One approach are tempering methods which may be characterized as dynamical

multi-histogramming. Similarly to the static reweighting approach, in simulated as
well as in parallel tempering one considers m simulation points β1 < β2 < . . . <
βm which here, however, are combined already during the simulation in a specific,
dynamical way.
In simulated tempering simulations [142, 143] one starts from a joint partition
function (expanded ensemble)
m

ZST = egi e−βi H({σ}) , (4.128)
i=1 {σ}
130 W. Janke
where gi = βi f (βi ) and the inverse temperature β is treated as an additional dynam-

ical degree of freedom that can take the values β1 , . . . , βm . Employing a Metropolis
algorithm, a proposed move from β = βi to βj is accepted with probability
W = min [1, exp[−(βj − βi )H({σ})] + gj − gi ] . (4.129)
Similar to multi-histogram reweighting (and also to multicanonical simulations), the
free-energy parameters gi are a priori unknown and have to be adjusted iteratively.
To assure a reasonable acceptance rate for the β-update moves (usually between
neighboring βi -values), the histograms at βi and βi+1 , i = 1, . . . , m − 1, must
overlap. An estimate for a suitable spacing δβ = βi+1 − βi of the simulation points
βi is hence immediately given by the results (4.82)–(4.84) for the reweighting range,
⎧
⎪ −D/2
⎨L off-critical
δβ ∝ L −1/ν . (4.130)
critical
⎪
⎩ −D
L first-order
Overall the simulated tempering method shows some similarities to the avoiding-
rare-events variant of multicanonical simulations briefly discussed in the next
subsection.
4.8.2 Parallel Tempering

In parallel tempering (replica exchange Monte Carlo, multiple Markov chain Monte
Carlo) simulations [144, 145, 146], the starting point is a product of partition func-
tions (extended ensemble),
0m m
0
ZPT = Z(βi ) = e−βi H({σ}i ) , (4.131)
i=1 i=1 {σ}i
and all m systems at different simulation points β1 < β2 < . . . < βm are sim-
ulated in parallel, using any legitimate update algorithm (Metropolis, cluster,. . . ).
This freedom in the choice of update algorithm is a big advantage of the paral-
lel tempering method. After a certain number of sweeps, exchanges of the cur-
rent configurations {σ}i and {σ}j are attempted (equivalently, the βi may be ex-
changed, as is done in most implementations). Adapting the Metropolis criterion
(4.24) to the present situation, the proposed exchange will be accepted with proba-
bility W = min(1, e∆ ), where
∆ = (βj − βi ) [E({σ}j ) − E({σ}i )] . (4.132)
To assure a reasonable acceptance rate, usually only nearest-neighbor exchanges
(j = i ± 1) are attempted and the βi should again be spaced with the δβ given in
(4.130). In most applications, the smallest inverse temperature β1 is chosen in the
high-temperature phase where the autocorrelation time is expected to be very short
and the system decorrelates rapidly. Conceptually this approach follows again the
avoiding-rare-events strategy.
Notice that in parallel tempering no free-energy parameters have to be adjusted.
The method is thus very flexible and moreover can be almost trivially parallelized.
4.8.3 Multicanonical Ensembles
To conclude this introduction to simulation techniques, at least a very brief outline

of multicanonical ensembles shall be given. For more details, in particular on practi-
cal implementations, see the recent reviews [4, 147, 148, 149, 150]. Similarly to the
tempering methods of the last section, multicanonical simulations may also be in-
terpreted as a dynamical multi-histogram reweighting method. This interpretation is
stressed by the notation used in the original papers by Berg and Neuhaus [151, 152]
and explains the name multicanonical. At the same time, this method may also be
viewed as a specific realization of non-Boltzmann sampling [153] which has been
known since long to be a legitimate alternative to the more standard Monte Carlo ap-
proaches [154]. The practical significance of non-Boltzmann sampling was first re-
alized in the so-called umbrella-sampling method [155, 156, 157], but it took many
years before the introduction of the multicanonical ensemble [151, 152] turned non-
Boltzmann sampling into a widely appreciated practical tool in computer simulation
studies of phase transitions. Once the feasibility of such a generalized ensemble ap-
proach was realized, many related methods and further refinements were developed.
Conceptually the method can be divided into two main strategies. The first strat-
egy can be best described as avoiding rare events which is close in spirit to the
alternative tempering methods. In this variant one tries to connect the important
parts of phase space by easy paths which go around suppressed rare-event regions
which hence cannot be studied directly. The second approach is based on enhanc-
ing the probability of rare event states, which is for example the typical strategy for
dealing with the highly suppressed mixed-phase region of first-order phase transi-
tions [47, 150]. This allows a direct study of properties of the rare-event states such
as, e.g., interface tensions or more generally free energy barriers, which would be
very difficult (or practically impossible) with canonical simulations and also with
the tempering methods described in Sects. 4.8.1 and 4.8.2.
In general the idea is as follows. With {σ} representing generically the degrees
of freedom (discrete spins or continuous field variables), the canonical Boltzmann
distribution
Pcan ({σ}) ∝ e−βH({σ}) (4.133)
is replaced by an auxiliary multicanonical distribution
Pmuca ({σ}) ∝ W (Q({σ}))e−βH({σ}) ≡ e−βHmuca ({σ}) , (4.134)
introducing a multicanonical weight factor W (Q) where Q stands for any macro-
scopic observable such as the energy or magnetization. This defines formally
Hmuca = H − (1/β) ln W (Q) which may be interpreted as an effective multicanon-
ical Hamiltonian. The Monte Carlo sampling can then be implemented as usual by
comparing Hmuca before and after a proposed update of {σ}, and canonical expec-
tation values can be recovered exactly by inverse reweighting
Ocan = OW −1 (Q)muca /W −1 (Q)muca (4.135)

132 W. Janke
similarly to (4.89). The goal is now to find a suitable weight factor W such that the
dynamics of the multicanonical simulation profits most.
To be specific, let us assume in the following that the relevant macroscopic ob-
servable is the energy E itself. This is for instance the case at a temperature driven
first-order phase transition, where the canonical energy distribution Pcan (E) devel-
ops a characteristic double-peak structure [47]. As an illustration, simulation data
for the 2D seven-state Potts model [158] are shown in Fig. 4.16. With increasing
system size, the region between the two peaks becomes more and more suppressed
(∝ exp(−2σod LD−1 ) where σod is the (reduced) interface tension, LD−1 the cross-
section of a D-dimensional system, and the factor two accounts for the fact that with
the usually employed periodic boundary condition at least two interfaces are present
due to topological reasons) and the autocorrelation time thus grows exponentially
with the system size L. In the literature, this is sometimes termed supercritical slow-
ing down (even though nothing is critical here). Given such a situation, one usually
adjusts W = W (E) such that the multicanonical distribution Pmuca (E) is approx-
imately constant between the two peaks of Pcan (E), thus aiming at a random-walk
(pseudo-) dynamics of the Monte Carlo process, cf. Fig. 4.16.
The crucial non-trivial point is, of course, how this can be achieved. On a piece
of paper, W (E) ∝ 1/Pcan (E) – but we do not know Pcan (E) (otherwise there would
be little need for the simulation . . . ). The solution of this problem is a recursive
computation. Starting with the canonical distribution, or some initial guess based
on results for already simulated smaller systems together with finite-size scaling
3.0 q = 7, L = 60
Pmuca
2.0
P(E)
1.0
Pcan
0.0
1.0 1.2 1.4 1.6
−E/V
Fig. 4.16. The canonical energy density Pcan (E) of the 2D 7-state Potts model on a 60×60
lattice at inverse temperature βeqh,L , where the two peaks are of equal height, together with
the multicanonical energy density Pmuca (E), which is approximately constant between the
two peaks
extrapolations, one performs a relatively short simulation to get an improved esti-

mate of the canonical distribution. When this is inverted one obtains a new estimate
of the multicanonical weight factor, which then is used in the next iteration and so
on. In this naive variant only the simulation data of the last iteration are used in the
construction of the improved weight factor.
A more sophisticated recursion, in which the updated weight factor, or more
conveniently the ratio R(E) = W (E +∆E)/W (E), is computed from all available
data accumulated so far, works as follows [159]:
(i) Perform a simulation with Rn (E) to obtain the nth histogram Hn (E).
(ii) Compute the statistical weight of the nth run:
p(E) = Hn (E)Hn (E + ∆E)/[Hn (E) + Hn (E + ∆E)] . (4.136)
(iii) Accumulate statistics:
pn+1 (E) = pn (E) + p(E) ,

(4.137)
κ(E) = p(E)/pn+1 (E) .
(iv) Update weight ratios:
Rn+1 (E) = Rn (E) [Hn (E)/Hn (E + ∆E)]κ(E) . (4.138)
Go to (i).
The recursion is initialized with p0 (E) = 0. To derive this recursion one as-
sumes
that (unnormalized) histogram entries Hn (E) have an a priori statistical error
Hn (E) and (quite crudely) that all data are uncorrelated. Due to the accumulation
of statistics, this procedure is rather insensitive to the length of the nth run in the first
step and has proved to be rather stable and efficient in practice.
In most applications local update algorithms have been employed, but for certain
classes of models also non-local multigrid methods [119, 120, 160, 161] are appli-
cable [121, 162]. A combination with non-local cluster update algorithms, on the
other hand, is not straightforward. Only by making direct use of the random-cluster
representation as a starting point, a multibondic variant [163, 164, 165] has been de-
veloped. For a recent application to improved finite-size scaling studies of second-
order phase transitions, see [128]. If Pmuca was completely flat and the Monte Carlo
update moves would perform an ideal random walk, one would expect that after V 2
local updates the system has travelled on average a distance V in total energy. Since
one lattice sweep consists of V local updates, the autocorrelation time should scale
in this idealized picture as τ ∝ V . Numerical tests for various models with a first-
order phase transition have shown that in practice the data are at best consistent with
a behavior τ ∝ V α , with α ≥ 1. While for the temperature-driven transitions of 2D
Potts models the multibondic variant seems to saturate the bound [163, 164, 165],
employing local update algorithms, typical fit results are α ≈ 1.1–1.3, and due to
the limited accuracy of the data even a weak exponential growth law cannot really
be excluded.
134 W. Janke
In fact, at least for the field-driven first-order transition of the 2D Ising model
below Tc , where one works with the magnetization instead of the energy (some-
times called multimagnetical simulations), it has been demonstrated recently [166]
that even for a perfectly flat multicanonical distribution there are two hidden free
energy barriers (in directions orthogonal to the magnetization) which lead to an ex-
ponential growth of τ with lattice size, which is albeit much weaker than the leading
supercritical slowing down of the canonical simulation. Physically the two barriers
are related to the nucleation of a large droplet of the wrong phase (say down-spins in
the background of up-spins) [167, 168, 169, 170, 171, 172, 173] and the transition
of this large, more or less spherical droplet to the strip phase (coexisting strips of
down- and up-spins, separated by two straight interfaces) around m = 0 [174].
4.8.4 Wang-Landau Recursion
Another more recently proposed method deals directly with estimators Ω(E) of the
density of states [175, 176]. By flipping spins randomly, the transition probability
from energy level E1 to E2 is

Ω(E1 )
p(E1 → E2 ) = min ,1 . (4.139)
Ω(E2 )
Each time an energy level is visited, the estimator is multiplicatively updated
Ω(E) → f Ω(E) , (4.140)
where initially Ω(E) = 1 and f = f0 = e1 . Once the accumulated energy his-

togram is sufficiently flat, the factor f is refined

fn+1 = fn (4.141)
with n = 0, 1, . . ., and the energy histogram reset to zero until some small value
−8
such as f = e10 ≈ 1.000 000 01 is reached.
For the 2D Ising model this procedure converges very rapidly towards the ex-
actly known density of states, and also for other applications a fast convergence has
been reported. Since the procedure is known to violate detailed balance, however,
some care is necessary in setting up a proper protocol of the recursion. Most authors
who employ the obtained density of states directly to extract canonical expectation
values by standard reweighting argue that, once f is close enough to unity, sys-
tematic deviations become negligible. While this claim can be verified empirically
for the 2D Ising model (where exact results are available for judgement), possible
systematic deviations are difficult to assess in the general case. A safe way would
be to consider the recursion (4.139)–(4.141) as an alternative method to determine
the multicanonical weights, and then to perform a usual multicanonical simulation
based on them. As emphasized earlier, any deviations of multicanonical weights
from their optimal shape do not show up in the final canonical expectation values;
they rather only influence the dynamics of the multicanonical simulations.
4.9 Concluding Remarks
The intention of these lecture notes was to give an elementary introduction to the
concepts of modern Markov chain Monte Carlo simulations and to illustrate their
usefulness by applications to the very simple Ising lattice spin model. The basic
Monte Carlo methods employing local update rules are straightforward to generalize
to all models with discrete degrees of freedom and, with small restrictions, also to all
models with continuous variables and off-lattice systems. Non-local cluster update
methods are much more efficient but also more specialized. Some generalizations to
Potts and O(n) symmetric spin models have been indicated and also further models
may be efficiently simulated by this method, but there is no guarantee that for a given
model a cluster update procedure can be developed. The statistical error analysis is
obviously completely general, and also the example finite-size scaling analysis can
be taken as a guideline for any model exhibiting a second-order phase transition.
Finally, reweighting techniques and generalized ensemble ideas such as tempering
methods, the multicanonical ensemble and Wang-Landau sampling can be adapted
to almost every statistical physics problem at hand once the relevant macroscopic
observables are identified.
Acknowledgements
Many people have influenced these lecture notes with their advice, discussions,
questions, and active contributions. In particular I wish to thank Michael Bachmann,
Bertrand Berche, Pierre-Emmanuel Berche, Bernd A. Berg, Alain Billoire, Kurt
Binder, Elmar Bittner, Christophe Chatelain, Thomas Haase, Malte Henkel,
Desmond A. Johnston, Christoph Junghans, Ralph Kenna, David P. Landau, Eric
Lorenz, Thomas Neuhaus, Andreas Nußbaumer, Michel Pleimling, Adriaan Schakel,
and Martin Weigel for sharing their insight and knowledge with me. Special thanks
go to Elmar Bittner for his help with the sample finite-size scaling analysis.
This work was partially supported by the Deutsche Forschungsgemeinschaft
(DFG) under grants JA 483/22-1 and JA 483/23-1, the EU RTN-Network “EN-
RAGE”: Random Geometry and Random Matrices: From Quantum Gravity to
Econophysics under grant MRTN-CT-2004-005616, and the JUMP computer time
grants hlz10, hlz11, and hlz12 of NIC at Forschungszentrum Jülich.
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5 The Monte Carlo Method for Particle
Transport Problems
Detlev Reiter
Institut für Energieforschung - Plasmaphysik, Forschungszentrum Jülich GmbH, 52425

Jülich, Germany
5.1 Transport Problems and Stochastic Processes

The concept of the natural stochastic process for a transport problem will be intro-
duced. Basic methods of estimating macroscopic quantities (e.g. particle densities,
energy densities, collision rates), from the sample pathes of random walks will be
discussed. A key distinction is made between processes with continuous sample
pathes (diffusion processes, e.g. Brownian motion) and jump processes (Markov-
chains, e.g. radiation or particle transport). Continuous path processes are controlled
by a Fokker-Planck type equation, whereas discontinuous jump processes lead to
Fredholm integral equations of the 2nd kind, with the linear form of the Boltzmann
equation as prototypical example. A practically important example of the first type
in plasma physics is the diffusive (in velocity space) charged test particle transport in
a prescribed bath of electrons and ions (due to the long range nature of the Coulomb
interaction). Other important examples are quantum-mechanical diffusion Monte
Carlo (DiffMC), but also smooth particle hydrodynamics, a convection-diffusion in
real space of fluid parcels simulated by a Monte Carlo concept, which is an alterna-
tive and complementary to the conventional discretization tools from computational
fluid dynamics. Other important applications are in the fields of population dynam-
ics, investment finance, turbulent diffusion, and many more. In the second category
fall the neutron-, radiation shielding transport problems, recycling and neutral parti-
cle transport in plasmas, cosmic ray shower simulations and many more. The transi-
tion from the second to the first type of transport problems is provided by diffusion
approximations, which are frequently applied in many different fields of physics and
computational science. Monte Carlo methods for such continuous processes involve
both stochastic and numerical concepts. The computation of trajectories requires
not only random sampling but also a time discretization, because the (continuous)
trajectories of a diffusion process cannot be simulated on a digital device. They
must be approximated by trajectories of a discontinuous jump process. There ex-
ist Monte Carlo counterparts to the explicit Euler scheme, as well as higher order
concepts such as the famous Milstein scheme, see the textbook by P.E. Kloeden
and E. Platen [1] for an excellent and comprehensive introduction into that topic.
Due to this finite discretization in time one may think of the underlying diffusion
process as being approximated by a discontinuous (jump-) process. After having
sorted out the numerical issues (Taylor expansions, here referred to as Ito-Taylor
expansions because the underlying equation is a stochastic differential equation)
D. Reiter: The Monte Carlo Method for Particle Transport Problems, Lect. Notes Phys. 739, 141–158 (2008)
DOI 10.1007/978-3-540-74686-7 5
142 D. Reiter
the Monte Carlo method then basically simulates an approximating integral equa-
tion of a jump process. A very clear discussion on the approximation of diffusion
processes by jump-processes (i.e., opposite to the direction usually used in physi-
cal arguments to derive Fokker Planck equations) is, e.g., given in the monograph
by C.W. Gardiner [2]. Once this approximation is done, the Monte Carlo proce-
dures for Fokker-Planck equations and for Boltzmann equations become analog.
We shall, therefore, only discuss discontinuous jump processes from now on, hence
only Monte Carlo methods for solving Fredholm integral equations. We will fol-
low a similar strategy as in the introductory chapter on Monte Carlo methods in
these lecture notes, Chap. 3: Although we will try to make explicit the underlying
mathematical basis of the method, we strongly build on the key advantage of Monte
Carlo methods over numerical concepts: The important role of intuition to guide the
derivation of the algorithm, which consequently retains a high level of transparency.
5.1.1 Historical Notes
The first Monte Carlo computer simulations have been carried out within the
US atomic bomb project (Manhatten project), under the leadership of John von
Neumann (Fig. 5.1, left) and Stan Ulam.
Neutron migration in material was simulated by a cascade of decisions based
on non-uniform random numbers (Fig. 5.1, right): At the start of a neutron velocity
and position was sampled. Then the mean free flight distance (from an exponential
distribution) was determined, leading to the decision: Collision or transit through the
medium? If transit, the neutron was moved and new free flight distance is sampled.
(a)
(b)
1)
2)
3)
4)
5)
Fig. 5.1. Left: John von Neumann (1952), Mathematician of Hungarian origin, 1903–1957
(c Copyright 2006 Los Alamos National Security, LLC. All rights reserved). Right: Track-
ing of individual particle histories from birth to death
5 The Monte Carlo Method for Particle Transport Problems 143
If collision: Again a random decision is made: Scattering, fission or absorption?

If scattering: Sample new velocity. If fission: How many new neutrons (at which
velocities)? If absorption: Stop.
This strategy allowed complex geometries to be modelled, a continuous energy
representation of data and the calculation accuracy is limited only by statistics and
data uncertainties, but no numerical approximations are made.
The sound mathematical basis of this procedure is based on the relation between
the probability to find a particular random walk from this procedure, the evaluation
of random variables (estimators) along these trajectories and the Neumann series for
expanding the solution to Fredholm integral equations of the second kind. Most of
this material was published shortly after World War II, in a large number of papers
and later also monographs, see [3, 4, 5] for excellent overviews.
5.2 The Transport Equation: Fredholm Integral

Equation of Second Kind
As it has been discussed in Chap. 3 Monte Carlo simulation can always be viewed as
integration procedure of a certain function g with respect to a probability distribution
f . This is formally done by making connection to the mathematical definition of an
expectation value of a random function G(X) with respect to a distribution law F

I= dx g(x)f (x) := dF G(X) . (5.1)
V V
The new element in this present chapter on particle transport is the fact that the
distribution law f may not be known explicitly anymore. Hence direct random sam-
pling from f is not possible. Common to all Monte Carlo applications to transport
theory is that f is given only implicity, as solution of a governing kinetic equation.
This kinetic equation can be a differential equation (diffusive transport, Fokker-
Planck type differential equations, i.e., very soft interactions causing only small
changes), an integral equation (ballistic transport, Boltzmann type integral equa-
tions, hard interactions, causing discontinuous jumps), or of mixed type. We refer to
the historic papers on this relation between analytic properties of trajectories of ran-
dom walks and corresponding differential and integral equations by W. Feller [6],
and references therein. As will be discussed next the key idea is then to generate an
entire random walk (Markov chain) rather than sequences of independent random
numbers.
It is worth noting that also a second very wide class of Monte Carlo applica-
tions, namely those to problems in statistical mechanics (chapter 4), is based upon
a similar idea: Ensemble averages (very high dimensional integrals) are found there
by generating a random walk in the Gibb’s phase-space, rather than explicitly con-
sidering the underlying many-body distribution law itself. Because of this similarity
of the concept with the historically earlier developed neutron transport applications
also this procedure was then named Monte Carlo method, see Metropolis [7].
144 D. Reiter
5.2.1 The Generic Transport Equation
To introduce the terminology, we briefly recall the basic definitions and principles
of a Monte Carlo linear transport model, following the lead of many textbooks
on Monte Carlo methods for computing neutron transport (see e.g., Spanier and
Gelbard, [3]). We begin with the linear transport equation for the dependent vari-
able ψ (see below), written as integral equation (linear non-homogeneous Fredholm
integral equation (FIE) of 2nd kind). This equation reads

ψ(x) = S(x) + dx′ K(x′ → x)ψ(x′ ) ,
(5.2)
c(x ) = dx′ K(x′ → x) .
′
Distinct from standard terminology in (analytic) transport theory we do not dis-

cuss analytic properties of the various terms in this equation, but, instead, point
out their probabilistic interpretation, as needed for a Monte-Carlo solution of that
equation.
One may view the function ψ(x) as probability to find state x in a relevant
phase space (think of a particle distribution function in kinetic theory). There is an
(un-collided) contribution directly from an external source S to ψ(x), as well as
a contribution from previous states x′ , from which the objects are transferred to x
with probability K(x′ → x). The normalization function c(x′ ) is to be interpreted
as mean number of objects emerging from one transition event, given that one object
went into that event at point x′ (collision).
The quantity to be computed is (compare with (5.1))

Ig (x) = dx g(x)ψ(x) . (5.3)
In Sect. 5.3 we will interpret the generic FIE (5.2) of transport theory with the par-
ticular Boltzmann equation for dilute gases in physics, because this serves then as
guidance of intuition for all our further discussions. The objects will be interpreted
as particles, events will be collisions with a host (background) medium.
5.3 The Boltzmann Equation
We now make connection between the generic transport equation (5.2) and the most
famous and important transport equation in science: The Boltzmann equation for
dilute gases: The phase space is then the space of all relevant independent variables
(co-ordinates) of a single particle and the dependent quantity of interest ψ is then
the one particle distribution function f (r, v, i, t), f (r, E, Ω, i, t), or f (x) where
the state x is characterized by a position vector r, a velocity vector v, a chemical
species index i and the time t, etc.
In radiation transfer applications instead of v one utilizes the kinetic energy E,

(or frequency, or wavelength) and the unit (speed) vector Ω = v/|v| in the direction
of particle motion. The number density ni (r) for species i at a point r then is

ni (r, t) = d3 v f (r, v, i, t) , (5.4)
which is a special case of a moment (response) as defined in (5.3), with g = δ 3 (r −

r ′ )δi,j . I.e., g can contain appropriate delta function to select a particular species and
point in space. Any other macroscopic (and also microscopic) quantity of interest,
such as fluxes, energy density, momentum transfer rates, etc. averaged over sub-
domains (including single points) of phase space, can readily be seen to be covered
by the general expression (5.3).
As already discussed we start by assuming that events (here collisions) lead
to discontinuous trajectories, at least in some of the phase space variables. Further:
Lets consider only one specific particle species i0 from now on, omitting this species
index. We assume that there are only collisions (events) of this species i0 with only
one further species (labelled b), and that exactly one particle of each of these species
will also be present after the collision event. I.e., inelastic and chemical reactions
are excluded, for keeping notation simple (but they are further discussed below).
The familiar Boltzmann equation [8] for the distribution function f for this species
i0 reads

∂ F (r, v, t)
+ v · ∇r + · ∇v f (r, v, t)
∂t m

= σ(v ′ , v ′ ; v, v)|v ′ − v ′ |f (v ′ )fb (v ′ )

− σ(v, v; v ′ , v ′ )|v − v|f (v)fb (v) . (5.5)
Integrations are over the velocities v ′ , v and v ′ . Here σ(v ′ , v ′ ; v, v) is the cross
section for a binary particle collision process defined such that the conservation laws
for total energy and momentum are fulfilled. The first two arguments in σ, namely
the velocities v ′ , v ′ in the first integral, correspond to the species i0 and b, respec-
tively, prior to a collision. These are turned into the post collision velocities v, v,
again for species i0 and b, respectively. The first integral, therefore, describes transi-
tions (v ′ , v ′ → v, v) into the velocity space interval [v, v + dv] for species i0 , and
the second integral describes loss from that interval for this species. Furthermore,
m is the particle mass and F (r, v, t) is the volume force field. The right hand side
is the collision integral δf /(δt)|b . If there are more than just one possible type of
collision partners, then the collision integral has to be replaced by a sum of collision
integrals over all collision partners b, including, possibly, b = i0 (self collisions)
"
δf δf "
= " . (5.6)
δt δt "b
b
146 D. Reiter
This is readily generalized to the semi-classical Boltzmann equation for chemi-

cal reactions (including, for example, vibrational relaxation or exchange of internal
energy as special cases) symbolized as i0 +j0 ↔ i1 +j1 . These species indices label
both the chemical species and/or the internal quantum state. In this case the sum in
the collision integral is over j0 , i1 and j1 and the cross sections in the correspond-
ing collision integrals σii01jj01 (v, v, v ′ , v ′ ) are differential for scattering at a certain
solid angle and post collision energies with simultaneous transition from (i0 , j0 ) to
(i1 , j1 ). Further generalizations to include particle splitting, absorption or fragmen-
tation into more than two post collision products are straight forward, but can more
conveniently be formulated in the C-collision kernel formulation used below.
All these collision operators are bi-linear in the distribution functions. The first
term on the right hand side is due to scattering into the element dv of velocity space
and we shall abbreviate it by defining the collision kernel (redistribution function)
C as a proper integral over pre- and post collision velocities of species b-particles:
"
δf ""
= d3 v ′ C(v ′ → v)|v ′ |f (v ′ ) . (5.7)
δt "gain
Despite its simple physical content (transition probability from v ′ to v, given a col-
lision at r) the collision kernel C can be a quite complicated integral, as it involves
not only multiple differential cross sections, but also, possibly, particle multipli-
cation factors, e.g. in case of fission by neutron impact, dissociation of molecules
by electron impact, or stimulated photon emission from excited atoms. It can also
include absorption, in which case the post collision state must be an extra limbo
state outside the phase-space considered. Due to both particle multiplication and/or
absorption the collision kernel C is not normalized to one, generally.
The second term on the right hand side is much simpler, because the function
f (v) can be taken out of the integral. We even take the product |v| · f before the
integral. The remaining integral is then just the total macroscopic cross section Σt ,
i.e., the inverse local mean free path (dimension: 1/length). It is solely defined by
total cross sections and independent of particle multiplication factors, since we only
consider binary collisions (exactly two pre-collision partners always).
This term is then often taken on the left hand side of the Boltzmann equation
with a positive sign, in the form
"
δf ""
= Σt (r, v)|v|f (v) . (5.8)
δt "loss
With these formal substitutions the Boltzmann equation takes a form which is often
more convenient, in particular in linear transport theory

∂ F (r, v, t)
+ v · ∇r + · ∇v f (r, v, t) + Σt (r, v)|v|f (v)
∂t m
(5.9)
3 ′ ′ ′ ′
= d v C(v → v)|v |f (v ) + Q(r, v, t) .
In this equation an external source term Q has also been added, for completeness.
5.3.1 The Linear Boltzmann Equation
If the distributions fb of collision partners b are assumed to be given, then the kernel
C does not dependent on the dependent quantities f . Also the extinction coefficient
Σt is independent of the dependent variable f = fi0 , and the out-scattering loss
term (last term on left hand side) just describes the loss of particle flux of i0 par-
ticles due to any kind of interaction of them with the host medium. Equation (5.9)
above becomes a linear integro-differential equation. If the characteristic time con-
stants for the considered transport phenomena are very short compared to those for
evolution of the macroscopic background medium one can then neglect explicit time
dependence.
If the particles travel on straight lines between collisions i.e., with no forces
acting on them: F = 0, then the scalar transport flux (angular flux) Φ, where
Φ(x) = |v| · f (r, v, i) , (5.10)
is sometimes used in preference to f (x) as dependent variable. Alternatively, in

computational domains with non-vanishing collisionality (i.e., if Σt (x) = 0 every-
where) the (pre-) collision density Ψ is used, i.e.,
Ψ (x) = Σt (x)Φ(x) , (5.11)
where, again, the macroscopic cross section Σt is the total inverse local mean free
path (dimension: 1/length). This cross section can be written as a sum Σt = Σk
over macroscopic cross sections for the different types (identified by the index k) of
collision processes.
With these simplifications the transport equation takes the well known form in
linear transport theory (e.g., neutronics, radiation transfer, cosmic rays, etc.)
v
· ∇r Φ(r, v) + Σt (r, v)Φ(r, v)
|v|
(5.12)
= Q(r, v) + dv ′ Φ(r, v ′ )Σt (r, v ′ ) · C(r, v ′ → v) .
5.4 The Linear Integral Equation for the Collision Density

We will now give these algebraically very complex equations a very simple stochas-
tic interpretation. We first note that by formally integrating the characteristics for
(5.12) the same transport equation can also be written in our generic form (Fred-
holm IE) for Monte Carlo transport simulations (5.2), which we express for the
(pre-) collision density (distribution density of particles in phase space going into a
collision, per unit time)

Ψ (x) = S(x) + dx′ Ψ (x′ )K(x′ → x) . (5.13)
148 D. Reiter
In order to see this, define the Green’s function G(v, i; r ′ → r). This is the so-
lution to (5.12), but with the right hand side replaced by a delta-point source at
x = (r ′ , v, i). For this let, again, Ω denote the unit vector in the direction of par-
ticle flight, and let Ω ′ and Ω ′′ be two further unit vectors such that these three
vectors form an ortho-normal basis at the point r ′ . The Green’s function G then
reads as follows
G(v, i; r′ → r)
& Ω(r−r ′ ) ′
= e− 0 dsΣt (r +sΩ)
δ(Ω ′ (r − r ′ ))
× δ(Ω ′′ (r − r ′ ))H(Ω(r − r′ )) (5.14)
with H(x) = 0 if x ≤ 0, and H(x) = 1 if x > 0, the Heaviside step function. Thus,
G is closely related to the distribution density T (l) for the distance l for a free flight
starting from r′ to the next point of collision r = r′ + l · Ω. The integral
& Ω(r−r′ )
dsΣt (r ′ +sΩ)
α(r ′ , r) = e− 0 (5.15)
in (5.14) is well known to characterize the optical thickness of the medium in linear
transport theory.
Multiplying (5.12) with that Green’s function and integrating over initial vari-
ables r ′ turns this integro-differential equation into an integral equation for the flux
Φ, which (almost) has the required generic form

Φ(x) = dx′ Q(x′ )G(x′ → x)

+ dx′ Φ(x′ )Σ(x′ )G(x′ → x)C(x′ → x)

1
= dx′ Q(x′ ) T (x′ → x)
Σ(x)

Σ(x′ )
+ dx′ Φ(x′ ) T (x′ → x)C(x′ → x) . (5.16)
Σ(x)
Here we have introduced the transport kernel T (x → x′ ) = Σ(x′ )G(x → x′ ),
which will play the role of the distribution of free flight length between two collision
events.
Multiplying this equation with Σ(x) and using the definition for the pre-
collision density: Ψ = ΣΦ yields exactly the&generic equation (5.13). The source
term S in this equation is now seen to be S = QT dx′ , i.e. it is the contribution to
Ψ directly from source Q, then transported (free flight) to the first point of collision
with T . It is the density of (un-collided) particles going into their first collision. The
kernel K(x → x′ ) is now identified as K = CT : a particle going into a collision
at x′ is first collided by sampling from C, then transported to the next collision at
x with operator & T . The once collided contribution (particles going into their second
collision) is QT CT dx′ . The twice& collided contribution of particles going into
their third collision is consequently: QT CT CT dx′, and so on.
This separation by generations of particles is just the intuitive particle inter-

pretation of the Neumann series expansion solving the generic integral equation
(5.13). This equation also has the general form of the backward integral equation of
a Markovian jump-process [6] and it is therefore particularly well suited for a Monte
Carlo method of solution. A direct intuitive interpretation of the integral equation as
given above is already sufficient to understand the Monte Carlo method of solution.
′
& In′ (5.13) x and x are the states at two successive collisions (jumps). The integral
dx is to be understood as an integral over physical space and over velocity space
and a summation over all discrete species indices. The transition kernel K is usually
decomposed, in our context, into a collision- and a transport (free flight) kernel, i.e.,
into C and T , respectively, where
K(r′ , v ′ , i′ → r, v, i) = C(r ′ ; v ′ , i′ → v, i)T (v, i; r′ → r) . (5.17)
The kernel C is (excluding normalization) the conditional distribution for new co-
ordinates (v,i) given that a particle of species i′ and with velocity v ′ has undergone
a collision at position r ′ . This kernel can further be decomposed into
Σk
C(r ′ , v ′ , i′ → v, i) = pk Ck (r ′ ; v ′ , i′ → v, i) , pk = (5.18)
Σt
k
with summation over the index k for the different types of collision processes under
consideration and pk defined as the (conditional) probability for a collision to be of
type k. The normalizing factor
1
ck (x′ ) = d3 v Ck (r ′ , v ′ , i′ → v, i) , Ck = Ck (5.19)
i
ck
gives the mean number of secondaries for this collision process. The normalized
function Ck then is a conditional probability density. The particle absorption pro-
cess can conveniently be described by adding an absorbing state xa to the μ-space
(generally referred to as one-point compactification of this space in the language of
mathematical topology). This limbo state, once it is reached, is never left again if
the kernels T or C are employed as transition probabilities.
The Green’s function G and similarly the kernel T (r ′ → r) := ΣG(r ′ →
r) describes the motion of the test particles between the collision events. It is the
probability distribution of the mean free flight length l between events. In more
compact notation
& r
ds Σt (v ′ ,s)
T (v ′ , l) = Σt (v ′ , r)e− r′ . (5.20)
As the problem is linear, the source Q arising in the inhomogeneous part can be
normalized to one and, thus, Q can be regarded as a distribution density in phase
space for the primary birth points of particles.
Also a secondary birth point distribution (or post collision density) χ of particles
emerging from a collision event (or directly from the source Q) is sometimes defined
and used as dependent variable, instead of Ψ , φ or f
150 D. Reiter

χ(x) = Q(x) + dx′ Ψ (x′ )C(x′ → x). (5.21)
Comparing this with the previous definitions and equations one easily sees that

φ(x) = dx′ χ(x′ )G(x′ → x) , (5.22)

χ(x) = Q(x) + dx′ χ(x′ )T (x′ → x)C(x′ → x) . (5.23)
This equation too has exactly the same form as our generic equation for Ψ . But now
the inhomogeneous part is directly the physical source Q, and the order of C and
T is reversed in the transport kernel. But this is also obvious: χ(x) is the emerging
collision density (per unit time), hence for the next higher generation of emerging
particles first the free flight (T ) and then the scattering (C) must be applied.
As already mentioned, a detailed knowledge of Φ, Ψ or χ is often not required,
and the output of Monte Carlo simulations are responses R, defined by
1 2
R = Ψ |gc = dxΨ (x)gc (x) = Φ|gt = dxΦ(x)gt (x) , (5.24)
where gc (x), gt (x) are given detector functions.

For example all terms in computational micro-macro models, in which micro-
scopic transport (of some species) is coupled to macroscopic (fluid) transport of
some other species, can be written in this way [9].
5.5 Monte Carlo Solution

It can be shown that a unique solution Ψ (x) (or, equivalently, χ(x), φ(x)) exists
subject to appropriate boundary conditions and under only mild restrictions (basi-
cally on the constants ck and pa ) to ensure that the particle generation process stays
sub-critical. And a stochastic (Monte Carlo) solution to the generic equation (5.9)
is now straight forward, because it is formulated in probabilistic terms as follows.
Let’s, for example, take (5.13): A discrete Markov chain is defined using QT as an
initial distribution. I.e. sample a birth point from the physical source Q and transport
to first collision with T . This amounts to sampling from S, the inhomogeneous part.
Then employ K = CT as a transition probability. Histories ω n from this
stochastic process are generated: ω n = (x0 , x1 , x2 , . . . , xn ), where xj = xa for
all j ≥ n and xi = xa for all i < n with xn being the first state after transition
into the absorbing state xa . x0 denotes the initial state distributed as described by
Q. Note that the length n of the chain ω n is a random variable itself. A random
sampling procedure to generate such chains is carried out in Monte Carlo codes by
converting machine generated (pseudo-) random numbers ξi1 , ξi2 , . . . into random
numbers with the distributions Q, T and C. Having computed N (typically sev-
eral thousand to several million) chains ωi , i = 1, 2, . . . , N , the responses R are
estimated as the arithmetic mean of functions (statistics, or estimators) X(ω), i.e.,
N
#= 1
R≈R X(ωi ) . (5.25)
N i=1
One possible choice for X(ω) is the so called collision estimator Xc ,

n
l−1
0 c(xj )
Xc (ωin ) = gc (xl ) . (5.26)
j=1
(1 − pa (xj ))
l=1
This estimator evaluates the response function g at the points of collisions along the
random walks, starting at the first collision. The factors in the product account for
particle absorption and multiplication.
For example: If g = 1 and c = psc , i.e., no particle multiplication, then this
estimator simply counts collisions. It is then also intuitively clear that the response
Rg is just the collision density averaged over phase space (or a sub-domain of phase
space, if g = 0 outside that sub-domain).
But it can be shown rigourously that the statistical expectation E(Xc ) produces

R = E(Xc ) = d(ω)Xc (ω)h(ω) (5.27)
with h(ω) being the probability density for finding a chain ω from the Markov
process defined above. This means: Xc is, indeed, an unbiased (correct) estimator
for response R.
5.5.1 Outline of a Proof
We now sketch the idea of the proof. We will refer to the construction of a Markov
chain by directly employing the terms Q, T and C in the integral equation (5.13) as
analog and the resulting procedure as analog Monte Carlo. Note that this means that
possible physical particle splitting events (fission processes, cascading of ray show-
ers, dissociation of molecules) have been eliminated already, and this is corrected
for by the weight factors pa and c which result from normalization of the scattering
kernel C. Hence the analog Markov process is not a branching process anymore,
even if the underlying physical process was a branching process.
In order to cover variance reducing methods already in this proof, we also con-
sider another, non-analog, equation, of exactly the same type

#
ψ(x) #
= S(x) + dx′ K(x # → x′ )ψ(x # ′) (5.28)
and we use (5.28) to construct a random walk process, rather than (5.13).
If (5.28) = (5.13) we speak of an analog Monte Carlo game, otherwise of non-
analog Monte Carlo: Variance reduction is then possible by making clever choices
for the non-analog process, as already discussed under the topic importance sam-
pling in the introductory chapter before. For the initial distribution of the Markov
chain we set
152 D. Reiter
#
f1 (x) = S(x) . (5.29)
The transition probability is defined by
# 1 → x2 )
K(x
f2/1 (x1 → x2 ) = p#a (x1 )#
q (x2 ) + p#sc (x1 ) , (5.30)
c(x1 )
#
p#a is, again, the absorption probability, p#sc is the scattering probability (= 1 − p#a ),
and q#(x) is (an entirely irrelevant) distribution, formally needed after transition into
the limbo state absorbed particle.
The probability for finding a particular chain (x1 , ..., xk ), ending with absorp-
tion in xk , is given by the product
k−1
0
h(x1 , . . . , xk ) = f1 (x1 ) f2/1 (xj → xj+1 ) . (5.31)
j=1
We now define the estimator for the non-analog Monte Carlo process (with the ana-
log estimator X, (5.26) as special case)
k=1
0
# S(x1 ) K(xj → xj+1 ) psc (xj ) #c(xj ) pa (xk )
X(w) = X(w) . (5.32)
# 1)
S(x #
K(xj → xj+1 ) p#sc (xj ) c(xj ) p#a (xk )
j=1

(5.13)=(5.28)
The Monte Carlo method for solving a Fredholm IE by this random walk and with
this estimating method is exact, because:
Theorem 1. If K is subcritical, i.e., the absorption pa is strong enough compared
to particle multiplication c, and if some measure-theoretical conditions are fulfilled
as well, namely p# = 0 ⇒ p = 0 (Radon Nikodym) for any non-analog probability p#
and corresponding analog probability p in the Markov chain, then
#
E(X(w)) = Ig (ψ)

= dx S(x)g(x)

+ dx′ dx S(x′ )K(x′ → x)g(x)

+ dx′′ dx′ dx S(x′′ )K(x′′ → x′ )K(x′ → x)g(x)
+ ... (5.33)
(v. Neumann Series)

# by mul-
Outline of a Proof: One calculates the expectation value of the estimator X
tiplying the probability h(ω) to find a particular random walk ω with the value of
#
the estimator for that history: X(ω), and then integrates over all possible random
walks, those with length one, plus those with length two, etc., summing over all
possible lengths k of random walks
#
E(X(w))
∞

= # 1 , . . . , xk )h(x1 , . . . , xk )
. . . dx1 . . . dxk X(x
k=1
= ... (after same lengthy algebra) . . .
∞
i−1
0
= . . . S(x1 ) K(xj → xj+1 )g(xi )Ni,k (xi , . . . , xi+k ) (5.34)
i=1 j=1
with

Probability that a chain, which starts at xi
Ni,k = 1 − lim
k→∞ will not end at one of the next k events.
=1 (because K is subcritical) , (5.35)
#
hence: E(X(w)) = Ig (ψ) = g|ψ, by convergence of the v. Neumann series of
the FIE.
5.5.2 Other Estimators
Other estimators (track-length type estimators) are employed frequently. These esti-
mators are unbiased as well but have higher moments (e.g. variance) different from
those of Xc . Instead of evaluating the detector function gc (x) at the points of colli-
sions xl as Xc does, they involve line integrals of gt (x) along the trajectories, e.g.,
x
l+1
9
n−1 :0
l−1
c(xj )
Xt (ωin ) = ds gt (s) , (5.36)
j=1
(1 − pa (xj ))
l=0 xl
again with R = E(Xt ) = E(Xc ). See (5.24) for the definition of response func-
tions gc and gt .
It can be seen (see also [3]), that the collision estimator, written not for the pre-
collision density Ψ but for the post-collision density χ (integral equation (5.23))
results in a track-length type conditional expectation estimator Xe : This conditional
expectation estimator reads
9
xend
n−1 & s
:0
l−1
c(xj )
ds′ Σt (s′ )
Xe (ωin ) = ds gt (s) e− 0 . (5.37)
j=1
(1 − pa (xj ))
l=0 xl
Here xend is the nearest point on a boundary along the test flight originating in xl .
The proof is identical to the one given above for the collision estimator, but using
(5.23) for χ as starting point instead (which has the identical mathematical form),
154 D. Reiter
and the definition of the flux φ expressed in terms of χ and the Green’s function G
in (5.22).
With this proof for the estimator Xe , as special case of a collision estimator
after an averaging transformation of the FIE, also the track-length estimator Xt is
proofed to be unbiased for the same response. Because the exponential in Xe is just
the sampling distribution for the flight length between collisions, Xt results from
Xe by randomization: Rather than evaluating the integral over gt exp(. . . ) in Xe ,
one samples the next collision point from this exponential distribution and evaluates
only gt until this point. This is exactly what the track-length estimator Xt does.
This estimator Xe is related to Xt by extending the line integration, which is
restricted to the path from xl to xl+1 in formula (5.36), to the line segment from
xl to xend . I.e., the line integration (scoring) may be extended into a region beyond
the next point of collision, into which the generated history would not necessarily
reach. Xe is especially useful for deep penetration problems. Furthermore, for a
point source Q and a purely absorbing host medium its variance is exactly zero: This
Monte Carlo scheme then has turned into a purely analytic or numerical concept. See
also the similar discussions on zero variance estimators in the introductory chapter
before.
5.6 Some Special Sampling Techniques
5.6.1 Sampling from Collision Kernel C
Methods for random number generation from the collision kernel C (i.e., sampling
the post collision velocity after a collision) are largely case dependent. Usually first
a discrete random number is used to determine the type of collision process k, next
one finds post collision parameters and weight from kernel Ck , see (5.19). In case of
scattering, one frequently encountered sampling distribution is given by the follow-
ing consideration: Take a classical Monte Carlo test-particle, velocity v0 , traveling
in a host medium of other particles, which have a known velocity distribution fb ,
often: fb = fMaxw (vb ), a Maxwellian, with a given temperature Tb . Given that a
collision point has been found (after sampling from the transport kernel T ), the task
is to find (sample) the velocity vc of the collision partner. Once both v0 and vc
are known (and the masses of the particles involved), the new velocities can be cal-
culated from the collision kinetics (e.g., classical orbits, or using differential cross
sections, etc.).
The distribution of velocities of the collision partners going into a collision at
this point in phase space is given as
σ(vrel )vrel fb (vc )

fc (vc ) = . (5.38)
σv(v0 , Tb )
Here vrel = |v0 − vc |) and the fb -averaged rate coefficient c = σ(vrel )vrel fb is the
normalization constant.
Sampling this velocity vc now proceeds as (see introductory chapter before,

Sect. 3.2.2.2):
– Choose g as fb , and set M = max{σ(v)v}/c.
– Sample z1 = vc from fb , and form the ratio: fc (vc )/g(vc ) = σ(vrel )vrel /c.
– Compare M z2 with this ratio, or, what is the same: M cz2 with σ · |v0 − vc |, i.e.
the normalization c cancels out. Accept vc if M cz2 ≤ σ|v0 − vc |, otherwise
repeat this procedure.
Note that although this sampling from the collision kernel C by rejection is possible
without knowing the normalization (i.e., the rate coefficient), this same rate coeffi-
cient still enters in the transport kernel T , and there it is needed indeed to find the
free flight distance of the particles.
5.6.2 Sampling from Transport Kernel T : Null Collisions
We now discuss one special sampling method for the transport kernel T , which is
known under various different names in Monte Carlo literature: Null collisions (in
PIC simulations), pseudo collisions (in fusion plasma applications) or delta-events
(in neutron transport).
Lets take l as coordinate along the flight starting from r, remove all irrelevant
parameters, and assume that the mean free path λ = 1/Σt is independent of the
spatial co-ordinate r ′ , along the trajectory under consideration. Then the transport
kernel T , see (5.20), is simply given by the exponential distribution
T (v, l) = Σt e−Σt ·l (5.39)
and the flight distance l can directly be sampled by the method of inversion of the
chapter before, Sect. 3.2.2.1.
If, however, the parameters of the host medium are varying along the flight path
(either continuously or, in a grid, from cell to cell) then it may sometimes be com-
putationally advantageous to modify the collision rate, such that the mean free path
remains constant along a flight path. I.e., one replaces Σt (r, v) by Σt∗ (v) with
Σt∗ = Σt (v, r) + Σδ (v, r) (5.40)
with Σt∗ = const.

According to the discussions above for non-analog methods then statistical
weights T /T ∗ would appear in the estimators each time a particle is pushed a dis-
tance l∗ sampled from the transport kernel T ∗ , in which Σt has been replaced by
Σt∗ . The following trick allows to avoid these weight corrections: Tactically assume
that the modification of Σt results from an additional, artificial isotope in the back-
ground medium, we call it the δ-isotope.
Out-scattering by this isotope leads to an additional loss term Σδ Φ on the left
hand side of the transport equation (5.12), i.e. now to a total loss term Σt∗ Φ there.
On the left hand side, in the collision integral, we also now add the same artificial
collision density
156 D. Reiter

Σδ (r, v)Φ(r, v) = dv ′ Φ(r, v ′ )Σδ (r, v ′ )δ(v ′ − v) . (5.41)
Clearly, by adding this on both sides of the equation the solution Φ is not altered.
But C is modified to become C ∗
Σt Σδ
C → C∗ = ∗ C + ∗ δ(v ′ − v) . (5.42)
Σt Σt
Rather than applying weight corrections T /T ∗ we now need to sample from the
non-analog kernel collision C ∗ . But this is trivial: A first random number is used to
decide if the collision is real or with the δ-isotope. In the second case the scattering
is actually a null event: The flight continues without any change in velocity, due to
the delta distribution for post collision velocities in the δ-scattering kernel.
Note, that typically Σδ ≥ 0, i.e., the mean free path in the simulation is reduced.
More general δ-scattering operators, also allowing for negative values of Σδ , i.e.,
increased mean free pathes, have also been derived [10]. They seem not to be in
use very much. Although they are unbiased (correct), they require negative weight
corrections.
5.7 An Illustrative Example

We close this chapter by considering one example: A linear transport problem with
all features discussed in this chapter is, for example, given by (dilute) neutral parti-
cle transport from the surrounding vacuum chamber into the hot (fully ionized) hy-
drogen plasma in magnetic fusion devices (here: a tokamak). Atoms and molecules
are formed by recombination and surface erosion of charged particles at these sur-
faces. They penetrate into the plasma, were molecules dissociate (branching pro-
cess), atoms and molecules scatter (the former mainly via resonant charge exchange,
the latter elastically) and they both are ionized or pumped at certain wall segments
(absorption). A view into the machine is shown in Fig. 5.2, left.
The area of main plasma surface interaction (defining the location of the external
source distribution S for neutrals) are the leading edges (upper and lower) of the
toroidally (almost) symmetric belt limiter. 45 typical trajectories (random walks),
computed in 3D space with analog sampling, are also shown in Fig. 5.2, right. The
3D trajectories have been projected into one poloidal section of the torus for this
plot. Densities of atoms, see Fig. 5.3, left and molecules, see Fig. 5.3, right.
The shading has been done with respect to the logarithm of the density, because
at TEXTOR (and even more so in larger tokamaks) the neutral gas density drops
by many orders of magnitude from the edge to the core region. Still its density is
an important quantity, for example for interpretation of charge exchange recom-
bination spectroscopy. Various non-analog methods, together with the conditional
expectation estimating technique, are usually applied to obtain statistically reliable
results.
TEXTOR: with alt–limiter and bump–limiter, CASE: F0.8
SCALING FACTORS
EIRENE TEST PARTICLES
FACT–X = 6.000E+01
H
FACT–Y = 6.000E+01 D
C
0.800
H2
ORIGIN D2
CH2X0 = 1.750E+02 H2+
CH2Y0 = 0.000E+00 D2+
0.400
CH2X0 = HOST MEDIUM (BACKGROUND)
PLOTTED AT H+
Z = 0.000E + 00 D+
C1+
LOCATE(1) C5+
ELECTR.IMPACT(2) C6+
0.000
HEAVY PAR.IMPACT(3)
PHOTON IMPACT(4)
ELASTIC COLL.(5)
CHARGE EXCHANGE(6)
FOKKER PLANCK(7)
SURFACE(8)
–0.400
SPLITTING(9)
RUSSIAN ROULETTE(10)
PERIODICITY(11)
RESTART:A.SPLT.(12)
SAVE:COND.EXP.(13)
RESTAT:COND EXP(14) –0.800
TIME LIMIT(15)
GENERATION LIMIT(16)
FLUID LIMIT(17)
ERROR DETECTED –0.800 –0.400 0.000 0.400 0.800
INT.GRID SURFACE98)
Fig. 5.2. Left: Inside view of TEXTOR Tokamak, FZ-Jülich. Major and minor radius of
torus: 1.75 m and 0.5 m, respectively. Right: 45 typical Monte Carlo trajectories (atoms
and molecules). Analog sampling, Host medium: hydrogen plasma, central electron density:
4·1019 m−3 , central plasma temperature: 1.5 keV
As can be seen the molecular density is compressed underneath the toroidal lim-
iter blade (bright area). This is also the location of the pump-ducts. The atoms pene-
trate deeper into the plasma, for the TEXTOR conditions shown here the density typ-
ically drops from 1018 m−3 at the outer edge to 1013 m−3 in the plasma center. More
details on the particular application of Monte Carlo transport methods to neutral par-
ticle transport in fusion plasmas can be found at the URL: www.eirene.de.
Poloidal distribution of neutral Poloidal distribution of neutral

atomic density in TEXTOR (m–3) atomic density in TEXTOR (m–3)
1014 1015 1016 1017 1018 1019 1014 1015 1016 1017 1018 1019
Fig. 5.3. Neutral particle density in TEXTOR, poloidal distribution. Monte Carlo solution,
with track-length estimator. Left: atom density. Right: molecule density. Shading according
to logarithmic scale for density, density range: 1014 − 1018 m−3
158 D. Reiter
References
1. P. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations. Springer
Series: Applications of Mathematics (Springer Verlag, 1995) 141
2. C. Gardiner, Handbook of Stochastic Methods: for Physics, Chemistry and the Natural
Sciences. Springer Series in Synergetics (Springer Verlag, 2004) 142
3. J. Spanier, E. Gelbard, Monte Carlo Principles and Neutron Transport Problems (Addi-
son Wesley Publication Company, 1969) 143, 144, 153
4. H. Kalos, P. Whitlock, Monte Carlo Methods, Vol. I: Basics (Wiley-Interscience Publi-
cations, John Wiley and Sons, New York, 1986) 143
5. J. Hammersley, D. Handscomb, Monte Carlo Methods (Chapman and Hall, London &
New York, 1964) 143
6. W. Feller, T. Am. Math. Soc. 48 (1940) 143, 149
7. N. Metropolis, A. Rosenbluth, M. Rosenbluth, A. Teller, E. Teller, J. Chem. Phys. 21,
1087 (1953) 143
8. C. Cercignani, The Boltzmann Equation and its Applications. Springer Series: Applied
Mathematical Sciences (Springer Verlag, 1975) 145
9. D. Reiter, J. Nucl. Mater. 196–198 (1992) 150
10. L. Carter, E. Cashwell, W. Taylor, Nucl. Sci. Eng. 48 (1972) 156
6 The Particle-in-Cell Method
David Tskhakaya
Association Euratom-OEAW, Institute of Theoretical Physics, A-6020 Innsbruck, Austria

Andronikashvili Institute of Physics, 380077 Tbilisi, Georgia
Probably the first Particle-in-Cell (PIC) simulations have been made at late 1950s
by Buneman [1] and Dawson [2] who simulated the motion of 100–1 000 particles
including interaction between them. Our day PIC codes simulate 105 –1010 particles
and represent a powerful tool for kinetic plasma studies. They are used practically
in all branches of plasma physics modelling laboratory, as well as astrophysical
plasma. PIC codes have a number of advantages: They represent so-called lowest
codes, i.e. the number of assumptions made in the physical model is reduced to
the minimum, they can simulate high-dimensional cases and can tackle complicated
atomic and plasma-surface interactions. The prize for these advantages is a long
simulation time: Some simulations can take up to 104 hours of CPU. As a result, they
require a high level of optimization and are usually designed for professional use.
With this chapter we aim at introducing the reader to the basics of the PIC sim-
ulation technique. It is based mainly on available literature cited below, but includes
some original unpublished material, too. For the interested reader I can recommend
two classical monographs, [3] and [4], and the papers [5, 6] describing new devel-
opments in this field (see also references cited in the text).
The chapter is organized as follows. The main PIC features are discussed in
Sect. 6.1. In Sect. 6.2 we consider solvers of equations of motion used in PIC and
discuss their accuracy and stability aspects. Initialization of particle distribution,
boundary effects and particle sources are described in Sect. 6.3. In Sects. 6.4 and
6.5 we show how plasma macro-parameters are calculated and discuss solvers of
Maxwell’s equations. Particle collisions are considered in Sect. 6.6. Final remarks
are given in Sect. 6.7.
6.1 General Remarks

The idea of the PIC simulation is trivial: The code simulates the motion of plasma
particles and calculates all macro-quantities (like density, current density and so
on) from the position and velocity of these particles. The macro-force acting on the
particles is calculated from the field equations. The name “Particle-in-Cell” comes
from the way of assigning macro-quantities to the simulation particles. In general,
any numerical simulation model, which simultaneously solves equations of motion
of N particles
D. Tskhakaya: The Particle-in-Cell Method, Lect. Notes Phys. 739, 161–189 (2008)
162 D. Tskhakaya
dX i dV i
=Vi and = F i (t, X i , V i , A) (6.1)
dt dt
for i = 1, . . . , N and of macro fields A = L1 (B), with the prescribed rule of
calculation of macro quantities B = L2 (X 1 , V 1 , . . . , X N , V N ) from the parti-
cle position and velocity can be called a PIC simulation. Here X i and V i are the
generalized (multi-dimensional) coordinate and velocity of the particle i. A and B
are macro fields acting on particles and some macro-quantities associated with par-
ticles, respectively. L1 and L2 are some operators and F i is the force acting on a
particle i. As one can see, PIC simulations have much broader applications then
just plasma physics. On the other hand, inside the plasma community PIC codes are
usually associated with codes solving the equation of motion of particles with the
Newton-Lorentz’s force (for simplicity we consider an unrelativistic case)
dX i dV i ei
=Vi and = (E (X i ) + V i × B (X i )) (6.2)
dt dt mi
for i = 1, . . . , N and the Maxwell’s equations
∂B
∇D = ρ (r, t) , = −∇ × E , D = εE ,
∂t
(6.3)
∂D
∇B = 0 , = ∇ × H − J (r, t) , B = μH ,
∂t
together with the prescribed rule of calculation of ρ and J
ρ = ρ (X 1 , V 1 , . . . , X N , V N ) , (6.4)
J = J (X 1 , V 1 , . . . , X N , V N ) . (6.5)
Here ρ and J are the charge and current densities and ε and μ the permittivity and
permeability of the medium, respectively. Below we will follow this definition of
the PIC codes.
PIC codes usually are classified depending on dimensionality of the code and
on the set of Maxwell’s equations used. The codes solving a whole set of Maxwell’s
equations are called electromagnetic codes, contrary electrostatic ones solve just
the Poisson equation. E.g., the XPDP1 code represents a 1D3V electrostatic code,
which means that it is 1D in usual space and 3D in velocity space, and solves only
the electrostatic field from the Poisson equation [7]. Some advanced codes are able
to switch between different dimensionality and coordinate system, and use electro-
static, or electro-magnetic models (e.g. the XOOPIC code [8]).
A simplified scheme of the PIC simulation is given in Fig. 6.1. Below we con-
sider each part of it separately.
6 The Particle-in-Cell Method 163
Input/Output
Calculation of plasma Solution of Maxwell’s

parameters (n, J,...) equations
Plasma source and Calculation of force

boundary effects acting on particles
Particle collisions Integration of equations

of particle motion
Fig. 6.1. Scheme of the PIC simulation
6.2 Integration of Equations of Particle Motion

6.2.1 Description of Particle Movers
During PIC simulation the trajectory of all particles is followed, which requires so-
lution of the equations of motion for each of them. This part of the code is frequently
called “particle mover”.
A few words about the simulation particles itself. The number of particles in
real plasma is extremely large and exceeds by orders of magnitude a maximum
possible number of particles, which can be handled by the best supercomputers.
Hence, during a PIC simulation it is usually assumed that one simulation particle
consists of many physical particles. Because the ratio charge/mass is invariant to this
transformation, this superparticle follows the same trajectory as the corresponding
plasma particle. One has to note that for 1D and 2D models this transformation can
be easily avoided by choosing of sufficiently small simulated volume, so that the
number of real plasma particles can be chosen arbitrary.
As we will see below, the number of simulated particles is defined by a set of
physical and numerical restrictions, and usually it is extremely large (> 105 ). As a
result, the main requirements to the particle mover are the high accuracy and speed.
One of such solvers represents the so called leap-frog method (see [3] and [4]),
which we will consider in detail.
As in other numerical codes the time in PIC is divided into discrete time mo-
ments, in other words the time is grided. This means that physical quantities are
calculated only at given time moments. Usually, the time step, ∆t, between the
nearest time moments is constant, so that the simulated time moments can be given
via following expression: t → tk = t0 + k∆t and A (t) → Ak = A (t = tk ) with
k = 0, 1, 2, . . ., where t is the time, t0 the initial moment and A denotes any physical
quantity. The leap-frog method calculates particle velocity not at usual time steps tk ,
but between them tk+1/2 = t0 + (k + 1/2) ∆t. In this way equations become time
centred, so that they are sufficiently accurate and require relatively short calculation
time
164 D. Tskhakaya
X k+1 − X k
= V k+1/2 ,
∆t
V k+1/2 − V k−1/2 e V k+1/2 + V k−1/2
= Ek + × Bk . (6.6)
∆t m 2
The leap-frog scheme is an explicit solver, i.e. it depends on old forces from the
previous time step k. Contrary to implicit schemes, when for calculation of particle
velocity a new filed (at time step k + 1) is used, explicit solvers are simpler and
faster, but their stability requires a smaller time step ∆t.
By substituting
3
∆t ′ ∆t2 ′′ 1 ∆t
V k±1/2 = V k ± V + Vk± V ′′′
k + ... ,
2 k 8 6 2
∆t2 ′ ∆t3 ′′
X k+1 = X k + ∆tV k + Vk+ V k + ... (6.7)
2 6
into (6.6) we obtain the order of the error ∼ ∆t2 . It satisfies a general requirement
for the scaling of numerical accuracy ∆ta>1 . In order to understand this requirement
we recall that for a fixed simulated time the number of simulated time steps scales
as Nt ∼ ∆t−1 . Then, after Nt time steps an accumulated total error will scale as
Nt ∆ta ∼ ∆ta−1 , where ∆ta is the scale of the error during one step. Thus, only
a > 1 can guarantee, that the accuracy increases with decreasing ∆t.
There exist different methods of solution of finite-difference equations (see
(6.6)). Below we consider the Boris method (see [3]), which is frequently used in
PIC codes
X k+1 = X k + ∆tV k+1/2 and V k+1/2 = u+ + qE k (6.8)
with u+ = u− + (u− + (u− × h)) × s, u− = V k−1/2 + qE k , h = qB k , s =
2h/(1 + h2 ) and q = ∆t/(2(e/m)). Although these equations look very simple,
their solution represent the most time consuming part of PIC, because it is done
for each particle separately. As a result, the optimization of the particle mover can
significantly reduce the simulation time.
In general, the Boris method requires 39 operations (18 adds and 21 multiplies),
assuming that B is constant and h, s and q are calculated only once at the beginning
of simulation. But if B has one or two components, then the number of operations
can be significantly reduced. E.g., if B z and E x then (6.8) can be reduced to
the following ones
X k+1 = X k + ∆tV k+1/2 ,

x y y
Vk+1/2 = ux− + Vk+1/2 + Vk−1/2 h + qEkx ,
y y
Vk+1/2 = Vk−1/2 (1 − sh) − ux− s (6.9)
x
with ux− = Vk−1/2 +qEkx . They require just 17 operations (8 multiplies and 9 adds),
which can save up to 50% of the CPU time. Some advanced PIC codes include
a subroutine for searching the fastest solver for a given simulation setup, which
significantly decreases the CPU time.
6.2.2 Accuracy and Stability

of the Particle Mover
In order to find correct simulation parameters one has to know the absolute accuracy
and corresponding stability conditions for the particle mover. They are different
for different movers and the example considered below is applied just to the Boris
scheme.
First of all let us consider the accuracy of a Larmor rotation. By assuming
V k−1/2 ⊥ B we can define the rotation angle during the time ∆t from
V k+1/2 V k−1/2
cos (ω∆t) = 2 . (6.10)
Vk−1/2
On the other hand, substituting (6.8) into (6.10) we obtain

(∆tΩ)2
V k+1/2 V k−1/2 1− 4
2 = (∆tΩ)2
(6.11)
Vk−1/2 1+ 4
with Ω = eB/m, so that for a small ∆t we get ω = Ω(1 − (∆tΩ)2 /12) + . . .. E.g.,
for a 1% accuracy the following condition has to be satisfied: ∆tΩ ≤ 0.35.
In order to formulate the general stability condition some complicated calcu-
lations are required (see [4]). Below we present simple estimates of the stability
criteria for the (explicit) particle mover.
Let us consider the equation of a linear harmonic oscillator
d2 X
= −ω02 X , (6.12)
dt2
having the following analytic solution
X = Ae−iω0 t , (6.13)
where A is an arbitrary imaginary number. The corresponding leap-frog equations

take the following form
Xk+1 − 2Xk + Xk−1
= −ω02 Xk . (6.14)
∆t2
We assume that the solution has a form similar to (6.13), Xk = A exp (−iωtk ).
After substitution into (6.14) and performing simple transformations we find

ω∆t ω0 ∆t
sin =± . (6.15)
2 2
Hence, for a stable solution Im(ω) ≤ 0 the condition
ω0 ∆t < 2 (6.16)
166 D. Tskhakaya
is required. PIC often use a much more restrictive condition
ω0 ∆t ≤ 0.2 , (6.17)
giving sufficiently accurate results. Interesting to note that this number has been de-
rived few decades ago when the number of simulation time steps was typically of the
order of Nt ∼ 104 . From (6.15) we obtain ω = ω0 (1 − (ω0 ∆t)2 /24) + . . .. Hence,
a cumulative phase error after Nt steps should be ∆(ω∆t) ≈ (Nt (ω0 ∆t)3 )/24.
Assuming Nt = 104 and ∆ (ω∆t) < π we obtain the condition (6.17). Although
modern simulations contain much larger number of time steps up to Nt = 107 , this
condition still can work surprisingly well.
The restrictions on ∆t described above can require the simulation of unaccept-
ably large number of time steps. In order to avoid these restrictions different implicit
schemes have been introduced: V k+1/2 = F (E k+1 , ...). The difference from the
explicit scheme is that for the calculation of the velocity a new field is used, which
is given at the next time moment.
One of examples of an implicit particle mover represents the so called 1 scheme
(see [9])
X k+1 − X k
= V k+1/2 ,
∆t
V k+1/2 − V k−1/2 e E k+1 (xk+1 ) + E k−1
=
∆t m 2

V k+1/2 + V k−1/2
+ × Bk . (6.18)
2
It can be shown that for a harmonic oscillator (see (6.12))

1
V, X ∼ 2/3
, (6.19)
(ω0 ∆t)
if ω0 ∆t ≫ 1. Hence, the corresponding oscillations are heavily damped and the

solver (see (6.18)) can filter unwanted oscillations. As a result, the condition (6.16)
can be neglected.
6.3 Plasma Source and Boundary Effects

6.3.1 Boundary Effects
From the physics point of view, the boundary conditions for the simulated particles
are relatively easy to formulate: Particles can be absorbed at boundaries, or injected
from there with any distribution. On the other hand, an accurate numerical imple-
mentation of particle boundary conditions can be tricky. The problem is that (i) the
velocity and position of particles are shifted in time (∆t/2), and (ii) the velocity of
Xk
Vk – 1/2
1 2
Xk* + 1 Xk + 1 Xk + 1
Vk* + 1/2 Vk + 1/2 Vk + 1/2
0 L
∗ ∗
Fig. 6.2. Particle reflection (1) and reinjection (2) at the boundaries. Xk+1 and Vk+1/2 denote
the virtual position and velocity of a particle if there would be no boundary
particles are known at discrete time steps, while a particle can cross the boundary at
any moment between these steps.
In unbounded plasma simulation particles are usually reflected at the bound-
aries, or reinjected from the opposite side (see Fig. 6.2). A frequently used reflection
model, so called specular reflection, is given as
refl x,refl x
Xk+1 = −Xk+1 and Vk+1/2 = −Vk+1/2 . (6.20)
Here, the boundary is assumed to be located at x = 0 (see Fig. 6.2). The specular
reflection represents the simplest reflection model, but due to relatively low accuracy
it can cause artificial effects. Let us estimate the accuracy of reflection (see (6.20)).
The exact time when particle reaches a boundary and the corresponding velocity
can be written as
" "
" X "
" k "
t0 = t k + " x " ,
" Vk−1/2 "
" " (6.21)
" X " e
x " k " x
V0 = Vk−1/2 + " x " E .
" Vk−1/2 " m k
Accordingly, the velocity after the reflection will be

1 " "2
" X " e
x,refl " k "
Vk+1/2 = −V0 + ∆t − " x " Ex
" Vk−1/2 " m k
1 " "2
" X " e
x " k "
= −Vk−1/2 + ∆t − 2 " x " Ex . (6.22)
" Vk−1/2 " m k
The second term on the right hand side of (6.22) represents the error made during the
specular reflection, which can cause an artificial particle acceleration and heating.
168 D. Tskhakaya
Particle reinjection is applied usually when the fields satisfy periodic boundary
reinj x,reinj x
conditions. The reinjection is given by Xk+1 = L − Xk+1 and Vk+1/2 = Vk+1/2 ,
where x = L denotes the opposite boundary. If the fields are not periodic, then this
expression has to be modified. Otherwise a significant numerical error can arise.
The PIC codes simulating bounded plasmas are usually modeling particle ab-
sorption and injection at the wall, and some of them are able to tackle complicated
plasma-surface interactions too.
Numerically, particle absorption is the most trivial operation and done by re-
moving of the particle from memory. Contrary to this, for particle injection com-
plicated numerical models can be required. When a new particle is injected it
has to be taken into account that the initial coordinate and velocity are known at
the same time, while the leap-frog scheme uses a time shifted values of them. In
most cases the number of particles injected per time step is much smaller than
the number of particles near the boundary, hence, the PIC code use simple injec-
tion models. For example, an old version of the XPDP1 code (see [7]) has used
x
V k+1/2 = V + e∆t (R − 0.5) E k /m and Xk+1 = R∆tVk+1/2 , which assumes
that particle has been injected at time t0 = tk+1 − R∆t with R being an uniformly
distributed number between 0 and 1. V is the velocity obtained from a given injec-
tion distribution function (usually the Maxwellian one). The BIT1 code [10] uses a
more simpler injection routine
x
V k+1/2 = V and Xk+1 = R∆tVk+1/2 , (6.23)
which is independent of the field at the boundary and hence, insensitive to a possible
field error there. Description of higher order schemes can be found in [11].
Strictly speaking, the plasma-surface interaction processes can not be attributed
to a classical PIC method, but probably all advanced PIC codes simulating bounded
plasma contain elements of Monte-Carlo techniques [12]. A general scheme of
plasma-surface interactions implemented in PIC codes is given below.
When a primary particle is absorbed at the wall, it can cause the emission of
a secondary particle (a special case is reflection of the same particle). In general
the emission probability F depends on the surface properties and primary parti-
cle energy ǫ and incidence angle α. Accordingly, the PIC code calculates F (ǫ, α)
and compares it to a random number R, uniformly distributed between 0 and 1. If
F > R then a secondary particle is injected. The velocity of a secondary particle is
calculated according to a prescribed distribution fsev (V ). Some codes allow mul-
tiple secondary particle injection, including as a special case the thermal emission.
The functions F and fsev are obtained from different sources on surface and solid
physics.
6.3.2 Particle Loading
The particles in a PIC simulation appear, either by initial loading, or via particle in-
jection from the boundary and at a volumetric source. In any case the corresponding
velocities have to be calculated from a given distribution function f (V ). Important
to note, that there is a significant difference between volumetric particle loading

and particle injection from the wall. In the first case the particle velocity is calcu-
lated directly from f (V ). Contrary to this, the velocity of particles injected from
the wall has to be calculated according to V x f (V ), where V x is the component of
the velocity normal to the wall. This becomes clear if we recall that the injection
distribution function is the probability that particles having a distribution f (V ) will
cross the boundary with a given velocity V . For simplicity we do not distinguish
below these two functions denoting them f (V ).
There exist two possibilities of calculation of velocities according to a given
distribution:
(i) The most effective way for a 1D case is to use a cumulative distribution function
&V
f (V ′ ) dV ′
Vmin
F (V ) = V&max
(6.24)
f (V ′ ) dV ′
Vmin
with F (Vmin ) = 0 and F (Vmax ) = 1, representing a probability that the velocity

of particle lays between Vmin and V . By equating this function to a sequence of
uniformly distributed numbers U (or to random numbers R) between 0 and 1
and inverting it, we produce a sequence of V with the distribution f (V ) [3]:
F −1 (U ) = V . (6.25)
The same method can be applied to multi-dimensional cases which can be ef-
fectively reduced to 1D, e.g., by variable separation: f (V ) = f1 (V x ) f2 (V y )
f3 (V z ). Often inversion of (6.25) can be done analytically, otherwise it is done
numerically.
As an example we consider the injection of Maxwell-distributed particles:
f (V ) ∼ V exp(−V 2 /(2VT2 )). According to (6.24) and (6.25) we get
2
/(2VT2 )

F (V ) = 1 − e−V and V = VT −2 ln (1 − U ) . (6.26)
(ii) Another possibility is to use two sets of random numbers R1 and R2 (for sim-
plicity we consider a 1D case) V = Vmin + R1 (Vmax − Vmin ), if f (V ) /(fmax ) >
R2 use V , else try once more. This method requires random number genera-
tors of high level and it is time consuming. As a result, it is usually used when
the method considered above can not be applied (e.g. for complicated multi-
dimensional f (V )).
In advanced codes these distributions are generated and saved at the beginning
of a simulation, so that later no further calculations are required except getting V
from the memory. The same methods are used for spatial distributions f (X), too.
As it was mentioned above, required velocity distributions can be generated by
set of either ordered numbers U or by random numbers R, which are uniformly
170 D. Tskhakaya
distributed between 0 and 1. A proper choice of these numbers is not a trivial task
and depends on the simulated system; e.g., using of random numbers can cause
some noise. In addition, numerically generated random numbers in reality represent
pseudo-random numbers, which can correlate and cause some unwanted effects.
Contrary to this, the distributions generated by a set of ordered numbers, e.g. U =
(i + 0.5) /N , i = 1, . . . , N − 1, are less noisy. On the other hand, in this case the
generated distributions represent a multi-beam distribution, which sometimes can
cause a beam instability [3].
6.4 Calculation of Plasma Parameters and Fields

Acting on Particles
6.4.1 Particle Weighting
All numerical schemes considered up to now can be applied not only to PIC, but to
any test particle simulation too. In order to simulate a real plasma one has to self-
consistently obtain the force acting on particles, i.e. to calculate particle and current
densities and solve Maxwell’s equations. The part of the code calculating macro
quantities associated with particles (n, J, . . . ) is called “particle weighting”.
For a numerical solution of field equations it is necessary to grid the space:
x → xi with i = 0, . . . , N g . Here x is a general 3D coordinate and N g number of
grid cells (e.g. for 3D Cartesian coordinates N g = Ngx , Ngy , Ngz ). Accordingly,
the plasma parameters are known at these grid points: A(x) → Ai = A(x = xi ).
The number of simulation particles at grid points is relatively low, so that one can
not use an analytic approach of point particles, which is valid only when the number
of these particles is very large. The solution is to associate macro parameters to each
of the simulation particle. In other words to assume that particles have some shape
S (x − X), where X and x denote the particle position and observation point.
Accordingly, the distribution moments at the grid point i associated with the particle
“j” can be defined as
Am m
i = aj S (xi − X j ) , (6.27)
where A0i = ni , A1i = ni V i , A2i = ni Vi2 etc. and a0j = 1/Vg , a1j = V j /Vg ,
a2j = (V j )2 /Vg etc. Vg is the volume occupied by the grid cell. The total distribution
moments at a given grid point are expressed as
N

Am
i = am
j S (xi − X j ) . (6.28)
j=1
Stability and simulation speed of PIC simulations strongly depend on the choice
of the shape function S (x). It has to satisfy a number of conditions. The first two
conditions correspond to space isotropy
S (x) = S (−x) , (6.29)

and charge conservation

S (xi − X) = 1 . (6.30)
i
The rest of the conditions can be obtained requiring an increasing accuracy of the
weighting scheme. In order to derive them let us consider a potential generated at
the point x by a unit charge located at the point X, G (x − X). In other words
G (x − X) is the Green’s function (for simplicity we consider a 1D case). Intro-
ducing the weighting scheme we can write the potential generated by some particle
located at X as
m
φ (x) = e S (xi − X) G (x − xi ) , (6.31)
i=1
here e is the particle charge and m the number of nearest grid points with assigned
charge. Expanding G (x − xi ) near (x − X) we get
m

φ (x) = e S (xi − X) G (x − X)
i=1
m ∞ n
(X − xi ) dn G (x − X)
+e S (xi − X)
i=1 n=1
n! dxn
= eG (x − X) + δφ (x) ,
∞ m
1 dn G (x − X)
δφ (x) = e n
S (xi − X) (X − xi )n . (6.32)
n=1
n! dx i=1
The first term on the right hand side of expression (6.32) represents a physical po-
tential, while δφ is an unphysical part of it introduced by weighting. It is obvious to
require this term to be as small as possible. This can be done by requiring
m
n
S (xi − X) (xi − X) = 0 (6.33)
i=1
with n = 1, . . . , nmax − 1. Substituting the expression (6.33) into (6.32) we get

∞
m
1 dn G (x − X) n
δφ (x) = S (xi − X) (X − xi )
n=nmax
n! dxn
i=1
m
∞
n
(X − xi )
∼ G (x − X) S (xi − X) n . (6.34)
i=1 n=nmax
n! (x − X)
Thus, at large distance from the particle (|X − xi | < |x − X|) δφ (x) decreases
with increasing nmax .
The shape functions can be directly constructed from the conditions (6.29),
(6.30) and (6.33). The later two represent algebraic equations for S (xi − X).
Hence, the number of conditions (6.33), which can be satisfied depends on the
172 D. Tskhakaya
maximum number of nearest grid points m to which the particle is weighted. A

simplest shape function assigns density to the nearest grid point (m = 1) and sat-
isfies just the first two conditions (6.29) and (6.30). For a 1D Cartesian coordinates
it is given as S 0 (x) = 1, if |x| < ∆x/2, otherwise S 0 (x) = 0, where ∆x is the
size of spatial grid. This weighting is called zero order or NGP weighting and was
used in first PIC codes (see Fig. 6.3). Although the NGP scheme requires less CPU
time, it is relatively noisy and probably not in use any more. The next, first order
weighting scheme assigns density to two nearest grid points (m = 2) and given as
S 1 (x) = 1 − |x|/(∆x), if |x| < ∆x, otherwise S 1 (x) = 0. Often it is called a
cloud in cell (CIC) scheme. It satisfies one more condition in (6.33), with nmax = 1,
and a more accurate than the NGP scheme. Probably the CIC represents the most
commonly used weighting scheme. Generalization to multi-dimensional Cartesian
coordinates is trivial: S (x) = S (x) S (y) S (z). The higher order schemes (see
[4]) can increase the accuracy of simulation (when other parameters are fixed), but
require significantly longer CPU time.
For completeness I note, that some authors often use another definition of the
particle shape D (x) (e.g. see [4])
xi +∆x/2

S (xi − x) = D (x′ − x) dx′ . (6.35)
xi −∆x/2
The meaning of this expression is that the density at the grid point xi assigned by
the particle located at the point x represents the average of the particle real shape
D (x′ − x) over the area [xi − ∆x/2; xi + ∆x/2] . For the nearest grid point and
a)
Δ x/2 0 Δ x/2 Δx 0 Δx
b)
Δ y/2 Δ y/2
0 0
Δ y/2 Δ y/2
Δ x/2 0 Δ x/2 Δ x/2 0 Δ x/2
Fig. 6.3. Particle shapes for the NGP (left) and linear (right) weightings in 1D (a) and 2D
(b) cases
linear weightings D (x) = δ (x) and D (x) = H (∆x/2 − |x|), respectively. Here
H (x) is the step-function: H (x) = 1, if x > 0, else H (x) = 0.
6.4.2 Field Weighting
After the calculation of charge and current densities the code solves the Maxwell’s
equations (cf. Fig. 6.1) and delivers fields at the grid points i = 0, . . . , N g . These
fields can not be used directly for the calculation of force acting on particles, which
are located at any point and not necessarily at the grid points. Calculation of fields at
any point is done in a similar way as charge assignment and called field weighting.
So, we have E i and B i and want to calculate E (x) and B (x) at any point x. This
interpolation should conserve momentum, which can be done by requiring that the
following conditions are satisfied:
(i) Weighting schemes for the field and particles are same

E (x) = E i S (xi − x) . (6.36)
i
(ii) The field solver has a correct space symmetry, i.e. formally the field can be
expressed in the following form (for simplicity we consider the 1D case)

Ei = gik ρk (6.37)
k
with gik = −gki , where ρk is the charge density at the grid point k. In order to
understand this condition better, let us consider a 1D electrostatic system. By
integrating the Poisson equation we obtain
⎛ x ⎞
b
1 ⎝
E (x) = ρ dx − ρ dx⎠ + Eb + Ea , (6.38)
2ε0
a x
where a and b define boundaries of the system. Assuming that either a and b
are sufficiently far and Ea,b = ρa,b = 0, or the system (potential) is periodic
Eb = −Ea , ρb = ρa , we obtain
⎛x ⎞
i b
1 ⎝
E (xi ) = ρ dx − ρ dx⎠
2ε0
a xi
⎛ ⎞
i−1 Ng −1
∆x ⎝
= (ρk + ρk+1 ) − (ρk + ρk+1 )⎠
4ε0
k=1 k=i
Ng
∆x
= gik ρk (6.39)
4ε0
k=1
174 D. Tskhakaya
with Ng → ∞, ∆x = [b, a]/Ng and

⎧
⎨ 2 if i > k
gik = −2 if i < k . (6.40)
⎩
0 if i = k
Thus, the condition (6.37) is satisfied.
Let us check different conservation constraints.
(i) The self-force of the particle located at the point x can be calculated as follows

Fself = e Ei S (xi − x) = e gik S (xi − x) ρk
i i, k
e 2
= gik S (xi − x) S (xi − x) = (i ↔ k)
Vg
i, k
e2
=− gik S (xi − x) S (xi − x) = −Fself = 0 , (6.41)
Vg
i, k
(ii) The two-particle interaction force is given as

F12 = e1 E2 (x1 ) = e1 E2,i S (xi − x1 )
i
e1 e2
= gik S (xi − x1 ) S (xk − x2 )
Vg
i, k
e1 e2
=− gki S (xi − x1 ) S (xk − x2 )
Vg
i, k

= −e2 gki S (xk − x2 ) ρ1,k = −e2 E1 (x2 )
i, k
= −F21 . (6.42)
Here, Ep denotes the electric field generated by the particle p.

(iii) Momentum conservation
N
dP
=F = ep (E (xp ) + V p × B (xp ))
dt p=1
N
N

= ep E i S (xi − xp ) + ep V p × B i S (xi − xp )
p=1 i p=1 i
N
N

= Ei ep S (xi − xp ) − Bi × ep V p S (xi − xp )
i p=1 i p=1

= Vg (ρi E i + J i × B i ) . (6.43)
i
Representing fields as a sum of external and internal components E i = E ext i +

E int
i and B i = B ext
i , where E int
i is given in expression (6.36), after some trivial
transformations we finally obtain the equation of momentum conservation
dP
= Vg ρi E ext
i + J i × Bi . (6.44)
dt
i
As we see, the conditions (6.36) and (6.37) guarantee that during the force weighting
the momentum is conserved and the inter-particle forces are calculated in a proper
way. It has to be noted that:
(i) We neglected contribution of an internal magnetic field B int .
(ii) The momentum conserving schemes considered above does not necessarily
conserve the energy too (for energy conserving schemes see [3] and [4]).
(iii) The condition (6.37) is not satisfied in general for coordinate systems with
nonuniform grids, causing the self-force and incorrect inter-particle forces.
For exampple, if we introduce a nonuniform grid ∆xi = ∆xαi with αi = αj =i , in
expression (6.39) we obtain
Ng
∆x
E (xi ) = gik ρk (6.45)
4ε0
k=1
with
⎧
⎪
⎨ αk + αk−1 if i > k
k k−1
[b,a]
gik = − α +α if i < k, Ng → ∞, ∆x = Ng i , (6.46)
⎪
⎩ i−1 i
i=1 α
α −α if i = k
so that gki = −gik .
6.5 Solution of Maxwell’s Equations

6.5.1 General Remarks
Numerical solution of Maxwell’s equations is a continuously developing indepen-

dent direction in numerical plasma physics (e.g., see [13]). Field solvers in general
can be divided into three groups:
(i) Mesh-relaxation methods, when the solution is initially guessed and then sys-
tematically adjusted until the solution is obtained with required accuracy;
(ii) Matrix methods, when Maxwell’s equations are reduced to a set of linear finite
difference equations and solved by some matrix method, and
(iii) Methods using the so called fast Fourier transform (FFT) and solving equations
in Fourier space.
176 D. Tskhakaya
According to the type of the equations to be solved the field solvers can be explicit
or implicit. E.g., the explicit solver of the Poisson equation solves the usual Poisson
equation
∇ [ε (x) ∇ϕ (x, t)] = −ρ (x, t) , (6.47)
while an implicit one solves the following equation
∇ [(1 + η (x)) ε (x) ϕ (x, t)] = −ρ (x, t) . (6.48)
Here η (x) is the implicit numerical factor, which arises due to the fact that in its
implicit formulation a new position (and hence ρ) of particle is calculated from a
new field given at the same moment.
As an example we consider some matrix methods, which are frequently used in
different codes. For a general overview of different solvers the interested reader can
use [3] or [4].
6.5.2 Electrostatic Case, Solution of Poisson Equation
Let us consider the Poisson equation in a Cartesian coordinate system

2
∂ ∂2 ∂2 1
+ + ϕ (r) = − ρ (r) , (6.49)
∂x2 ∂y 2 ∂z 2 ε0
and formulate the corresponding finite difference equations. For this we use the
transformation
∂2 aϕi+1 + bϕi + cϕi−1

2
ϕ ⇒ . (6.50)
∂x ∆x2
Other components are treated in a similar way. Our aim is to choose the constants
a, b and c, so that the error will be smallest. From the symmetry constraint we can
write a = c. Then by expanding ϕi±1 at x = xi
∆x2 ∆x3 ∆x4

ϕi±1 = ϕi ± ∆x (ϕi )′ + (ϕi )′′ ± (ϕi )′′′ + (ϕi )(4) . . . ,
" 2 6 24
(6.51)
(k) ∂ k ""
(ϕi ) = ϕ ,
∂xk "x=xi
and substituting in (6.50) we obtain
′′ (4) ∆x4
aϕi+1 + bϕi + cϕi−1 = ϕi (2a + b) + (ϕi ) a∆x2 + (ϕi ) a + . . . . (6.52)
12
Hence, by choosing a = 1 and b = −2a = −2 we get
2
∂ ϕ ϕi+1 − 2ϕi + ϕi−1 ∆x2
2
− 2
= (ϕi )(4) + O ∆x4 . (6.53)
∂x x=xi ∆x 12
Hence, the finite difference equation (6.50) with b = −2 and a = c = 1 has

second order accuracy (∼ ∆x2 ). Usually this accuracy is sufficient, otherwise one
can consider a more accurate scheme
∂2 aϕi+2 + bϕi+1 + cϕi + dϕi−1 + eϕi−2
ϕ ⇒ . (6.54)
∂x2 ∆x2
6.5.2.1 1D Case: Bounded Plasma with External Circuit
An excellent example of an 1D Poisson solver has been introduced in [7]. The solver
is applied to an 1D bounded plasma between two electrodes and solves Poisson and
external circuit equations simultaneously. Later, this solver has been applied to a 2D
plasma model [14]. Below we consider an simplified version of this solver assuming
that the external circuit consists of a voltage (or current) source V (t) (I(t)) and a
capacitor C (see Fig. 6.4)).
The Poisson equation for a 1D plasma is given as
∆x2
ϕi+1 − 2ϕi + ϕi−1 = − ρi . (6.55)
ε0
It is a second order equation, so that we need two boundary conditions for the solu-
tion. The first one can be a potential at the right-hand-side (rhs) wall:
ϕN g = 0. (6.56)
The second condition can be formulated at the left-hand-side (lhs) wall:

∆x/2

ϕ0 − ϕ1 ∆x 1 ∆x
= E(x = ) = E0 + ρ dx ≈ E0 + ρ0 . (6.57)
∆x 2 ε0 2ε0
0
Wall Wall
Plasma
V(t)
I(t) C
Fig. 6.4. Scheme of 1D bounded plasma with external circuit

178 D. Tskhakaya
Recalling that E0 is the electric field at the l.h.s. wall, we can write E0 = σlhs /ε0 ,
where σlhs is the surface charge density there. Hence, the second boundary condition
can be formulated as

∆x ∆x
ϕ0 − ϕ1 = σlhs + ρ0 . (6.58)
ε0 2
In order to calculate σlhs we have to employ the circuit equation.
6.5.2.1.1 Voltage Driven Source with Finite C
In this case charge conservation at the l.h.s. wall can be written as

Qpl + Qci
σlhs (t) = σlhs (t − ∆t) + , (6.59)
S
where Qpl and Qci are the charge deposited during ∆t time on the lhs wall by the
plasma and the external circuit, respectively. S is the area of the wall surface. Qpl
can be calculated by counting the charge of the plasma particles absorbed at the lhs
wall, and Qci can be given as Qci = Qc (t) − Qc (t − ∆t), where Qc is the charge
at the capacitor. Qc can be calculated using the Kirchhoff’s law
Qc
= V (t) + ϕNg − ϕ0 = V (t) − ϕ0 . (6.60)
C
Substituting the expressions (6.59) and (6.60) into (6.58) we obtain

C ∆x
ϕ0 1 + − ϕ1
S ε0

∆x Qpl + C (V (t) − V (t − ∆t) + ϕ0 (t − ∆t))
=
ε0 S

∆x
+σlhs (t − ∆t) + ρ0 . (6.61)
2
6.5.2.1.2 Voltage Driven Source with C → ∞
In this case in spite of (6.58) we use
ϕ0 − ϕN g = ϕ0 = V (t) . (6.62)
6.5.2.1.3 Open Circuit (C = 0 )
In this case we write

Qpl
σlhs (t) = σlhs (t − ∆t) + , (6.63)
S
so that the second boundary condition takes the following form

∆x Qpl ∆x
ϕ0 − ϕ1 = σlhs (t − ∆t) + + ρ0 . (6.64)
ε0 S 2
6.5.2.1.4 Current Driven Source
In this case Qci can be directly calculate from the expression Qci = ∆tI(t). Then
the second boundary condition can be given as

∆x Qpl + ∆tI (t) ∆x
ϕ0 − ϕ1 = σlhs (t − ∆t) + + ρ0 . (6.65)
ε0 S 2
Combining equations (6.55), (6.56) and (6.61)–(6.65) we can write the set of differ-
ence equations in the following matrix form
⎛ ⎞
a b 0 ......... 0 ⎛ ⎞ ⎛ ⎞
⎜ c −2 1 0 . . . . . . 0 ⎟ ϕ0 d/∆x
⎜ ⎟⎜ ⎟ ⎜ ρ1 + e ⎟
⎜0 1 −2 1 0 . . . 0 ⎟ ⎜ ϕ1 ⎟ ⎜ ⎟
⎜ ⎟ ⎜ ϕ2 ⎟ ∆x2 ⎜ ρ2 ⎟
⎜ .. .. .. ⎟⎜ ⎟ ⎜ ⎟
⎜ . . . ⎟ ⎜ . ⎟ = − ⎜ .. ⎟ . (6.66)
⎜ ⎟⎜ . ⎟ ε0 ⎜ . ⎟
⎜0 . . . 0 1 −2 1 0 ⎟ ⎜ . ⎟ ⎜ ⎟
⎜ ⎟ ⎝ϕN g−2 ⎠ ⎝ρN g−2 ⎠
⎝0 . . . . . . 0 1 −2 1 ⎠
ϕN g−1 ρN g−1
0 . . . . . . . . . 0 1 −2
Here, for the cases

(i) Voltage driven source or open circuit: a = −1 − C∆x/Sε0 , b = 1, c = 1,
d = σlhs (t − ∆t) + (Qpl + C(V (t) − V (t − ∆t) + ϕ0 (t − ∆t)))/S + ∆x/2ρ0
and e = 0.
(ii) Short circuit (C → ∞): a = b = c = d = 0 and e = ε0 /(∆x2 )V (t).
(iii) Current driven source: a = −1, b = 1, c = 1, d = σlhs (t − ∆t) +
(Qpl + ∆tI(t))/S + ∆x/2ρ0 and e = 0.
The matrix (6.66) can be solved by standard inverse matrix solvers (e.g., see
[15]).
6.5.2.2 2D Case: Generalization of the 1D Solver
This 1D solver can be generalized for a 2D case. The main difference between
the 1D and 2D cases represent the decomposition of the field and the boundary
conditions at internal objects introduced in 2D (for details see [14]).
Field decomposition is given by
ϕ (t, x, y) = ϕpl (t, x, y) + ϕcon (t) ϕvac (x, y) . (6.67)
Here ϕpl is the plasma field with the zero boundary conditions
1 "
∆ϕpl (t, x, y) = − ρ (x, y) , ϕpl "b = 0 , (6.68)
ε0
where ϕvac is the vacuum field with the unit boundary conditions
180 D. Tskhakaya
∆ϕvac (x, y) = 0 , ϕvac |b = 1 . (6.69)

ϕcon (t) is the field at conductors, which is either calculated self-consistently (for
electrodes), or prescribed (e.g., at the wall). The symbol |b denotes a plasma
boundary.
It’s easy to see that ϕ in (6.67) represents an exact solution of the Poisson equa-
tion with the given boundary conditions. The advantage of this decomposition is
that
(i) the vacuum field has to be calculated just once and
(ii) the Poisson equation (6.68) with the zero boundary conditions is easier to solve,
than one with a general boundary conditions.
As a result, the field decomposition can save a lot of CPU time.
The equation of the plasma field (6.68) is reduced to a set of finite difference
equations
ϕi+1,j − 2ϕij + ϕi−1,j ϕi,j+1 − 2ϕij + ϕi,j−1 1
+ = − ρij (6.70)
∆x2 ∆y 2 ε0
with ϕ|b = 0, which can be solved by matrix method. In a similar way the Laplace
equation (6.69) can be solved for the vacuum field.
The corresponding boundary conditions at the wall of internal objects are calcu-
lated using Gauss’ law
= =
εE dS = ρ dV + σ dS , (6.71)
which in a finite volume representation can be written as

∆y∆z εi+1/2,j Ei+1/2,j − εi−1/2,j Ei−1/2,j

+ ∆x∆z εi,j+1/2 Ei,j+1/2 − εi,j−1/2 Ei,j−1/2 (6.72)
= ρij ∆Vij + σij ∆Sij .
Here ∆Vij and ∆Sij are the volume and area associated with the given grid point
i, j. The electric fields entering in this equation are calculated according to the
following expressions
ϕi,j − ϕi±1,j
Ei±1/2,j = ± ,
∆x (6.73)
ϕi,j − ϕi,j±1
Ei,j±1/2 =± .
∆x
Calculation of the potential at the plasma boundary ϕcon (t) consists in general
of three parts. The potential at the outer wall is fixed and usually chosen as 0. The
potential at the electrodes, which are connected to an external circuit is done in a
similar way as for the 1D case considered above. For calculation of the potential
at the internal object equation (6.72) is solved. We note that the later task is case
dependent and not a trivial one, e.g., the solution depends on the object shape or
material (conductor or dielectric). For further details see [14].
6.5.2.3 2D Case: Cartesian/Fourier Solver
The number of operations to be performed by a matrix solver (per dimension) scales

as ∼ Ng2 and drastically increases with Ng . This number can be significantly re-
duced by using a fast Fourier Transform (FFT) solver, which scales as ∼ Ng ln Ng
(see [15]). This scaling can be significantly improved by using different optimiza-
tions. One example when FFT solvers can be applied is a 2D plasma, which is
bounded in one direction and unbounded or periodic in the other one. In this case
one can apply a discrete Fourier transform along the periodic direction
N y−1
1 k −i2πj/Ny k
Aij = Ai e (6.74)
2π
k=0
with A = ϕ, ρ. By substituting this expression into (6.70) we obtain

1 2 2
k ∆x πk ∆x2 k
ϕi+1 − 2 1 + 2 sin ϕki + ϕki−1 = − ρ . (6.75)
∆y Ny ε0 i
It is easy to see that (6.75) is similar to the one for the 1D model considered above
and can be solved in the same way. The main difference are the boundary conditions
along the x-axis. E.g., if the plasma is bounded between two conducting walls, then
ϕk0 = ϕkNg = 0 if k > 0, and for the k = 0-component we have exactly the same
equation as for 1D with the same boundary condition.
6.5.3 Electromagnetic Case
For sufficiently strong fields and/or very fast processes it is necessary to solve the
complete set of Maxwell’s equations (6.3). It is obvious that corresponding solvers
are more complicated than ones considered above. Correspondingly a detailed de-
scription of them is out of the scope of this work. Here we present just one of
possible schemes, which is implemented in the XOOPIC code [8].
In order to ensure high speed and accuracy it is convenient to introduce a leap-
frog scheme also for the fields. The leap-frog scheme is applied to the space coordi-
nates too, which means that electric and magnetic fields are shifted in time by ∆t/2,
and different components of them are shifted in space by ∆x/2. In other words:
(i) E is defined at t = n∆t and B and J at t = (n + 1/2)∆t time moments.
(ii) “i” components of the electric field and current density are defined at the points
xi + ∆i /2, xk and xj , and same component of the magnetic field at xi , xk +
∆k /2 and xj + ∆j /2. Here xs and ∆s for s = i, k, j denote the grid point
and grid size along the s-axis. i, k and j denote the indices of the right-handed
Cartesian coordinate system.
As a result the finite-differenced Ampere’s and Faraday’s laws in Cartesian coordi-
nates can be written as
182 D. Tskhakaya
i,t i,t−∆t
Di+1/2,k,j − Di+1/2,k,j
∆t
j,t−∆t/2 j,t−∆t/2
Hi+1/2,k+1/2,j − Hi+1/2,k−1/2,j
=
∆xk
k,t−∆t/2 k,t−∆t/2
Hi+1/2,k,j+1/2 − Hi+1/2,k,j−1/2 i,t−∆t/2
− − Ji+1/2,k,j , (6.76)
∆xj
i,t+∆t/2 i,t−∆t/2
Bi,k+1/2,j+1/2 − Bi,k+1/2,j+1/2
∆t
k,t k,t j,t j,t
Di,k+1/2,j+1 − Di,k+1/2,j Di,k+1,j+1/2 − Di,k,j+1/2
= − . (6.77)
∆xj ∆xk
The solver works in the following way. The equations ∇D = ρ and ∇B = 0

prescribe the initial electromagnetic fields. They remain satisfied due to Ampere’s
and Faraday’s law, which are solved from the finite difference equations (6.76) and
(6.77). The corresponding boundary conditions strongly depend on the simulated
plasma model. E.g., at the wall representing an ideal conductor E = B⊥ = 0,
where and ⊥ denote the components parallel and normal to the wall, respectively.
As one can see, the components of the electromagnetic field obtained from
(6.76) and (6.77) are defined at different time moments and spatial points than for
the particle mover. Moreover, the current density obtained from the particle position
is not defined at t = (n + 1/2) ∆t as it is required for Ampere’s law (6.76). Hence,
it is necessary to additionally couple the particle and field solvers [3].
It is useful to derive a general stability criteria for the electromagnetic case. For
this we consider electromagnetic waves in vacuum
A = A0 eikx−ωt , (6.78)
with A = E, B. After substitution of (6.78) into field equations (6.76) and (6.77)
and trivial transformations we obtain
2 3 2
sin (ωt/2) sin (ki xi /2)
= , (6.79)
c∆t i=1
∆xi

where c = 1/ε0 μ0 is the speed of light. It is obvious that the solution is stable
(i.e. Imω < 0) if
1 3 2−1
2
1
(c∆t) < . (6.80)
i=1
∆x2i
Often, this so called Courant condition requires unnecessary small time step for the
particle mover. In order to relax it one can introduce separate time steps for field and
particles. This procedure is called “sub-cycling” [3].
The routines described above namely: The field solver, the particle mover with
proper boundary conditions and the particle source, weighting of particles and fields
represent a complete PIC code in its classical understanding. Starting from 1970s
a number of PIC codes include different models of particle collisions. Today the
majority of PIC codes include at least some kind of collision operator, which have
to be attributed to a PIC technique. These operators are usually based on statistical
methods and correspondingly are called Monte Carlo (MC) models. Often different
authors use the name PIC-MC code. The MC simulations represent an independent
branch in numerical physics and the interested reader can find more on MC method
in corresponding literature (e.g., see Part II). Below we consider the main features
of the MC models used in PIC codes.
6.6 Particle Collisions

6.6.1 Coulomb Collisions
The forces acting on the particles in a classical PIC scheme correspond to macro
fields, so that the simulated plasma is assumed to be collisionless. In order to simu-
late a collisional plasma it is necessary to implement corresponding routines. More-
over, the field solver is organized in such a way that self-forces are excluded, hence,
the field generated by a particle inside the grid cell decreases with decreasing dis-
tance from this particle. As a result, inter-particle forces inside grid cells are un-
derestimated (see Fig. 6.5). Hence, they can be (at least partially) compensated by
introducing the Coulomb collision operator.
5
PIC
1D
2D
4 3D
~1/r
3
~1/r2
~const
1
~r
0
0 0.2 0.4 0.6 0.8 1
r/Δr
Fig. 6.5. Inter-particle forces inside grid cell

184 D. Tskhakaya
The first codes simulating Coulomb collisions were the particle-particle codes
simulating the exact interaction between each particle pair. Of course this method,
which scales as N 2 can not be used in contemporary PIC simulations. Later different
MC models have been developed.
The simplest linear model assumes that the particle distribution is near to a
Maxwellian and calculates an average force acting on particles due to collisions
[16]. Although this is the fastest operator it probably can not be used for most of
kinetic plasma simulations, when particle distributions are far from the Maxwellian.
A nonlinear analogue of this model has been introduced in [17]. Here, the exact col-
lision inter-particle inter-particle is obtained from the particle velocity distribution
function. Unfortunately, the number of particles required for building up a suffi-
ciently accurate velocity distribution is extremely large (see [18]), which makes it
practically impossible to simulate large systems.
Most of nonlinear Coulomb collision operators used in our day PIC codes are
based on the binary collision model introduced in [19]. In this model each particle
inside a cell is collided with one particle from the same cell. This collision operator
conserves energy and momentum and it is sufficiently accurate. The main idea is
based on the fact that there is no need to consider Coulomb interaction between two
particles separated by a distance larger than the Debye radius λD (e.g., see [20]).
Since a typical size of the PIC cell is of the order of λD , the interaction between the
particles in different cells can be neglected. This method consists of the following
three steps (see Fig. 6.6):
(i) First, all particles are grouped according to the cells where they are located;
(ii) Then these particles are paired in a random way, so that one particle has only
one partner;
(iii) Finally, the paired particles are (statistically) collided.
The latter is not trivial and we consider it in some detail.
Simulation
1. 1 2 ... Nc
particles
Grid cells
2. 3a. 3b.
Fig. 6.6. Binary collision model from [19]. 1. Grouping of particles in the cells; 2. Randomly
changing the particle order inside the cells; 3a. Colliding particles of the same type; 3b.
Colliding particles of different types
According to the momentum and energy conservation constrains, we can express

the after-collision velocities of particles V ′1 , V ′2 via their before-collision values V 1
and V 2 [21]
m2 m1
V ′1 = V 1 + ∆V and V ′2 = V 2 − ∆V (6.81)
m1 + m2 m1 + m2
with ∆V = V ′ − V , V = V 2 − V 1 , V ′ = V ′2 − V ′1 and V ′2 = V 2 . As we see
the calculation can be reduced to the scattering of the relative velocity V

∆V = O (χ, ψ) − 1 V , (6.82)
where O (α, β) is the matrix corresponding to the rotation on angles α and β (see
[19]). χ and ψ represent the scattering and azimuthal angles.
The scattering angle χ is calculated from a corresponding statistical distribution.
By using the Fokker-Plank collision operator one can show (see [22]) that during the
time ∆tc the scattering angle has the following Gaussian distribution
χ −χ2 /(2χ2 )
P (χ) = 2 e ∆tc ,
χ ∆tc
(6.83)
2 e2 e2 n∆tc Λ
χ ∆tc ≡ 1 22 2 3 .
2πε0 μ V
Here e1,2 and μ = m1 m2 / (m1+ m2 ) denote the charge and reduced mass of the
collided particles, respectively. n and Λ are the density and the Landau logarithm
[20], respectively. The distribution (6.83) can be inverted to get
3
χ = −2 χ2 t ln R1 . (6.84)
Correspondingly, the azimuthal angle ψ is chosen randomly between 0 and 2π
ψ = 2πR2 . (6.85)
R1 and R2 are random numbers between 0 and 1.
Finally, the routine for two-particle collision is reduced to the calculation of
expressions (6.81), (6.82), (6.84), and (6.85).
The Coulomb interaction is a long range interaction, when a cumulative effect of
many light collisions with small scattering angle represents the main contribution to
the collisionality. Accordingly,
the time step for the Coulomb collisions ∆tc should
be sufficiently small: χ2 ∆t (V = VT ) ≪ 1. It is more convenient to formulate
this condition in the equivalent following form
e21 e22 nΛ
νc ∆tc ≪ 1 and νc = , (6.86)
2πε20 μ2 VT3
where νc is the characteristic relaxation time for the given Coulomb collisions [23]
and VT is the thermal velocity of the fastest collided particle species. Although usu-
ally ∆tc ≫ ∆t, the binary collision operator is the most time consuming part of the
PIC code. Recently, in order to speed up the collisional plasma simulations a number
of updated versions of this operator have been developed (e.g., see [6, 24] and [25]).
186 D. Tskhakaya
6.6.2 Charged-Neutral Particle Collisions
Under realistic conditions the plasma contains different neutral particles, which suf-
fer collisions with the plasma particles. The corresponding collision models used in
PIC codes can be divided in two different schemes: Direct Monte-Carlo and null-
collision models.
The direct Monte-Carlo model is a common MC scheme when all particles carry
information about their collision probability. In this scheme all particles have to be
analyzed for a collision probability. Hence, the direct MC requires some additional
memory storage and sufficiently large amount of the CPU time.
The null collision method (see [26] and [27]) requires a smaller number of par-
ticles to be sampled and it is relatively faster. It uses the fact that in each simula-
tion time step only a small fraction of charged particles suffer collisions with the
neutrals. Hence, there is no necessity to analyze all particles. As a first step the
maximum collision probability is calculated for each charged particle species

Pmax = 1 − e−σn∆s max = 1 − e−(σV )max nmax ∆t , (6.87)

where σ = σi (V ) and n are the total collision cross-section, i.e. the sum of
cross-sections σi for all possible collision types and the neutral density, respectively.
∆s = V ∆t is the distance, which the particle travels per ∆t time. Accordingly, the
maximum number of particles which can suffer a collision per ∆t time is given
as Nnc = Pmax N ≪ N . As a result only Nnc particle per time step have to be
analyzed. These Nnc particles are randomly chosen, e.g., by using the expression
i = Rj N with j = 1, . . . , Nnc , where i is the index of the particle to be sampled
and Rj are the random numbers between zero and one. The sampling procedure
itself includes the calculation of the collision probability of a sampled particle and
choosing which kind of collision it should suffer (if any). For this a random number
R is compared to the corresponding relative collision probabilities: if
P1 1 − e−σ1 V n∆t nσ1 (V ) V

R≤ = ≈ , (6.88)
Pmax Pmax (σV )max nmax
a type one collision takes place; else if
P1 + P2 nV (σ1 (V ) + σ2 (V ))
R≤ ≈ , (6.89)
Pmax (σV )max nmax
a type two collision takes place, and so on. If

Pi nV σi (V )
R> ≈ (6.90)
Pmax (σV )max nmax
no collision takes place.

The difference between the nonlinear and linear null collision methods is the
way how the collided neutral particle is treated. In the linear models the neutral
velocity is picked up from the prescribed distribution (usually the Maxwellian dis-
tribution with the given density and temperature profiles). Contrary to this, in the
nonlinear case the motion of neutral particles is resolved in the simulation, and the
collided ones are randomly chosen from the same cells, where the colliding charged-
particle are.
When the collision partners and corresponding collision types are chosen, the
collision itself takes place. Each collision type needs a separate consideration, so
that here we discuss the general principle.
The easiest collisions are the ion-neutral charge-exchange collisions. In this case
the collision is reduced to an exchange of velocities
V ′1 = V 2 and V ′2 = V 1 . (6.91)
The recombination collisions are also easy to implement. In this case the col-
lided particles are removed from the simulation and the newly born particle, i.e. the
recombination product, has the velocity derived from the momentum conservation
m1 V 1 + m2 V 2
V new = . (6.92)
mnew
The elastic collisions are treated in a similar way as the Coulomb collisions
using (6.81). The scattering angle depends on the given atomic data. E.g., often it is
assumed that the scattering is isotropic
cos χ = 1 − 2R . (6.93)
In order to save computational time during the electron-neutral elastic collisions the
neutrals are assumed to be at rest. Accordingly, in spite of resolving (6.81) a simpli-
fied expression is used for the calculation of the after-collision electron velocity
4
2me
Ve′ ≈ Ve 1 − (1 − cos χ) . (6.94)
Mn
Excitation collisions are done in a similar way as the elastic ones, just before the
scattering the threshold energy Eth is subtracted from the charged particle energy
4
′ Eth
V ⇒ V = V 1− ⇒ scattering ⇒ V ′′ . (6.95)
E
Important to note is that one has to take care on the proper coordinate system, e.g.,
in (6.95) the first transform should be done in a reference system, where the collided
neutral is at rest.
Implementation of inelastic collisions when secondary particles are produced
is case dependent. E.g., in electron-neutral ionization collisions, first the neutral
particle is removed from the simulation and a secondary electron-ion pair is born.
The velocity of this ion is equal to the neutral particle velocity. The velocity of
electrons is calculated in the following way. First, the ionization energy is subtracted
188 D. Tskhakaya
from the primary electron energy and then the rest is divided between the primary
and secondary electrons. This division is done according to given atomic data. After
finding these energies the electrons are scattered on the angles χprim and χsec .
In a similar way the neutral-neutral and inelastic charged-charged particle colli-
sions can be treated.
6.7 Final Remarks

The material presented above represents just the basics of PIC codes. Nowadays
PIC codes use different optimizations including paralleling of the code and memory
optimizations (see [5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21,
22, 23, 24, 25, 26, 27, 28]), developing of more efficient collision operators (see
[6, 24, 25, 29]) and grid-less solvers (see [30] and [31]).
It has to be noted, that in the present work we do not consider the analytic
theory of the PIC simulation, which can provide useful information on possible
numerical oscillation modes and can help to better understand number of conditions
to be satisfied in PIC simulation. The interested reader can find the corresponding
material in [3] and [4].
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188
7 Gyrokinetic and Gyrofluid Theory and Simulation
of Magnetized Plasmas
Richard D. Sydora
Department of Physics, University of Alberta, Edmonton, Alberta, Canada T6G 2G7
Charged particle dynamics in slowly varying electromagnetic fields leads to a

guiding center formalism in which the particle motion can be described as the sum of
a fast gyromotion about the guiding center and a slower drift velocity. Collective os-
cillations in the magnetized plasma, with frequency below the cyclotron frequency
can be effectively studied using this approach since the detailed particle gyration
and associated fast time scale does not have to be followed. It is possible to retain
the gyro-averaged effects of particle cyclotron motion and include their influence on
the self-consistent electric and magnetic fluctuations. Some of the physical proper-
ties of these gyrokinetic plasmas in the discrete and continuum limit are presented
along with the particle simulation approach. Applications of the simulation model
to current-driven and current gradient-driven instabilities are used to illustrate the
techniques.
7.1 Introduction
Magnetized plasmas contain a wide range of time and space scales that span many
orders of magnitude. This makes realistic simulations of time-dependent phenom-
ena very difficult and capturing all the scales within a single calculation in still
beyond reach of our present computational capabilties. Charged particle motion in
time-varying, nonuniform electric and magnetic fields, in the presence of collective
effects and collisions is very complex. This complexity arises because the inter-
particle forces have both a short and long range nature. For the short range, the
cross-section of Coulomb collisions strongly decreases with increasing energy of
the interacting particles and for lower densities. Therefore, the mean free path of
the charged particles in such physical systems as high temperature magnetically-
confined fusion plasmas or in low density space and astrophysical plasmas becomes
enormous; hundreds to thousands of meters or kilometers. The particle trajectories
become more influenced by the electromagnetic forces which are determined by ex-
ternal sources and internal processes. An external source could be a magnetic field
which is necessarily confined to a finite volume and is generally curved and inho-
mogeneous. The Lorentz force that acts of the particles binds them to the magnetic
field and forces them to follow the field lines. The internal processes created by col-
lective plasma motions have a range of scales and these also modify the trajectories
leading to cross-field or anomalous plasma transport.
R. D. Sydora: Gyrokinetic and Gyrofluid Theory and Simulation of Magnetized Plasmas, Lect. Notes Phys. 739,
191–219 (2008)
192 R. D. Sydora
In this chapter we are concerned with collective plasma effects which reside in
the low frequency range ω < Ωi , where Ωi = eB/mi is the ion cyclotron fre-
quency. This is motivated by the experimental observation [1, 2, 3] that the domi-
nant contribution to low frequency microturbulence in magnetically confined plas-
mas originate from temporal and spatial scales √ that are associated
with the drift
frequency ω ≃ Ωi (ρs /L⊥ ), where ρs = mi Te /(eB) = Te /Ti ρi and ρi is
the thermal ion gyroradius defined as ρi = vti /Ωi with ion thermal velocity vti =

Ti /mi . Since a typical scale separation between ρs and L⊥ in experiment is ρs /L⊥
∼ 10−3 –10−2, this makes ω/Ωi of this order and therefore kinetic simulations us-
ing the complete set of Vlasov-Maxwell equations or particle simulations based on
the Lorentz-Newton and Maxwell’s equations quite impractical.
Another important experimental indication of important physical scales, partic-
ularly relevant to convective transport in inhomogeneous magnetized plasmas, is
the observed peaks in the wavenumber spectra around k⊥ ρs ≃ 0.2 − 0.5 in den-
sity fluctuation measurements [4, 5]. Therefore, the electric and magnetic fields
associated with these fluctuations must include finite-gyroradius effects. The ob-
served characteristics of low frequency turbulent fluctuations suggest an ordering
ω/Ωi ∼ ρi /L⊥ ∼ O(ǫ) and k⊥ ρi ∼ O(1), which helps in deriving reduced kinetic
equations for the evolution of the phase space distribution function that removes all
dependence on gyrophase. Thus, the detailed cyclotron time scale does not have to
be explicitly followed. Analytical orbit averaging has been used to derive energy
and phase space preserving drift-kinetic and gyrokinetic equations of motion.
Gyrokinetic theory was originally developed in the 1960’s as an extension to
guiding center theory [6] to include the finite gyroradius effects on low frequency,
short perpendicular wavelength electrostatic fluctuations in general magnetic geom-
etry [7, 8]. In 1978 Catto [9] develops an important approach for gyrokinetic equa-
tions by first transforming the particle coordinates to the guiding center variables
in the Vlasov equation (or collisionless Boltzmann equation) before performing the
gyrophase averaging. This key result then allowed for a more consistent develop-
ment of the linear theory [10, 11], an early formulation of nonlinear gyrokinetic
theory [12] and a gyrokinetic particle simulation model [13]. In the early 1980’s
two important advances in guiding center theory occur. First, Boozer [14] develops
particle drift motion in magnetic coordinates which greatly simplifies the analysis of
orbits in complex geometry and second, Littlejohn [15] develops guiding center the-
ory based on action variational and Lie perturbation methods to obtain phase space
conserving equations. This was soon followed by an extension of the method to gy-
rokinetic theory [16]. In the late 1980’s Hahm [17], Brizard [18] and co-workers
extend the methodology to general magnetic geometry. There is an excellent recent
review on the rigorous perturbation approach using action variational methods [19].
Improved numerical algorithms for performing the gyrophase averaging [20] in 2D
were also made in the late 1980’s as well as the first 3D gyrokinetic simulations
[21, 22]. In the 1990’s 3D gyrokinetic particle simulations with general magnetic
geometry advanced with the rapid growth in massively parallel computational facili-
ties [23, 24, 25]. Recently 3D toroidal geometry simulations have made it possible to
7 Gyrokinetic and Gyrofluid Theory and Simulation of Magnetized Plasmas 193
study turbulent fluctuations in magnetically confined fusion plasmas from about the
scale size of the ion gyroradius (typically a few millimeters) up to the minor radius
of the cross-section (about 0.5–1 m). The anomalous transport coefficients obtained
from the models, such as the ion heat diffusivity are well within the experimental
range [26]. The anomalous electron thermal diffusivity is not well understood and
there are indications that fluctuations scales near the electron gyroradius need to be
included [27].
The basic gyrokinetic equations can also be used to formulate reduced or contin-
uum equations representing the time evolution of moments such as density, current
and pressure [16, 28, 29, 30, 31]. The two-fluid equations can be used to capture the
different dynamics of electrons and ions parallel and perpendicular to the magnetic
field and the coupling between both species by electric and magnetic field interac-
tions. These, so-called gyrofluid models are able to incorporate the finite gyroradius,
ion polarization drift and coupling to sound waves. There are many computational
advantages in using these continuum-based models in addition to efficiency, such as
the clear indentification of important fluid-type nonlinearities, inclusion of sources
and handling of more collisional regimes.
In this chapter, we present some of the key steps in development of gyrokinetic
and gyrofluid models starting with single particle motion in a magnetic field. Once
the basic transformation from gyro-center to gyrophase averaged coordinates is es-
tablished, it is possible to construct a kinetic theory or self-consistent gyrokinetic
Vlasov-Poisson-Ampere equations which form the basis of an N -body particle sim-
ulation model. The set of equations possess an energy invariant which can be used to
precisely monitor the exchange of energy among the fields and particles and the sys-
tem is inherently phase space conserving. The moments of the fundamental gyroki-
netic equations lead to a set of gyrofluid partial differential equations which form
the basis of magnetized fluid simulations in the low frequency regime and some of
the steps in the derivation are presented. The elements of the gyrokinetic particle
simulation approach are discussed along with the fundamental normal modes and
equilibrium statistical properties of the model. To illustrate the techniques, the re-
sults from a couple of example simulations in simpler geometry (slab or Cartesian)
are presented and are related to current-driven and current gradient-driven microin-
stabilities as a potential source of low frequency turbulence in laboratory and space
plasmas.
7.2 Single Particle Dynamics

Since the distribution function is conserved along particle trajectories in colli-
sionless kinetics, it is useful to first discuss single particle dynamics. We be-
gin by examining the classical treatment of charged particle motion based on the
Newton-Lorentz form and then use this to motivate the guiding center transfor-
mation [6, 32] and drift dynamics. Then, the gyro-drift formulation is presented
where the resultant equations contain only the slower time scales of interest such
as the transit and drift time scales but retain the gyro-averaged effects of particle
194 R. D. Sydora
cyclotron motion. This leads to computationally efficient methods for the N -body
dynamics. To obtain the gyro-drift equations we utilize the more modern approach
using action-variational Lie perturbuation methods applied to single particle motion
[15, 16] under the influence of strong ambient magnetic field and electromagnetic
perturbation. This preserves the Hamiltonian structure of the system under coordi-
nate system changes.
7.2.1 Full Particle and Drift Motion
When the dominant force acting on the individual particles in a plasma is electro-
magnetic, the equations of motion for a particle with mass m and charge q in the
electromagnetic fields E(r, t), B(r, t) are
dx
=v, (7.1)
dt
dv q
= (E + v × B) . (7.2)
dt m
Each of the N plasma particles satisfy such equations and the solution of the 6N
equations are the particle trajectories. These trajectories determine the local charge
and current density

ρ(r, t) = qj δ(r − r j (t)) ,
j

J (r, t) = v j qj δ(r − rj (t)) , (7.3)
j
which become the sources in Maxwell’s equations.

For the situation with a strong ambient magnetic field, the particle motion can
be effectively described as a fast gyro-motion about a slowly moving guiding center
or gyro-center. When the electromagnetic fields are slowly varying, on a time scale
longer than the gyro-period, we may treat the gyro-phase as an ignorable coordinate
and effectively utilize the adiabatic invariant associated with the wide separation of
time scales. This can reduce the dynamical phase space variables from six to four.
Before a more formal presentation of gyro-drift dynamics, it is useful to present a
simplified example of drift motion to motivate the guiding center transformation.
If we consider the case where electric and magnetic fields are constant is space
and time, and orthogonal E ⊥ B, then the forces in the direction of the magnetic
field vanish so that the motion along the field line is uniform. In other words, v =
v (t = 0), where v = v · b is the particle velocity along the homogeneous and
uniform magnetic field and b = B/B is the unit vector in the direction of B. For
the motion perpendicular to the field line, we introduce a velocity u which is related
to v by
v = u + v E + v b , (7.4)
where we define v E = E × B/B 2 describing uniform motion in a direction perpen-

dicular to E and B, assumed constant. If we substitute (7.4) into (7.2) we obtain
du q
= u×B , (7.5)
dt m
which has the harmonic solution
u = u(e1 cos(θ) − e2 sin(θ)) , (7.6)
where θ = Ωc t − θ0 is the phase angle of gyro-rotation and Ωc = qB/m is the

gyrofrequency. The position of the charge particle gyrating along a circle centered
at position R on a field line with constant velocity u is
ρ = ρ(e1 sin(θ) + e2 cos(θ)) (7.7)
and ρ = u/Ωc is the gyroradius. Particles with opposite sign of charge move along
the gyro-orbits in opposite directions. The position of the particle with respect to the
gyro-center and gyroradius is r(t) = R(t) + ρ(t) and this is shown schematically
in Fig. 7.1. The gyro-center moves with a velocity
Tc
dR 1
= v dt = v b + v E , (7.8)
dt Tc
0
where Tc = 2π/Ωc is the gyroperiod.

The particle trajectory can be described as a helix around the gyro-center due to
the combined ballistic parallel and perpendicular gyrational motion and this helix
slowly drifts with velocity v E in the cross-field direction. To lowest order, this slow
drift is identical for electrons and ions because it is independent of mass and charge.
Therefore, there is no current density associated with it. An adiabatic invariant can
e1
B
B
ρ
θ
ρ
e2
r
R
Fig. 7.1. Charged particle orbit in an ambient magnetic field with gyroradius vector ρ and
exact particle position r with respect to the guiding center position R
196 R. D. Sydora
also be derived from this time scale separation. If we consider the current associated
with the particle gyro-motion I = q/Tc , the flux enclosed by the current loop is the
magnetic moment μ = Iπρ2 which is therefore
Ωc 2 mu2
μ=q πρ = . (7.9)
2π 2B
We next consider the electromagnetic fields that are no longer constant but vary
in space and time. Computational advantages over following exact particle motion
arise when an ordering of the multiple scales is applied. If we introduce a character-
istic length L and time τ over which the fields vary and these satisfy
ρ 1
≪1, ≪1, (7.10)
L Ωc τ
then we can extend the basic drift dynamics equations. Since Ωc−1 is proportional
to m/q this may be adopted as a smallness parameter and allows us to obtain the
inertial corrections to the drift motion and magnetic moment. To lowest order we
have shown that the gyro-center position is given by a vector version of the simple
uniform field result. However, the exact gyro-center position is more complicated.
We may re-write the original Lorentz-Newton equations (7.1) and (7.2), in terms of
guiding center coordinates (R, v⊥ , v , φ), making use of cylindrical coordinates
u = v b + v⊥ (e1 cos(φ) + e2 sin(φ)) = v − v E (7.11)
and ρ = b × u/Ωc , R = r − ρ, with local orthogonal unit vectors (e1 , e2 , b)

satisfying e⊥ = e1 cos(φ) + e2 sin(φ) and eφ = b × e⊥ = −e1 sin(φ) + e2 cos(φ).
These transformation relations lead to the gyro-center equations of motion
dR 1 dv E d b
= v b + v E + b× +u× ( ), (7.12)
dt Ωc dt dt Ωc
dv⊥ db dv E
= −e⊥ · (v + ), (7.13)
dt dt dt
dv q db db
= E + v E · + v⊥ e⊥ · , (7.14)
dt m dt dt
dφ de1 1 db dv E
= −Ωc − e2 · − eφ · (v + ), (7.15)
dt dt v⊥ dt dt
where the total time dervative is taken along the particle trajectory d/dt = ∂/∂t +
(v b + v E + v⊥ e⊥ ) · ∇. In order to express the fields as a function of the guiding
center position, R, we use a Taylor expansion around this point b(r, t) = b(R, t) +
ρ · ∇b(R, t) + . . ..
From these transformed equations we note several important points.
(i) The ordering we established indicates that the fastest timescale is gyromotion
since dφ/dt ≃ −Ωc is the largest term.
(ii) E must be small because the q/m factor in front of it is large. If E were large,
the particles would accelerate on the time scale of gyration and in opposite
directions. This would create a charge separation and generate electric fields on
the shortest time scale, violating our initial assumption of slowly varying fields.
(iii) The parallel and perpendicular velocities are slowly varying and may be con-
sidered constant on the fast gyrofrequency time scale.
(iv) Lastly, the inertial corrections to the gyro-center motion are obtained such as
the polarization drift, the third term on the right hand side of (7.12), which is
associated with time varying electric fields and is much larger for the ions due
to its proportionality to mass.
It is possible to continue working with these equations and derive gyrophase inde-
pendent drift motion. We will not go through the detailed steps here but state the
result [32] for the guiding center drift velocity to first order in the parameter m/q is
2

dR v⊥ v2 ∇B
= v + b · ∇ × b b + vE + ⊥ b ×
dt 2Ωc 2Ωc B

b db dv E
+ × v ′ + ′ , (7.16)
Ωc dt dt
where d/dt′ = ∂/∂t + (v b + v E ) · ∇ and all fields are taken at the guiding center
position. The first term on the right hand side of (7.16) is the particle transit motion
along the field, the second term is the E × B drift motion and the third term is the
gradient-B drift. This gradient-B drift arises because, as the particle gyrates in the
inhomogeneous field, it periodically experiences stronger and weaker field strengths
along its gyro-orbit, leading to a net drift motion in the direction perpendicular to B
and ∇B. The final two terms in (7.16) are the curvature drift and polarization drift
effects, respectively.
7.2.2 Gyro-Drift Particle Motion

If the electromagnetic field variations occur on the spatial scale of the gyro-orbit
then we must include the gyrophase averaging effects in the equations of motion.
In order to determine the proper gyrophase-averaged equations of motion we must
make a transformation from gyro-center to gyrophase-averaged coordinates. A par-
ticularly powerful way to obtain these equations is to use a combination of one-form
mechanics and Lie perturbation theory [19]. The one-form or Lagrangian com-
pletely determines the equations of motion which are obtained by the least action
principle. Lie perturbation theory can be used to generate equations of motion that
are gyrophase independent to any desired order. In this formalism the particle dy-
namics transforms simply under coordinate change since a one-form transforms co-
variantly. The coordinate transformations are general and need not be canonical and
are guaranteed to be phase space preserving.
To illustrate the procedures, we consider straight magnetic fields and neglect the
curvature and gradient-B drift effects. The single particle Lagrangian can be written
in terms of canonical variables (P, Q)
198 R. D. Sydora
Ldt = P · dQ − H(P, Q)dt , (7.17)
where for single charged-particle motion in a fixed magnetic field has the Hamilto-
nian
1
H= (P − qA0 (Q))2 + qΦ(Q, t) , (7.18)
2m
where A0 is the vector potential of the background magnetic field and the canonical
variables are
P (t) = mv(t) + qA0 (r(t)) ,
(7.19)
Q(t) = r(t) .
The Lagrangian can be written as the one-form of Poincaré-Cartan [33]
γ = γμ dz μ = γi dz i − hdt , (7.20)
where z = z(P, Q, t) is the phase space coordinate system and in the summation
convention μ = 0, ..., 6 and i = 1, ..., 6, with z 0 = t, γi = P · ∂Q/∂z i , and
h = H − P · ∂Q/∂t. Therefore, the one-form can be written as

mv 2
γ = (qA0 (r) + mv) · dr − + qΦ(r, t) dt (7.21)
2
and r and v can be obtained from the canonical variables Q and P . A0 is the vector
potential of the background magnetic field. The action associated with the one-form
is given by
tf
dz μ
S = γμ dt (7.22)
dt
t0
and mimimization of S with respect to variations in z μ leads to the Euler-Lagrange

equations

∂γμ ∂γν dz μ
− μ =0. (7.23)
∂z ν ∂z dt
As in standard perturbation theory, we separate the one-form γ into the sum of
an easily solvable part of the motion γ0 and a perturbation γ1 , which in our case
will contain the gyrophase dependence. The one-form in gyro-center coordinates
z = (R, v , μ, θ; t) with μ
= mv⊥2
/2Ωc , θ = tan−1 (v · e2 /v · e1 ) and (e2 , e1 )
are the unit vectors in (x, y), is
γ0 = qA0 · dR⊥ + mvz dRz + μ

dθ − h0 dt ,
γ1 = −h1 dt , (7.24)
Ωc + mvz2 /2 is the zeroth order Hamiltonian and h1 = qΦ(R + ρ, t),

where h0 = μ
ρ = b×v/Ωc and Φ is the electric potential. An Euler-Lagrange equation of motion
can be derived from this one-form and it describes the fast periodic gyromotion
about θ. The θ-dependent non-secular perturbation is removed by transforming the
¯, θ̄; t). This
fundamental one-form to gyrophase-averaged coordinates Z̄ = (R̄, v̄z , μ
is accomplished by using the Lie transform which gives the fundamental one-form
in the new coordinate system as [16, 34]
Γ̄0 = γ0
Γ̄1 = dS1 − L1 γ0 + γ1 (7.25)
with (L1 γ0 )ν = g1μ (∂ν γoμ − ∂μ γoν ). The generating function S1 is

q #
S1 = dθ′ Φ (7.26)
Ωc
and is related to the difference between the gyro-center and gyro-averaged potential
&
# = Φ − Φθ with Φθ = 1/(2π) 2π Φ(R + ρ, t)dθ.
Φ 0
The generator, g1μ , is also obtained within the low frequency ordering as
1
g1R = ∇ R S1 × b ,
qB
1
g1vz = b · ∇R S1 ,
m
∂S1
g1μ = ,
∂θ
∂S1
g1θ = − . (7.27)
∂μ

The fundamental one-form in the gyro-averaged coordinates becomes
¯dθ̄ − h̄dt
Γ̄ = qA0 · dR̄⊥ + mv̄z dR̄z + μ (7.28)
with gyrophase-averaged Hamiltonian
¯ 1
Ωc + mv̄z2 + qΦθ̄ .
h̄ = μ (7.29)
2
By taking the variation of Γ̄ we obtain the Euler-Lagrange equation for the particle
motion in gyro-averaged coordinates, to first order
dR̄ b × ∇R̄ Φθ̄
= v̄z b + ,
dt B
dv̄z q
=− b · ∇R̄ Φθ̄ ,
dt m
dμ¯

=0,
dt
dθ̄ ∂Φθ̄
= Ωc + q ¯ . (7.30)
dt ∂μ

It is straightforward to generate the higher order corrections to the gyro-averaged
drift motion, parallel acceleration and magnetic moment using this formalism [16].
200 R. D. Sydora
7.3 Continuum Gyrokinetics
7.3.1 Gyrokinetic Vlasov Equation
The single particle gyro-drift dynamics can be used to obtain a Vlasov equation
for the gyro-averaged particle distribution function F̄ (Z̄). The gyrokinetic Vlasov
equation for species α is
∂ F̄α dR̄α ∂ F̄α dv̄zα ∂ F̄α

+ · + =0 (7.31)
∂t dt ∂ R̄ dt ∂v̄z
and for the ions becomes

∂ F̄i b × ∇R̄ Φθ̄ ∂ F̄i e ∂ F̄i
+ v̄z b + · − b · ∇R̄ Φθ̄ =0. (7.32)
∂t B ∂ R̄ m i ∂v̄z
For electrons with the smaller gyroradius ρe ≪ ρi , leads to the drift-kinetic equation

∂ F̄e b × ∇R̄ Φ ∂ F̄e e ∂ F̄e
+ v̄z b + · + b · ∇R̄ Φ =0. (7.33)
∂t B ∂ R̄ me ∂v̄z
The particle trajectories correspond to the characteristics of the gyrokinetic Vlasov

partial differential equation and is the basis for the gyrokinetic particle-in-cell
simulation model discussed in Sect. 7.5.
7.3.2 Field Equations
In order to obtain the self-consistent electric potential for the gyrokinetic Vlasov
equation, we must consider the density response in real space r and not in R. The
Lie transform can help us relate the distribution function in the gyro-averaged coor-
dinates F̄ to the gyro-center coordinates f . To first order
f (R, vz , μ ¯, θ̄; t)

, θ; t) ≃ (1 + g μ ∂μ )F̄ (R̄, v̄z , μ (7.34)
and the particle density in real space becomes

n(r, t) = f (R, vz , μ , θ; t)δ(R − r + ρ)Jd6 z

¯
, t)δ(R̄ − r + ρ̄)J¯d6 Z̄
≃ F̄ (R̄, v̄z , μ

∇R̄ S1 × b 1 ∂S1
+ − b · ∇R̄ F̄
B m ∂v̄z

1 ∂ F̄ ∂S1 ∂ F̄
+ b · ∇R̄ S1 + ¯ δ(R̄ − r + ρ̄)J¯d6 Z̄ , (7.35)
m ∂v̄z ∂ θ̄ ∂ μ

where J and J¯ are the Jacobians of the gyro-center and gyro-averaged coordinates,
respectively. In evaluating the second term, we can linearize the distribution about a
local Maxwellian defined as
¯ n0 (R̄) 2 ¯
F̄M (R̄, v̄z , μ
) = e−(mv̄z /2+μ Ωc )/T (R̄) (7.36)
(2πT (R̄)/m)3/2
and use the ordering ρ/L ≪ 1, where L is the density and temperature gradient scale
¯) = q/(Ωc )
variation, to show that the leading order term is (∂S1 /∂ θ̄)(∂ F̄M /∂ μ
¯
(Φ − Φθ̄ )(∂ F̄M /∂ μ
) and the particle density simplifies to

¯ q ∂ F̄M ¯ 6 Z̄ . (7.37)
n(r, t) = F̄ (R̄, v̄z , μ
, t) + (Φ − Φθ̄ ) ¯ δ(R̄ − r + ρ̄)Jd
Ωc ∂μ
This expression can be used to construct a Poisson equation by taking the difference
between the electron and ion number densities

e ∂ F̄M
(Φ − Φθ̄ ) ¯ δ(R̄ − r + ρ̄i )J¯i d6 Z̄
Ωi ∂μ
(7.38)
= F̄i δ(R̄ − r + ρ̄i )J¯i d6 Z̄ − F̄e δ(R̄ − r)J¯e d6 Z̄ ,
where the small gyroradius limit for the electrons ρe → 0 has been taken. Using Fm
from (7.36), the gyrokinetic Poisson equation becomes
τ # = 4πe(n̄i − ne )
(Φ − Φ) (7.39)
λ2De
with τ = Te /Ti , λ2De = Te /(4πne e2 ) and

' (
#
Φ(r) = ¯
Φθ̄ (R̄)F̄m δ(R̄ − r + ρ̄) dR̄ dμ
dv̄z , (7.40)
θ̄
which physically, is the electrostatic potential viewed by the gyrocenter.

The electrostatic potential can be written in an operator form, convenient for nu-
merical computation, by using a Fourier representation. The electrostatic potential
in the particle or laboratory coordinates is

Φ(r) = Φk eik·r (7.41)
k
and the gyro-averaged potential is

k⊥ v⊥
Φ(R̄)θ̄ = Φk J0 eik·R̄ (7.42)
Ωi
k
& 2π
using the Bessel function relation J0 (k⊥ v⊥ /Ωi ) = 0 exp(±ik · ρ̄)dθ̄/(2π). The
J0 represents the difference between the potential at the guiding center and the av-
eraged potential. The gyrocenter electrostatic potential transformed to the particle
202 R. D. Sydora
coordinates involves a double gyrophase average and assuming the Maxwellian dis-
tribution for F̄m we obtain

#
Φ(r) = Φk Γ0 (b)eik·r , (7.43)
k
&
where Γ0 (b) = J02 (k⊥ v⊥ /Ωi )F̄m (μ ¯ ¯
)dμ
= I0 (b) exp(−b). I0 is the modified
2 2
Bessel function with argument b = k⊥ ρi with ion thermal gyroradius ρi = vthi /Ωi
and vthi = (Ti /mi )1/2 . The Poisson equation (7.39) in this operator form is therefore
expressed as
τ
(1 − Γ0 )Φ = 4πe(n̄i − ne ) (7.44)
λ2De
and makes the 1 − Γ0 operator easy to invert.
Returning to (7.38), we can expand the delta functions about R̄ − r for the ions
and the left-hand-side of the Poisson equation becomes
2
ωpi
(∇⊥ · ∇⊥ )Φ = −4πe(n̄i − ne ) (7.45)
Ωi2
and the ion plasma frequency is ωpi = (4πne2 /mi )1/2 . This can also be obtained
from (7.44) in the long wavelength limit b ≪ 1, where 1 − Γ0 (b) ≃ b and the
operator becomes τ b/λ2De = k⊥ 2
τ ρ2i /λ2De = k⊥
2 2
ωpi /Ωi2 .
The operator on the left hand side of (7.45) represents the shielding effect due
to the ion polarization field. It is the lowest order contribution to the density fluctua-
tions provided by the polarization drift. We can obtain it heuristically by considering
the polarization drift from (7.12)
1 ∂E m ∂E
vp = = , (7.46)
Ωc B ∂t eB 2 ∂t
which gives a polarization current density
nio mi ∂E ⊥
J p = enio v pi − eneo v pe ≃ , (7.47)
eB 2 ∂t
that is dominated by the ions. Using the continuity equation and integrating, the
polarization density is
1 2
2
4πmi 1 ωpi
np = ∇⊥ · (nio ∇⊥ Φ) = ∇⊥ · ∇⊥ Φ . (7.48)
eB 2 e Ωi2
Equations (7.32), (7.33) and (7.39) form the basis for electrostatic gyrokinetic sim-
ulation of low frequency magnetized plasma dynamics.
In addition to electrostatic perturbations, it is also possible to self-consistently
generate magnetic perturbations via currents that are parallel to the ambient mag-
netic field. The currents are induced via inductive electric fields Ez = −∂Az /∂t, if
the magnetic field is in the z-direction. From Ampere’s law, the parallel current
causes magnetic perturbations that are primarily perpendicular to the main field
with δB⊥ < Boz and this is termed a field line bending effect. The perpendicu-
lar magnetic field perturbations can be expressed as a vector potential ∇ × (Az b) =
∇Az × b. The compressional magnetic field perturbations can also be included by
determining the perpendicular currents and higher β plasmas may be studied, where
β characterizes the ratio of the plasma pressure to magnetic field pressure. Magnet-
ically confined plasmas with high β are of contemporary interest in fusion, space
and astrophysical plasmas.
We proceed to outline the gyrokinetic Vlasov-Poisson-Ampere system of equa-
tions in the low β regime where parallel currents are important. We assume the cur-
rents are sufficiently weak and density fluctuations small such that the gyrokinetic
equations satisfy the ordering
ω ρi eΦ δB⊥
≃ ≃ ≃ ≃ O(ǫ) ,
Ωi L Te B0
k⊥ ρi ≃ O(1) , (7.49)
where we keep the finite gyroradius effects for the ions. If we introduce a canonical
momentum
q
pz = vz + Az (7.50)
m
into the one-form gyro-center Hamiltonian, we have
Ωc + mp2z /2 ,
h0 = μ
h1 = −qpz Az (R + ρ, t) + qΦ(R + ρ, t) (7.51)
and the gyrophase-averaged Hamiltonian can be derived using the Lie perturbation
method as
¯ 1
Ωc + mp̄2z + qΦθ̄ − q p̄z Az θ̄ .
h̄ = μ (7.52)
2
From this result it is possible to derive the gyrokinetic Vlasov equation including
magnetic perturbations from parallel currents [35]

∂ F̄i ∗ b × ∇R̄ Ψ θ̄ ∂ F̄i e ∗ ∂ F̄i
+ v̄z b + · − b · ∇R̄ Ψ θ̄ =0, (7.53)
∂t B ∂ R̄ mi ∂ p̄z
where Ψ θ̄ is a generalized potential defined by Ψ θ̄ = Φθ̄ − v̄z Az θ̄ . Ampere’s
law expressed in terms of the parallel vector potential becomes

e
2
∇⊥ Az = −4πe (p̄z − Az )F̄i δ(R̄ − r + ρ̄i )J¯i d6 Z̄
mi

e ¯ 6
− (p̄z + Az )F̄e Je d Z̄ . (7.54)
me
204 R. D. Sydora
The canonical momentum formulation does not explicitly contain the induction
electric field but is present when one transforms the distribution function momen-
tum characteristic back to its evolution along the velocity characteristic. The cost
of removing the explicit induction electric field in the characteristics is that we
must solve (7.54) as a nonlinear elliptic partial differential equation for the vector
potential.
7.3.3 Energy Conservation
In this section the total energy conservation of the gyrokinetic Vlasov-Poisson sys-
tem is derived in the transformed corrdinates. By using the fundamental conserva-
tion law in the Hamiltonian system

∂f (z, t) 6
H(z, t) Jd z = 0 (7.55)
∂t
we can apply this relation for each species in (7.32) and (7.33) to obtain the total
energy as
& 1 & 1
d 2 ¯ 6 2 ¯ 6
dt 2 mi v̄z F̄i Ji d Z̄ + 2 me v̄z F̄e Je d Z̄
& F̄i ¯ 6
& F̄e ¯ 6
+ eΦθ̄ ∂∂t Ji d Z̄ + eΦ ∂∂t Je d Z̄ = 0 (7.56)
without the adiabatic invariant, μ ¯

, contribution. Using the gyrokinetic Poisson equa-
tion (7.45), the field energy contribution is

∂ F̄i ¯ 6 ∂ F̄e ¯ 6
eΦθ̄ Ji d Z̄ + eΦ Je d Z̄
∂t ∂t
1 2
2
1 ∂ ωpi
= Φ ∇⊥ · 2 ∇⊥ Φ d3 r
4π ∂t Ωi
2
d 1 ωpi
= |∇⊥ Φ|2 d3 r , (7.57)
dt 8π Ωi2
where the right-hand-side is the ion polarization drift field energy. The total energy
invariant is therefore
& 1 & 1
d 2 ¯ 6 2 ¯ 6
dt 2 mi v̄z F̄i Ji d Z̄ + 2 me v̄z F̄e Je d Z̄
& ωpi2 !
d 1 2
+ dt 8π Ω 2 |∇ ⊥ Φ| d3 r = 0 . (7.58)
i
7.4 Gyrofluid Model

It is now possible to construct moments of the gyrokinetic Vlasov equation to ob-
tain gyrofluid equations. When the underlying distribution functions remain close
to a Maxwellian it is possible to close the system with a few lower order moments.
We will present this case here, although it is possible to include higher order mo-
ments and linear wave-particle resonance effects such as Landau damping. These are
known as gyro-Landau fluid closure methods [29]. The moment equations allow for
a computationally efficient way to investigate nonlinearity in low frequency magne-
tized plasmas. However, if the velocity space nonlinearities become significant, the
closure methods may require too many higher order moments and the simulations
become impractical. Therefore, it is important to carefully compare the results of ki-
netic simulations and fluid closure approaches to be sure important physical effects
are not left out.
We now derive a three-field gyrofluid model (Φ, Az , pe ) based on the gyroki-
netic Vlasov-Poisson-Ampere system discussed previously. We will first work in
the long wavelength limit (k⊥ ρi < 1) and neglect the finite ion temperature effects
(Ti = 0) but include the ion polarization drift or polarization shielding in the gy-
rokinetic Poisson equation. The gyrokinetic Vlasov equation, now in gyro-center
coordinates, is

∂f ∗ b × ∇Φ ∂f q ∗ ∂Az ∂f
+ v b + · + −b · ∇Φ − = 0 (7.59)
∂t B0 ∂r m ∂t ∂v
for each species and where the unit vector along the magnetic field becomes tilted to
∇Az × b
b∗ = b + (7.60)
B0
in the parallel velocity representation. The field equations are
2
ωpi
∇2⊥ Φ = 4πe(ne − ni ) , (7.61)
Ωi2
∇2⊥ Az = −4π(Je + Ji ) . (7.62)
We first form the density and current moments for each species

n = dv f (r, v ) ,

J = q dv v f (r, v ) = qnv , (7.63)
where v is the fluid velocity along the magnetic field. By integration of (7.59) over
velocity space we obtain the continuity equation for each species as
dn
+ b∗ · ∇(nv) = 0 . (7.64)
dt
Taking the convective derivative (d/dt), defined by
d ∂ b × ∇Φ
= + ·∇ (7.65)
dt ∂t B0
206 R. D. Sydora
of (7.61) and using the continuity equation (7.64) with (7.62), an equation for the
vorticity evolution is obtained
d 2 Ω2
∇⊥ Φ = − 2i b∗ · ∇(∇2⊥ Az ) . (7.66)
dt ωpi
For the second field equation, which involves Az , we assume the ions move
only with the E × B drift and we set vi = 0, which is equivalent to neglecting the
coupling to ion sound waves. For electrons, we take the velocity moment of (7.59)
which gives

dJe e ∗ n0 e 2 ∂Az
− b · ∇pe = −b∗ · ∇Φ − , (7.67)
dt me me ∂t
&
where the field-aligned electron pressure is pe = me dv (v − ve )2 fe (r, v ). This
moment equation should be recognized as a type of Ohm’s law. Using the simplest
closure relation, pe = nTe and Te = const, the field-aligned pressure gradient is
related to the vorticity by
2
1 ωpi
∇pe = Te ∇ne = ∇(∇2⊥ Φ) , (7.68)
4πe Ωi2
where (7.61) was used. From (7.67), (7.62) and (7.68) we obtain
∂Az d
= −b∗ · ∇Φ + d2e (∇2⊥ Az ) + ρ2s b∗ · ∇(∇2⊥ Φ) , (7.69)
∂t dt
where the de = c/ωpe is the collisionless electron skin depth and ρs = cs /Ωi is the
ion sound radius with cs = (Te /mi )1/2determined by the electron temperature. It is
#z = Az − d2 ∇2 Az
related to the ion gyroradius by ρs = Te /Ti ρi . If we define A e ⊥
the Ohm’s law can be re-written as

∂A#z ∇Φ × ∇A #z ∇(∇2⊥ Φ) × ∇A #z
∗ 2 2
= −b · ∇Φ + + ρs ∇(∇⊥ Φ) + .
∂t B0 B0
(7.70)
The continuity equation for the electron density completes the three-field gyrofluid
model and is coupled to both the vorticity evolution and Ohm’s law
∂ne b × ∇Φ 1 ∗
+ · ∇ne = − b · ∇(∇2⊥ Az ) . (7.71)
∂t B0 4πe
The finite ion temperature effects can be incorporated by using the form of the
gyrokinetic Poisson equation
Te
(1 − Γ0 )Φ = −4πe(ne − n̄i ) , (7.72)
Ti λ2De
&
where n̄i (r, t) = 2πv⊥ dv⊥ dv J0 fi (r, v , v⊥ , t). The ion continuity equation is
obtained by taking the first moment of the ion gyrokinetic equation

∂fi ∗ b × ∇(J0 Φ) ∂fi
+ v b + ·
∂t B0 ∂r
(7.73)
e ∗ ∂(J0 Az ) ∂fi
+ −b · ∇(J0 Φ) − =0,
mi ∂t ∂v
where J0 represents the gyrophase-averaging effect. We therefore obtain
dn̄i b × ∇Φ
+ (1 − Γ0 ) · ∇ni = 0 , (7.74)
dt B0
where the dominant term for the gyro-averaged drift is retained. The finite-tempera-
ture vorticity equation is obtained by operating the convective derivative on (7.72)
and again using the continuity and Ampere’s equation gives
1 d Ω2 Ti (1 − Γ0 ) b × ∇Φ
2 ((1 − Γ0 )Φ) = 2i b∗ · ∇(∇2⊥ Az ) − · ∇ni . (7.75)
ρi dt ωpi eneo ρ2i B0
By using a Padé approximation to the Γ0 operator, expressed in Fourier space as
2 2
2 2 k⊥ ρi
1 − Γ0 (k⊥ ρi ) ≃ 2 ρ2 (7.76)
1 + k⊥ i
2 2 2
and multiplying the vorticity equation on both sides by 1 + k⊥ ρi , then replacing k⊥
2
with the Laplacian ∇⊥ we finally obtain
d Ω2 Ti b × ∇ni
(∇2⊥ Φ) = 2i (1 − ρ2i ∇2⊥ )b∗ · ∇(∇2⊥ Az ) + · ∇(∇2⊥ Φ) . (7.77)
dt ωpi eneo B0
The multi-field gyrofluid models can be extended to include nonuniform elec-
tron and ion temperature as well as the parallel ion velocity. This leads to extended
four-field [36, 37, 38] and five-field (Φ, Az , pe , pi , vi ) models.
7.5 Gyrokinetic Particle Simulation Model

The equation for the gyrophase-averaged distribution in a collisionless plasma can
be put in a form that conserves phase space density along the characteristics. Ex-
pressed in this way, the particle simulation method can be used since it is equivalent
to the method of characteristics. The equations for these characteristics, or each
particle j, from (7.53) are

dRj b × ∇R̄ Ψ θ
= vz b + ,
dt B j
dpzj q
= − [b · ∇R̄ Ψ θ ]j , (7.78)
dt m
where Ψ θ is a generalized potential defined as Ψ θ = Φθ − vz Az θ . The
gyrophase averages in the particle equations of motion are performed in real space
by noticing that
208 R. D. Sydora
' (
k⊥ v⊥
Φ(R)θ = Φk J0 eik·R = Φ(r)δ(r − R − ρ) (7.79)
Ωi θ
k
>
since J0 = exp(ik · ρ)θ and . . .θ ≡ dθ/2π. Therefore, an algorithm can be
developed by considering each particle as a uniformly charged ring centered at Rj
and with radius ρj . The number of points on this ring is related to the accuracy
of computing J0 to the desired order in k⊥ ρi . For example, if we are to accurately
represent J0 (k⊥ ρi ) for k⊥ ρi ≤ 1 then at least four points on the averaging ring are
required [20]. The discrete gyro-averaging operation for M points is therefore
M
1
Φ(Rj )θ = Φ(Rj + ρj (θi )) (7.80)
M i=1
and ρj = |ρj |(e1 sin(θ) + e2 cos(θ)). The particle equations of motion (7.78), are
finite-differenced in time and standard, second order predictor-corrector methods
can be used to evolve the discrete N -particle distribution [39]
N

F (R, pz , μ, t) = δ(R − Ri (t))δ(pz − pzi (t))δ(μ − μi ) . (7.81)
i=1
Each particle is initially assigned a guiding center position, a parallel velocity and a
magnetic moment, from which a gyroradius can be computed.
Using this discrete particle distribution, the electrostatic and vector potentials
are obtained from the gyrokinetic Poisson and Ampere’s equations
τ
(1 − Γ0 )Φ = 4πe(n̄i − ne ) , (7.82)
λ2De
∇2⊥ Az = −4π(J¯zi + Jze ) , (7.83)
where
' (
n̄i (r) = Fi (R, vz , μ)δ(R − r + ρi )dRdμdvz ,
θ
' (
J¯zi (r) = e vz Fi (R, vz , μ)δ(R − r + ρi )dRdμdvz (7.84)
θ
and vz = pz − (e/mi )Az . The electrons are not gyrophase-averaged and considered
to be drift-kinetic. The gyrophased-averaged ion number density (and current den-
sity) can also be obtained numerically by using the ring-averaged of the N -particle
distribution function and this gives
⎡ ⎤
M
1 ⎣
n̄i (r) = δ(Rj + ρj (θi ))⎦ . (7.85)
M i=1 j
The charge density is obtained at discrete grid points and therefore an interpola-
tion must be made. The delta functions are then replaced by interpolating functions
which may be of low order, such as the nearest-grid-point (NGP) method, or higher
order, such as the second order quadratic spline method [40]. Once the charge and
current densities are formed at the grid points, the field equations may be solved by
inverting the elliptic-type operators on the left-hand-side of (7.82) and (7.83). This
can be done efficiently using Fast Fourier Transform (FFT) methods. Non-periodic
boundary conditions may be incorporated by employing sine or cosine transforms.
(7.83) for the vector potential is a nonlinear equation since the right-hand-side de-
pends on the vector potential. Therefore, an iterative procedure must be used to
converge the solution.
In order to determine the accuracy and energetics of the simulation plasma the
conservation properties must be carefully examined. The total energy invariant for
the gyrokinetic Vlasov-Poisson-Ampere system is used to determine the accuracy
of the simulation results and is given by [35]

(pzej + e/me Az )2
ET = me μej B +
j
2

(pzij − e/mi Az θ )2
+ mi μij B +
j
2

1
+ (|E|2 + |B|2 )d3 r , (7.86)
8π
where E is the electric field determined by the gradient of the electric potential in
(7.82) and B is the magnetic field obtained from (7.83) and B = ∇Az × b.
7.5.1 Normal Modes and Fluctuation-Dissipation Properties
Linearization of the ion gyrokinetic equation, the electron drift-kinetic equation and
combined with the Fourier transform of the gyrokinetic Poisson and Ampere equa-
tions, one obtains the following dispersion relation

2
k2 vA2 2 2
k⊥ ρi 2 2
ω = 2 d2 2 ρ2 ) + k⊥ ρs , (7.87)
1 + k⊥ e 1 − Γ0 (k⊥ i
where ω is the real frequency. This fundamental normal mode in gyrokinetic plas-
mas is known as the kinetic shear Alfven wave [41] and in the long wavelength
2 2
limit, k⊥ ρi < 1 has the form
2 2

2 2 2 1 + k⊥ ρs
ω = k vA 2 d2 (7.88)
1 + k⊥ e
2 2 2 2
since 1 − Γ0 (k⊥ ρi ) ≃ k⊥ ρi . This is the highest frequency which must be re-
solved in the simulation and therefore the condition ω∆t ≤ 0.1 must be satis-
fied. Another time step restriction arises from the electron transit motion and hence
k (ve )max ∆t < 1.
210 R. D. Sydora
Another important test of the simulation model is the equipartition of thermal

fluctuation energy for different wavelengths. The basic fluctuation-dissipation prop-
erties of the magnetoinductive gyrokinetic model have been investigated theoreti-
cally [42] and the results are summarized here. The thermal fluctuation spectrum
for electrostatic modes is determined by using the fluctuation-dissipation theorem

Ek2 dω
= −T Im(D−1 (ω, k)) (7.89)
8π 2πω
and D(ω, k) is the linear dielectric response. Integration with respect to ω gives

Ek2 T 1
= 1− . (7.90)
8π 2 Re(D(0, k))
Applying this result to the gyrokinetic plasma dielectric, obtained by linearization
of the gyrokinetic Vlasov-Poisson-Ampere system, we obtain

Ek2 Te 1 1 − Γ0 (k⊥2 2
ρi )
= − . (7.91)
8π 2 1 + k 2 λ2De 2 ρ2 )) + k 2 λ2
(1 − Γ0 (k⊥ i Di
In the limit where k 2 λ2De < 1, k⊥

2 2
ρi < 1 and ρi > λDi , we obtain
Ek2 Te λ2Di Te λ2De

= = (7.92)
8π 2 ρ2i 2 ρ2s

with ρs = Te /Ti ρi and λ2Di /ρ2i = Ωi2 /ωpi2
. Since the gyroradius scale is typi-
cally larger than the Debye length scale (ρs > λDe ), the fluctuation level for the
gyrokinetic plasmas is much reduced compared to the fully kinetic plasmas con-
taining high frequency space charge dominated fluctuations determined by [43]
Ek2 Te /2
= . (7.93)
8π 1 + k 2 λ2De
For the magnetic fluctuations which arise from the fluctuating currents, the thermal
fluctuation spectrum is
2
B⊥k Te /2
= 2 d2 (7.94)
8π 1 + k⊥ e
and de = c/ωpe .
7.6 Gyrokinetic Particle Simulation Model Applications

7.6.1 Current-driven Kinetic Alfven Wave Instability
As we have seen in the previous section the fundamental normal mode of gyroki-
netic plasmas is the kinetic shear Alfven wave (KSAW). The particle inertia and
finite gyroradius effects make this mode highly dispersive for short wavelengths.
Finite amplitude KSAW’s can be excited by a variety of sources such as nonuni-

form background plasma parameters, energetic particle beams or finite currents [44].
These free energy sources have relevance to the generation of low frequency turbu-
lence, small scale turbulence in near-Earth space plasmas and laboratory plasmas
[45, 46].
In this section we consider the KSAW excitation in the presence of a uniform
field-aligned equilibrium current J0 = −en0 vd in a uniform Maxwellian plasma. In
this system the parallel component of the perturbed electron current density in the
wave electric field Ez is
iωZ ′ (ζe )
Jez = σz Ez = Ez , (7.95)
8πkz2 λ2De
where σz is the collisionless conductivity,

& Z ′ is the derivative of the standard plasma
−1/2 ∞ 2
dispersion function Z(ζe ) = π −∞ dv exp(−v )/(v − ζe ) with argument ζe =
√
(ω − kz vd )/ 2kz vte . For ζe ≪ 1
4
iω π (ω − kz vd )
Jez = − 1+i Ez . (7.96)
4πkz2 λ2De 2 kz vte
When the condition ω < kz vd is satisfied (the drift speed is greater than the phase
velocity of the KSAW), the phase shift between the current and electric field is
such that the perturbations are amplified. Above the threshold drift speed, the phase
velocity of the wave encounters a positive slope in the electron distribution function
and this leads to an inverse Landau damping or a growth. The threshold electron
drift velocity for instability is determined by

2 ρ2
1 + k⊥
ω s
vd > ≃ vA 2 d2 , (7.97)
kz 1 + k⊥ e
2 2 1/2 2 2 1/2
where the kinetic Alfven wave frequency ω ≃ kz vA (1 + k⊥ ρs ) /(1 + k⊥ de )
is assumed.
For the gyrokinetic simulations with self-consistent electric and magnetic fields,
we initialize the electron distribution function as a shifted Maxwellian to produce
a uniform current J0 along an ambient magnetic field B = B0 z. This is shown in
Fig. 7.2. The parameters used are: System size Lx × Ly = 15ρs × 7.5ρs , mi /me =
1837, vd = 2.2vte = 1.8vA , ρs = 8.5∆, and de = 8∆.
The time evolution of the total magnetic, electrostatic and kinetic energies are
presented in Fig. 7.3 and reveal the linear instability growth and saturation. The total
energy conservation is preserved to less than about one percent.
The electron kinetic energy decreases as the unstable kinetic Alfven wave elec-
trostatic and magnetic energy components grow. The saturation of the fluctuations
proceeds in two stages, first, the shorter wavelengths and then transfer some of their
energy to more stable longer wavelengths which amplify and then saturate. In addi-
tion to the wave energy transfer to other more stable wavelengths, the mean electron
drift current is reduced. This is illustrated in Fig. 7.2 where the final electron distri-
bution taken at the end of the simulation is shown together with the initial one. There
212 R. D. Sydora
2000
Ωit = 0
1500 Ωit = 20
Fc(vz)
1000
500
0
–6 –4 –2 0 2
vz / vtc
Fig. 7.2. Parallel electron distribution function taken at the initial time and final time levels
300
200
EB
100
EL
0
ET
ΔE
–100
EKe
–200
–300
–400
0 5 10 15 20
Ωit
Fig. 7.3. Temporal evolution of the energy change ∆E from the initial value of the elec-
trostatic EL , magnetic EB , electron kinetic EKe and total energy ET for the current-driven
kinetic shear Alfven wave instability
is a net slowing down of the parallel electron distribution with very weak thermal
change.
The spatial distribution of the electric potential fluctuations is given in Fig. 7.4 at
the saturation phase of instability. The electric potential vortices have a mean scale
size of about 2–3 ρs and are roughly isotropic with kx ρs ≃ ky ρs . The electron den-
sity fluctuations averaged over the y-direction are also shown and reach a maximum
level of δn/n0 ≃ 0.05. There is also some indication of smaller scales (∼ ρs ) being
modulated by larger scales (∼ 5ρs ). A more complete analysis of these results will
be presented elsewhere, but one can see the large amount of information which can
be obtained in the nonlinear regime of such models. The fluctuation spectra can be
compared to experiment and assist in their interpretation.
7.6.2 Microtearing Instability
In this section we consider electric and magnetic fluctuations which arise from
nonuniform currents. Spatially localized currents can lead to regions of anti-parallel
magnetic fields which can break and reconnect via a microtearing instability to
form magnetic islands. Small-scale magnetic islands have been proposed as means
of inducing spontaneous symmetry breaking of perfectly nested flux surfaces in
magnetically-confined toroidal plasmas [47] and in certain space plasma environ-
ments [48]. A consequence of this is the generation of substantial anomalous elec-
tron thermal transport, particularly when these islands interact radially [49, 50].
Small-scale magnetic turbulence can also act as a negative effective resistivity on
large-scale magnetic field perturbations which can lead to amplification of the large-
scale fields. Furthermore, sources of small-scale magnetic turbulence can produce
4.4 4.4
4.2 4.2
Ne 4 Ne 4
3.8 3.8
3.6 3.6
0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8
y/ρs y/ρs
0 4 8 0 4 8
x/ρs x/ρs
Fig. 7.4. Electron density profile (y-averaged) and electrostatic potential taken at the pre-
growth (Ωi t = 2) (left panel) and saturation phase (Ωi t = 20) (right panel)
214 R. D. Sydora
anomalous electron viscosity and enhanced current diffusion which could lead to
self-sustained turbulence [51].
There has been theoretical work on the kinetic theory of magnetic island growth
in the linearly unstable regime of collisionless tearing [52, 53] as well as some early
particle simulations with a full particle magnetoinductive model [54]. More recently,
gyrokinetic particle simulations have been applied to the collisionless tearing insta-
bility dynamics in uniform and nonuniform plasmas [55, 56].
For the results here, we use a plasma slab with sheared magnetic field B =
Bz z+By (x) y and |Bz | ≫ |By |. The shear field By (x) is produced by a nonuniform
sheet current assumed to vary only in the x-direction. It has the form Jz (x) =
−en0 vdz exp(−(x − Lx /2)2 /a2 ) where vdz is the electron drift velocity in the z-
direction and this is shown in Fig. 7.5. The sheared By (x) field has anti-parallel
field lines across the middle of the simulation domain as displayed in the same
figure. The initial density and temperature profiles are taken to be uniform. The
boundary conditions are periodic in the y-direction and the vector potential Az and
electrostatic potential are set to be zero at the boundaries in the x-direction. The
particles are specularly reflected at these boundaries.
This equilibrium serves an excellent test case because the linear growth rate and
saturated island width are well-known [52, 53]. The equilibrium sheared magnetic
field By (x) can also be represented by a vector potential Azo (x) and the perturbed
magnetic field by a vector potential A #z (x, y) through
# ⊥ = ∇ × (A
B #x x
#z z) = B #y y .
+B (7.98)
Since Az (x, y) = Azo + A#z and A
#z (x, y) = Az cos(ky y), it is possible to show the
width of the magnetic island W is related to the amplitude of the perturbed vector
potential by
z Ls
A
W = , (7.99)
Bz
0.4 0.1 Bz By(x)

Jz(x) By(x)
0 x
0.2
–0.1
0
x x
Fig. 7.5. Initial current profile, magnetic field By (x), and schematic of the ambient magnetic
direction Bz and sheared anti-parallel By component
where Ls is the shear scale length of the magnetic field defined as Ls = Bz /|dBy
(x)/dx|. The linear growth rate of the tearing mode has been derived from the elec-
tron drift kinetic equation in the collisionless regime as

ky vte de
γk ≃ (k vte )(∆′ de ) ≃ (∆′ de ) , (7.100)
Ls
where de = c/ωpe , vte is the electron thermal velocity, and ∆′ is the jump derivative
of the perturbed vector potential across the anti-parallel field reversal region
#z /(∂x)]∆
[∂ A −∆
∆′ = , (7.101)
A#z (0)
where ∆ is the singular layer width and for the Gaussian current profile, the jump
derivative ∆′ ≃ 1/a, where a is the current channel width. Therefore, under the
assumption of a uniform plasma, the condition ∆′ > 0 is required for growing
microtearing modes. The saturation level for the unstable collisionless mode is pre-
dicted to be
∆′ d2e
W max ≃ , (7.102)
2G
where G is a numerical constant with value G = 0.41.
The nonlinear evolution of the collisionless microtearing mode is investigated
using the 2D gyrokinetic particle simulation model described earlier and the pa-
rameters used were: System size Lx × Ly = 16de × 16de , de = c/ωpe = 8∆,
ρi = 4∆, Te /Ti = 1, mi /me = 1837, and current layer width 2a = 10∆. The
y-direction is periodic and the discrete wavenumbers in this direction are given by
ky = 2πm/Ly , m = 0, 1, ..., Ly /2 − 1.
Fig. 7.6(a) displays the magnetic island half-width time evolution for the most
unstable wavelength. The final saturation level is W sat ≃ 1.2de which is comparable
to the theoretical estimate of W max ≃ (de /2aG)de ≃ 1.9de . The simulation results
are below the predicted value mainly due to the difference between the simulation
value of ∆′ which changes during the evolution of the current profile; the theory
assumes it is constant.
The vector potential Az (x, y) and electrostatic potential Φ(x, y) at fixed time
level are presented in Fig. 7.6(b), just prior to saturation. The magnetic island
with X-point and O-point are clearly visible in the vector potential and the elec-
trostatic potential pattern has a quadrapolar structure near the X-point of the is-
land. After the island grows, electrons are trapped in the singular layer and un-
dergo bounce motion with frequency ωb = ky vte W/2Ls , where W is the mag-
netic island width. This can be seen in Fig. 7.6(a), where electron trapping os-
cillations appear after saturation and the period is consistent with Tb = 2π/ωb .
When the saturated island is evolved for a long time period a nonlinear elec-
tron distibution function emerges and consists of trapped and untrapped electron
orbits.
216 R. D. Sydora
1.4
a)
1.2
W(t) 0.8
de 0.6
0.4
0.2
0
0 200 400 600 800 1000 1200 1400
Time
b) Az(x,y) φ(x,y)
1 0.02
0.8
0.01
0.6
y/de y/de 0
0.4
–0.01
0.2
0 –0.02
–4 x/de 4 –4 x/de 4
Fig. 7.6. (a) Magnetic island width W, temporal evolution and (b) vector potential Az (x, y),
and electrostatic potential Φ(x, y), at time level prior to island width saturation
Fig. 7.7 shows the current profile at the initial time and near saturation. A
double-peaked structure forms near the field reversal region and is related to the
quasilinear changes induced by the magnetic island formation. The current becomes
redistributed to the outer regions of the island.
t=0
t = 600
Jz
–4 0 4
x /de
Fig. 7.7. Initial and final electron current profiles for the microtearing instability
7.7 Summary
The multiple scale nature of plasmas present inherent difficulties in the simulation
of low frequency (ω < Ωi ) electromagnetic fluctuations in magnetized plasmas.
In full particle simulation models based on the Vlasov-Maxwell system, the main
problem is the high frequency space charge waves characterized by the electron
plasma frequency ωpe and electron Debye length λDe , which impose severe time
step and spatial resolution restrictions. Their presence gives rise to very high noise
levels which can mask the evolution of low frequency quasi-neutral-type (ne ≈ ni )
waves whose equilibrium fluctuation energy can be orders of magnitude lower.
Beginning with single particle dynamics in an ambient magnetic field, a gy-
rophase averaging procedure can be developed to remove the gyrophase dependence
on drift motion and thus eliminate the fast gyro-motion and associated high fre-
quency cyclotron waves while retaining finite gyroradius effects. The methods of
action variational and Lie perturbation methods can be used to derive gyro-drift
equation of motion to any order and retain the phase space conserving properties in
the change of variables from gyro-center to gyrophase-averaged coordinates.
Using the single particle equations of motion as characteristics of the gyrokinetic
Vlasov equation, it is possible to formulate a self-consistent system of equations in-
cluding a Poisson and Ampere equation for the electrostatic and magnetic potential
from which the electric and magnetic fields are formed. The gyrokinetic Poisson
equation physically describes the ion polarization drift effects without the need to
include them explicity in the equations of motion. The gyrokinetic Vlasov-Poission-
Ampere system satisfies particle and energy conservation.
By integration over the phase space, moment equations can be formed to de-
scribe continuum gyrofluids. In some cases the magnetized plasma dynamics can
be modeled by just a few of the lowest order moments, resulting in computationally
efficient simulations without the problems of statistical noise as in the discrete for-
mulation. It should also be mentioned that continuum gyrokinetic Vlasov-Poission-
Ampere equations are being used for turbulent transport simulations in inhomoge-
neous plasmas [27]. These require very large computing resources because of the
large number of grid points required in the high dimensional phase space.
Gyrokinetic particle simulations have been extensively developed in recent years
for the study of low frequency microturbulence in inhomogeneous plasmas. These
models have the advantage of allowing one to formulate parallel algorithms for im-
plemention on massively parallel computing architectures and simulations with over
one billion particles are now feasible. The advance of low noise techniques, where
only the perturbed part of the distribution function is represented by particles, has
also allowed for more clearer delineation of the linear growth and saturation phase
of instabilities [39, 56] as well as larger scale simulations.
The author would like to thank the organizers of the Heraeus Summer School,
Prof. H. Fehske, Dr. R. Schneider and Dr. A. Weiße for their support and the hos-
pitality of the Max-Planck-Institute for Plasma Physics, Greifswald, Germany. This
research was supported in part by a grant from the Natural Sciences and Engineering
Research Council (NSERC) of Canada.
218 R. D. Sydora
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8 Boltzmann Transport in Condensed Matter
Franz Xaver Bronold
Institut für Physik, Universität Greifswald, 17487 Greifswald, Germany
This chapter presents numerical methods for the solution of Boltzmann equations as
applied to the analysis of transport and relaxation phenomena in condensed matter
systems.
8.1 Boltzmann Equation for Quasiparticles
Besides the traditional approaches, such as variational methods or the expansion

of the distribution function in a symmetry adapted orthonormal set of functions,
stochastic methods, either based on the sampling of the distribution function by su-
perparticles, the particle-in-cell Monte Carlo collision (PIC-MCC) approach, or the
direct simulation of the master equation underlying the Boltzmann description, the
ensemble Monte Carlo methods, are discussed at a tutorial level. Expansion meth-
ods are most appropriate for the solution of Boltzmann equations which occur in the
Fermi liquid based description of transport in normal metals and superconductors.
Stochastic methods, on the other hand, are particularly useful for the solution of
relaxation and transport problems in semiconductors and electronic devices.
8.1.1 Preliminary Remarks
The Boltzmann equation (BE) is of central importance for the description of trans-
port processes in many-particle systems. Boltzmann introduced this equation in the
second half of the 19th century to study irreversibility in gases from a statistical me-
chanics point of view. Envisaging the molecules of the gas to perform free flights,
which are occasionally interrupted by mutual collisions, he obtained the well-known
equation [1]

∂g F ∂g
+ v · ∇r g + · ∇v g = , (8.1)
∂t M ∂t c
where g(r, v, t) is the velocity distribution function, M is the mass of the gas
molecules, F is the external force, and the r.h.s. is the collision integral. With this
equation Boltzmann could not only prove his famous H-theorem, which contains
a definition of entropy in terms of the velocity distribution function and states that
F. X. Bronold: Boltzmann Transport in Condensed Matter, Lect. Notes Phys. 739, 223–254 (2008)
224 F. X. Bronold
for irreversible processes entropy has to increase, he could also calculate transport
properties of the gas, for instance, its heat conductivity or its viscosity.
In the original form, the BE holds only for dilute, neutral gases with a short range
interaction, for which nR3 ≪ 1, where n is the density of the gas and R is the range
of the interaction potential. However, it has also been applied to physical systems,
for which, at first sight, the condition nR3 ≪ 1 is not satisfied. For instance, the
kinetic description of plasmas in laboratory gas discharges or interstellar clouds is
usually based on a BE, although R → ∞ for the Coulomb interaction. Thus, nR3 ≪
1 cannot be satisfied, for any density. A careful study of the Coulomb collision
integral showed, however, that the bare Coulomb interaction has to be replaced by
the screened one, resulting in a modified BE, the Lenard-Balescu equation [2, 3],
which can then indeed be employed for the theoretical analysis of plasmas [4, 5].
In the temperature and density range of interest, ionized gases are, from a sta-
tistical point of view, classical systems. The technical problems due to the Coulomb
interaction not withstanding, it is therefore clear that a BE, which obviously belongs
to the realm of classical statistical mechanics, can be in principle formulated for a
plasma.
The BE has also been successfully applied to condensed matter, in particular, to
quantum fluids, metals, and semiconductors [6, 7, 8], whose microscopic descrip-
tion has to be quantum-mechanical. Hence, transport properties of these systems
should be calculated quantum-statistically, using a quantum-kinetic equation, in-
stead of a BE [9, 10, 11]. In addition, naively, one would not expect the condition
nR3 ≪ 1 to be satisfied. The densities of condensed matter are too high. A pro-
found quantum-mechanical analysis in the first half of the 20th century [12, 13, 14]
revealed, however, that the carriers in condensed matter are not the tightly bound,
dense building blocks but physical excitation which, at a phenomenological level,
resemble a dilute gas of quasiparticles for which a BE or a closely related kinetic
equation can indeed be formulated.
The quasiparticle concept opens the door for Boltzmann transport in condensed
matter, see Fig. 8.1. Depending on the physical system, electrons or ion cores in a
solid, normal or superfluid/superconducting quantum fluids etc., various types of
quasiparticles can be defined quantum-mechanically, whose kinetics can then be
modelled by an appropriate semi-classical BE. Its mathematical structure, and with
it the solution strategy, is essentially independent of the physical context. Below,
we restrict ourselves to the transport resulting from electronic quasiparticles in a
crystal. Further examples of semi-classical quasiparticle transport can be found in
the excellent textbook by Smith and Jensen [7].
8.1.2 Electronic Quasiparticles in a Crystal
To facilitate a qualitative understanding of the quasiparticle concept as applied to

electrons, we recall the quantum mechanics of a single electron in a crystal.
√ Writ-
ing the electrons’ wave function in Bloch form ψnk (r) = eik·r unk (r)/ V with
8 Boltzmann Transport in Condensed Matter 225
Hamilton operator quantum statistics

quantum−kinetic
(electrons, ...) equation
quasi−
“kinetic mapping” particles
Hamilton function classical statistics Boltzmann

(gas molecules, ...) equation
(dilute gas of
excitation modes)
Fig. 8.1. This cartoon puts the content of this chapter into perspective. For neutral or ionized
gases, the BE and its range of validity, can be directly derived from the Hamilton function for
the classical gas molecules. In that case, the BE determines the distribution function for the
constituents of the physical system under consideration. In the context of condensed matter,
however, the BE describes the distribution function for the excitation modes (quasiparticles)
and not for the constituents (electrons, ion cores, ...) although the BE has to be obtained –
by quantum-statistical means – from the constituents’ Hamilton operator. The definition of
quasiparticles is absolutely vital for setting-up a BE. It effectively maps, as far as the kinetics
is concerned, the quantum-mechanical many-particle system of the constituents to a semi-
classical gas of excitation modes
an appropriately normalized, lattice periodic Bloch function1 unk , the one-particle

Schrödinger equation, which determines the quasiparticle energies En (k) with n
the band index and k the wave vector in the first Brillouin zone, is given by

2 (∇ + ik)2
+ V (r) unk (r) = En (k)unk (r)
2me

′
− dr ′ Σ(r − r ′ , En (k))eik·(r −r) unk (r ′ ) , (8.2)
where we separated the lattice-periodic potential V (r) originating from the rigidly
arranged ion cores from the energy dependent potential Σ(r, E) (self-energy) which
arises from the coupling to other charge carriers as well as to the ion cores’ devia-
tions from the equilibrium positions (phonons).
Let us first consider (8.2) for Σ = 0. An electron moving through the crystal ex-
periences then only the lattice periodic potential V . It gives rise to extremely strong
scattering, with a mean free path of the order of the lattice constant, which could
never be treated in the framework of a BE. However, this scattering is not random.
It originates from the periodic array of the ion cores and leads to the formation of
bare energy bands. Within these bands, the motion of the electron is coherent, but
with a dispersion which differs from the dispersion of a free electron. Because of
1 −1
&
The Bloch functions are orthonormal when integrated over a unit cell vcell : vcell cell
∗
dr unk (r) un′ k ′ (r) = δnn′ δk,k ′ .
226 F. X. Bronold
this difference, the electron no longer sees the rigid array of ion cores. Its mean free
path exceeds therefore the lattice constant, and a BE may become feasible.
However, in a crystal there is not only one electron but many, and the lattice
of ion cores is not rigid but dynamic. Thus, electron-electron and electron-phonon
interaction have to be taken into account giving rise to Σ = 0. As a result, the
Schrödinger equation (8.2) becomes an implicit eigenvalue problem for the renor-
malized energy bands En (k) which may contain a real and an imaginary part. For
the purpose of the discussion, we assume Σ to be real. Physically, the dressing of the
electron incorporated in Σ arises from the fact that the electron attracts positively
charged ion cores and repels other electrons, as visualized in Fig. 8.2. The former
gives rise to a lattice distortion around the considered electron and the latter leads
to a depletion of electrons around it2 .
While coherent scattering on the periodic array of ion cores transforms bare
electrons into band electrons, which is favorable for a BE description, residual in-
teractions turn band electrons into dressed quasiparticles, which may be detrimen-
tal to it, because the dressing is energy and momentum dependent. Quasiparticles
are therefore complex objects. Nevertheless, they are characterized by a dispersion,
carry a negative elementary charge, and obey Fermi statistics, very much like band
electrons. Provided they are well-defined, which means that the imaginary part of
Σ, which we neglected so far in our discussion, is small compared to the real part
of Σ, a BE may be thus also possible for them. However, the justification of the
Fig. 8.2. Graphical representation of the many-body effects contained in the selfenergy Σ.
The lattice distortion (dashed lines) and the depletion region (large solid circle) turn bare
band electrons (visualized by the small bullet) into quasiparticles which carry the lattice dis-
tortion and the depletion region with it when they move through the crystal
2
Here, exchange effects are also important, because electrons are fermions. At a technical
level, the depletion region is encoded in the Coulomb hole and the screened exchange
selfenergy.
quasiparticle BE will be subtle. Indeed, there are no pre-canned recipes for this
task. Each physical situation has to be analyzed separately, using quantum-statistical
techniques [9, 10, 11].
For standard metals [15] and superconductors [16, 17, 18, 19], for instance, the
BE for quasiparticles can be rigorously derived from basic Hamiltonians, provided
the quasiparticles are well-defined. The main reason is the separation of energy
scales [20]: A high-energy scale set by the Fermi momentum kF and a low-energy
scale given by the width ∆k of the thermal layer around the Fermi surface, see
Fig. 8.3. The latter also defines the wavelength 1/∆k of the quasiparticles respon-
sible for transport. Because of the separation of scales, an ab initio calculation of
transport coefficients is possible along the lines put forward by Rainer [21] for the
calculation of transition temperatures in superconductors, which is a closely related
problem, see also [22].
For semiconductors, on the other hand, a BE for quasiparticles can only be rigor-
ously derived when they are degenerate, that is, heavily doped and thus metal-like;
the scales are then again well separated. However, when the doping is small, or
in moderately optically excited semiconductors, the electrons are non-degenerate.
Thus, neither a Fermi energy nor a transport energy scale can be defined. In that
case, a BE for quasiparticles is very hard to justify from first principles [23], despite
the empirical success the BE has also in these situations.
8.1.3 Heuristic Derivation of the Quasiparticle Boltzmann Equation
Since we will be mainly concerned with computational techniques developed for

the solution of the quasiparticle BE, we skip the lengthy quantum-statistical
Δk
thermal layer
kF
Fermi
surface
k=0
Fig. 8.3. Separation of the momentum (and thus energy) scales in a metal. The Fermi momen-
tum kF sets the high-energy scale, whereas the thermal smearing-out of the Fermi surface,
∆k, gives the scale relevant for transport. Using quantum-statistical methods, a correlation
function called g K , which is closely related to the distribution function g can be systemati-
cally expanded in ∆k/kF ∼ kT /EF . If the quasiparticles have long enough lifetimes, g K
reduces, in leading order, to g and satisfies a BE [20]
228 F. X. Bronold
derivation and simply summarize the necessary conditions a many-particle system

has to satisfy to be suitable for a BE-based analysis:
(i) The quasiparticles should be well-defined objects. The time they spend in a
state with energy En (k), that is, the average time before scattering between
quasiparticles, with material imperfections, or with phonons3 takes place,
should be large compared to /En (k).
(ii) The coupling to the scatterer (impurities, quasiparticles, and phonons) should
be weak, that is, the collision integral in the quasiparticle BE should be calcu-
lable perturbatively.
(iii) External electro-magnetic fields and temperature gradients should be weak
enough so that their effect during a collision can be neglected. In addition, their
spatio-temporal variation has to be small within a mean free path or a mean
free time.
When conditions (i)–(iii) are satisfied, a BE exists for quasiparticles. This is the
regime of Boltzmann transport in condensed matter.
The structure of the BE for quasiparticles can be guessed heuristically. In anal-
ogy to the BE (8.1), it should be an equation of motion for the quasiparticle distri-
bution function in the nth band, gn (r, k, t). Notice, instead of the velocity v, the
momentum k is now used, because k is the relevant one-particle quantum number
in a given band. The distribution function contains both r and k as independent
variables, whereas the uncertainty principle prohibits a simultaneous measurement
of the two. Thus, by necessity, the quasiparticle BE has to be a rather subtle semi-
classical equation.
Within the semi-classical framework, quasiparticles perform classical intra-band
free flights and occasionally scatter on imperfections, phonons, or other quasipar-
ticles, which then leads to transitions between momentum states and possibly be-
tween bands. Accordingly, the equation of motion which governs the free flight of
a quasiparticle in an electro-magnetic field specified by a vector potential A and a
scalar potential U can be derived from the classical Hamiltonian [24]

1 e
H = En p + A(r) − eU (r) , (8.3)
c
where En (k) is the band energy obtained from the solution of the Schrödinger equa-
tion (8.2), k is the kinetic momentum, and p and r are, respectively, the canonical
momentum and coordinate of the quasiparticle. From the Hamilton equations it then
follows, that a quasiparticle in the nth band centered at r and k in phase space has
to move according to
3
Naturally, phonons comprising the lattice distortion accounted for in the definition of
quasiparticles do not lead to scattering. But there is a residual electron-phonon interac-
tion which induces transitions between different quasiparticle states.

dr 1
= v n (k) = ∇k En (k) ,
dt n

dk 1
= F n = −e E + v n (k) × B (8.4)
dt n c
with E = −∇r U and B = ∇r × A, which immediately leads to the quasiparticle
BE

∂gn e 1 ∂gn
+ v n · ∇r gn − E + v n × B · ∇k gn = , (8.5)
∂t c ∂t c
when the time evolutions of the distribution function due to streaming (l.h.s.) and
scattering (r.h.s.) are balanced.
Suppressing the variables r and t, the general structure of the collision integral
is

∂gn
= {Sn′ k′ ,nk gn′ (k′ )[1 − gn (k)] − Snk,n′ k′ gn (k)[1 − gn′ (k′ )]}
∂t c ′ ′
nk
(8.6)
with Sn′ k′ ,nk the probability for scattering from the quasiparticle state n′ k′ to the
quasiparticle state nk, which has to be determined from the quantum mechanics of
scattering. Its particular form depends on the scattering process (see below). The
collision integral consists of two terms: The term proportional to 1 − gn (k) ac-
counts for scattering-in (gain) processes, whereas the term proportional to gn (k)
takes scattering-out (loss) processes into account. Note, for non-degenerate quasi-
particles4 , gn (k) ≪ 1 and the Pauli-blocking factor 1 − gn (k) reduces to unity.
Some of the numerical techniques we will discuss below are tailored for the so-
lution of the steady-state, spatially uniform, linearized quasiparticle BE, applicable
to situations, where the external fields are weak and the system is close to thermal
equilibrium. This equation can be obtained from the full BE (8.5) through an expan-
sion around thermal equilibrium. In the absence of magnetic fields and for a single
band it reads [6, 7]
"
∂f "" (1)
− eE · v = Cg (k) , (8.7)
∂E " E(k)
where the r.h.s. symbolizes the linearized collision integral and g (1) = g − f
is the deviation of the distribution function from the Fermi function f (E) =
[exp(E/kB T ) + 1]−1 . Here T is the temperature and E measures the energy from
the chemical potential. With the help of the detailed balance condition
Sk′ ,k f (E(k′ ))[1 − f (E(k))] = Sk,k′ f (E(k))[1 − f (E(k′ ))] , (8.8)
the linearized collision integral becomes5
4 ∗ 3
with mass m are non-degenerate when nλdB ≪ 1, where n is the density
Quasiparticles
2 ∗
and λdB = h /2πm kB T is the de Broglie wavelength of the quasiparticles.
5
Recall, we suppress in the collision integral the variables r and t.
230 F. X. Bronold

$ %
(1) (1) ′ f (E(k)) (1) 1 − f (E(k′ ))
Cg (k) = Sk,k′ g (k ) − g (k)
f (E(k′ )) 1 − f (E(k))
k′ (8.9)

= # k,k′ g (1) (k′ ) ,
Q
k′
where in the second line we defined a matrix

1 − f (E(k′′ ))
# k,k′ = Sk,k′ f (E(k)) −
Q Sk′ ,k′′ δkk′ . (8.10)
′
f (E(k )) 1 − f (E(k′ ))
′′ k
8.2 Techniques for the Solution of the Boltzmann Equation

In the previous section we phenomenologically derived the BE for quasiparticles6
and listed the necessary conditions for Boltzmann transport in condensed matter.
The standard way to analyze transport processes in condensed matter consists then
of three main steps:
(i) Determine appropriate interaction mechanisms for the quasiparticles responsi-
ble for the transport phenomenon under consideration and calculate the rele-
vant scattering probabilities. This step requires quasiparticle energies and wave
functions. For electronic quasiparticles, they have to be obtained from (8.2)
using, for instance, the ab initio methods described in Chap. 14.
(ii) Write down the BE in terms of the external driving terms and scattering proba-
bilities and solve it.
(iii) Calculate the relevant currents for a confrontation with experiments. For weak
external fields, i.e., in the linear regime, use the currents to extract transport co-
efficients (electric and thermal conductivity, mobility etc.) which may be more
suitable for a comparison with experiments.
The calculation of the currents or transport coefficients is straightforward pro-
vided the solution of the BE is known. Solving the BE is, however, a serious task. It
is a complicated non-linear integro-differential equation, which in almost all cases
of interest cannot be solved analytically. Noteworthy exceptions are the linearized
BE for a classical gas with an interaction potential U (r) ∼ r−4 [7] and the linearized
BE for an isotropic Fermi liquid at very low temperatures, where particle-particle
Coulomb scattering dominates [25, 26].
Usually the BE has to be solved with a computer. Two groups of techniques can
be roughly distinguished. The first group consists of classical numerical techniques
for the solution of integro-differential equations (approximating differentials by fi-
nite differences, integrals by sums, and using numerical routines for manipulating
the resulting algebraic equations). They are mostly applied to situations where ex-
ternal fields and temperature gradients are weak and the BE can be linearized around
the local thermal equilibrium. In principle, however, they can be also used to solve
6
From now on, BE refers to quasiparticle BE.
the full BE. With an eye on the calculation of the electric conductivity of metals
and the calculation of hot-electron distributions in semiconductors, we will describe
two such methods: Numerical iteration [27, 28, 29, 30, 31, 32, 33, 34, 35] and al-
gebraization through an expansion of the distribution function in terms of a set of
basis functions [36, 37, 38, 39, 40, 41, 42, 43].
The second group consists of Monte Carlo techniques for the direct simulation
of the stochastic motion of quasiparticles, whose distribution function is governed
by the BE. These techniques are the most popular ones currently used because the
concepts they invoke are easy to grasp and straightforward to implement on a com-
puter. In addition, Monte Carlo techniques can be applied to far-off-equilibrium
situations and are thus ideally suited for studying hot-electron transport in semicon-
ductor devices which is of particular importance for the micro-electronics industry.
Below, we will present two different Monte Carlo approaches. The first approach,
which evolved into a design tool for electronic circuit engineers, samples the phase
space of the quasiparticles by monitoring the time evolution of a single test-particle
[44, 45, 46, 47, 48, 49]. Whereas the second approach generates the time evolution
of N -electron configurations in a discretized momentum space [50]. This is partic-
ularly useful for degenerate electrons, where Pauli-blocking is important.
8.2.1 Numerical Iteration
8.2.1.1 Spatially Uniform, Steady-State BE with Linearized Collision Integral
Based on the linearized BE (8.7), numerical iteration has been extensively used for
calculating steady-state transport coefficients for metals in uniform external fields
[27, 28, 29, 30]. In contrast to the full BE, the linearized BE is not an integro-
differential equation but an inhomogeneous integral equation to which an iterative
approach can be directly applied. As an illustration, we consider the calculation of
the electric conductivity tensor σ.
To set up the iteration scheme, g (1) is written in a form which anticipates that
(1)
g will change rapidly in the vicinity of the Fermi surface, see Fig. 8.3, while it
will be a rather smooth function elsewhere. The relaxation time approximation [6, 7]
suggests for g (1) the ansatz
"
(1) ∂f ""
g (k) = − eE · v(k)φ(k) , (8.11)
∂E "E(k)
where E(k) and v(k) are, respectively, the energy measured from the chemical
potential and the group velocity of the quasiparticles. In terms of the function φ(k),
which can be interpreted as a generalized, k-dependent relaxation time, the electric
current becomes [6, 7]

dk
j = 2e v(k) g (1) (k)
(2π)3
232 F. X. Bronold
"
dk ∂f ""
= −2e2 φ(k) v(k) : v(k)E
(2π)3 ∂E "E(k)
= σE , (8.12)
from which we can read off the electric conductivity tensor

"
2 dk ∂f ""
σ = −2e φ(k) v(k) : v(k) , (8.13)
(2π)3 ∂E "E(k)
where : denotes the tensor product and the factor two comes from the spin. Note,
although the particular structure of (8.11) is inspired by the relaxation time approx-
imation, the iterative approach goes beyond it, because it does not replace the lin-
earized collision integral by −g (1) /τ , where τ is the relaxation time, but keeps it
fully intact. In addition, it is also more general than variational approaches [6, 7]
because the function φ(k) is left unspecified.
To proceed, we insert (8.11) into (8.7). Using the collision integral in the form
(8.9) and defining
X(k; E) = −eE · v(k) , (8.14)
we obtain
" "
∂f "" 1 − f (E(k′ )) ∂f ""
X(k; E) = Sk,k′ X(k; E)φ(k)
∂E "E(k) 1 − f (E(k)) ∂E "E(k)
k′
"
f (E(k)) ∂f "" ′ ′
− X(k ; E)φ(k ) , (8.15)
f (E(k′ )) ∂E "E(k′ )
which can be simplified to

′ ′
1+ k′ Sk,k′ [1−f (E(k ))]X(k ;E) ′
[1−f (E(k))]X(k;E) φ(k )
φ(k) = ′
1−f (E(k ))
, (8.16)
k′ Sk,k′ 1−f (E(k))
when we recall the identity

"
∂f "" 1
" = f (E(k))[1 − f (E(k))] . (8.17)
∂E E(k) kB T
Notice that the precise form of the single band scattering probability Sk,k′ is im-
material for the iteration procedure which can thus handle all three major scat-
tering processes: Elastic electron-impurity, inelastic electron-phonon, and electron-
electron scattering.
Equation (8.16) is an inhomogeneous integral equation suitable for iteration:
Starting with φ(0) = 0 (thermal equilibrium), a sequence of functions φ(i) , i ≥ 1,
can be successively generated, which comes with increasing i arbitrarily close to
the exact solution, provided the process converges. Convergence is only guaranteed
when the kernel is positive and continuous. This is not necessarily the case, but it
can be enforced when selfscattering processes are included, see below.
The iteration process needs as an input the scattering probability. The most
important scattering processes affecting the electric conductivity of metals are
electron-impurity and electron-phonon scattering. The former determines the con-
ductivity at low temperatures whereas the latter at high temperatures7. In our nota-
tion, these two scattering probabilities are given by [28]
imp 2π
Sk,k′ = |M imp (cos θkk′ )|2 δ(E(k′ ) − E(k)) , (8.18)

ph 2π "" ph ′ "2 ?
Sk,k ′ = Mλ (k − k)" Nλq δ(E(k ′ ) − E(k) − ωλq ) δk′ −k,q+Qi

qλ Qi
@
+[1 + Nλq ] δ(E(k ′ ) − E(k) + ωλq )δk−k′ ,q+Qi , (8.19)
where M imp (cos θkk′ ) is the electron-impurity coupling which depends on the angle
θkk′ between k and k′ (isotropic elastic scattering), Mλph (k′ − k) is the electron-
phonon coupling, and Nλq = [exp(ωλq ) − 1]−1 is the equilibrium distribution
function for phonons with frequency ωλq ; q, λ, and Qi are the phonon wave-vector,
the phonon polarization, and the ith reciprocal lattice vector, respectively. The cou-
pling functions are material specific and can be found in the literature [6, 7, 8].
In order to obtain a numerically feasible integral equation, (8.18) and (8.19)
are inserted into (8.16) and the momentum sums are converted into integrals. The
integral over k′ is then transformed into an integral over constant energy surfaces
using8
dk′ 1 dΩ(k′ )
′
→ 3
→ 3
dE(k ) , (8.20)
′
(2π) (2π) |v(k′ )|
k
where dΩ(k ) is the surface element on the energy surface E(k′ ). The δ-functions
′
appearing in the scattering probabilities (8.18) and (8.19) are then utilized to elim-
inate some of the integrations thereby reducing the dimensionality of (8.16). For
isotropic bands φ(k) → φ(E(k)), and one ends up with an one-dimensional in-
tegral equation which can be readily solved by iteration. For more details see
[27, 28, 29, 30].
8.2.1.2 Spatially Uniform BE with the Full Collision Integral
The iterative approach can be also applied to the full BE. This is of particular interest
for the calculation of distribution functions for electrons in strong external fields
[31, 32, 33, 34, 35]. In that case, however, the BE has to be first converted into an
integral equation. This is always possible because the free streaming term in (8.5)
has the form of a total differential which can be integrated along its characteristics.
7
Electron-electron scattering does not affect the electric conductivity, as long as normal
processes are only taken into account. Umklapp processes, on the other hand, contribute
to the conductivity, but the matrix elements are usually very small.
8
The volume is put equal to one.
234 F. X. Bronold
As an illustration, we consider a spatially uniform, non-degenerate electron system9

in a single band and an arbitrarily strong electric field. Then we can write the BE as
$ %
∂ e
− E · ∇k + λk + Sk g(k, t) = [Sk′ ,k + Sk δk,k′ ]g(k′ , t) , (8.21)
∂t ′ k
where we introduced the scattering-out rate

λk = Sk,k′ , (8.22)
k′
and added on both sides of the equation a selfscattering term Sk g(k, t), which has
no physical significance, but is later needed to simplify the kernel of the integral
equation.
To transform (8.21) into an integral equation, we introduce path variables k∗ =
k + e/Et∗ and t∗ = t which describe the collisionless motion of the electrons
along the characteristics of the differential operator [31, 45]10 . In terms of these
variables, (8.21) can be written as
d 9 & t∗
# k(k∗ ,y)
: & t∗
#
∗
g(k(k ∗ ∗
, t ), t∗
) e 0
dy λ
= e 0 dyλk(k∗ ,y) S#k′ ,k(k∗ ,t∗ ) g(k′ , t∗ )
dt ′
k
(8.23)
with λ# k = λk + Sk and S#k′ ,k = Sk′ ,k + Sk δkk′ . Integrating this equation from t∗

1
to t2 > t∗1 and setting k = k∗ − eEt∗2 /, t = t∗2 , and t′ = t∗1 yields
∗
&
eE t #
g(k, t) =g k + (t − t′ ), t′ e− t′ dyλk+eE(t−y)/

t &t #
+ dt∗ e− t∗ dyλk+eE(t−y)/ S#k′ ,k+eE(t−t∗ )/ g(k′ , t∗ ) . (8.24)
t′ k′
This equation, which is an integral representation of the BE (8.21), can be further

simplified when we consider the physical content of the terms on the r.h.s. The first
term denotes the contribution to g(k, t) originating from electrons which were in
state k + eE(t − t′ )/ at time t′ and drifted to the state k at time t without being
scattered. The second term, on the other hand, denotes the contribution of electrons
which were scattered from any state k′ to the new state k + eE(t − t∗ )/ at any
time t∗ between t and t′ and arrive at the state k at time t without being scattered. In
both terms, the time t′ is arbitrary. It can be any time. The only requirement is that
t′ < t. We can thus take the convenient limit t′ → −∞, in which case the first term
on the r.h.s. of (8.24) vanishes because g(k, t) vanishes for k → ∞. The integral
representation of (8.21) reduces therefore to
9
No Pauli blocking, i.e. 1 − g → 1 in (8.6).
10
A generalization of the procedure to spatially non-uniform situations is conceivable, but
will not be discussed here.
t & t # k+eE(t−y)/
g(k, t) = dt∗ e− t∗
dy λ
S#k′ ,k+eE(t−t∗ )/ g(k′ , t∗ ) . (8.25)
−∞ k′
This form of the BE is not yet particularly useful, because the time integral
in the exponent contains an integrand which almost always cannot be integrated
exactly. Even if it can, the result would be a complicated function, unsuited for fast
numerical manipulations. It is at this point, where the selfscattering term, which we
artificially added on both sides of the BE, can be used to dramatically simplify the
integral equation, as was first noticed by Rees [32]. Since the selfscattering rate Sk
is completely unspecified, we can use it to enforce a particularly simple form of λ#k .
An obvious choice is
#k = λk + Sk = Γ ≡ const
λ (8.26)
with a constant Γ > sup λk in order to maintain the physical desirable interpretation
of Sk = Γ −λk in terms of a selfscattering rate, which, of course, has to be positive.
With (8.26), (8.25) reduces after a re-labeling of the time integration variable to
∞
g(k, t) = dτ e−Γ τ S#k′ ,k+eEτ / g(k′ , t − τ ) . (8.27)
0 k′
This form of the uniform BE is well-suited for an iterative solution [32, 34]. The
parameter Γ turns out to be crucial. It not only eliminates a complicated integration
but it also enforces a positive, continuous kernel which is necessary for the iteration
procedure to converge [33].
From a numerical point of view, integral equations are less prone to numerical
errors than differential equations. It can be therefore expected that an iteration based
solution of (8.27) is numerically more robust than a numerical treatment of the BE
in integro-differential form. Another nice property of the iterative approach is that it
processes the whole distribution function which is available any time during the cal-
culation. This is particularly useful for degenerate electrons, where Pauli-blocking
affects electron-electron and electron-phonon scattering rates. In the simplest, and
thus most efficient, particle-based Monte Carlo simulations, in contrast, the distri-
bution function is only available at the end of the simulation, see Sect. 8.2.3.
At first sight the dimensionality of the integral equation11 seems to ruin any
efficient numerical treatment of (8.27). This is however not necessarily so. The
time integration, for instance, is a convolution and can be eliminated by a Laplace
transform (t ↔ s). In the Laplace domain, (8.27) contains s only as a parameter
not as an integration variable. The efficiency of the method depends then on the
efficiency with which the remaining k-integration can be performed. For realistic
band structures and scattering processes this may be time consuming. However, it
is always possible to express g(k, s) in a symmetry adopted set of basis functions,
thereby converting (8.27) into a set of integral equations with lower dimensionality.
11
Three momentum variables and one time variable.
236 F. X. Bronold
Hammar [35], for instance, used Legendre polynomials to expand the angle depen-
dence of the distribution function and obtained an extremely fast algorithm for the
calculation of hot-electron distributions in p − Ge and n − GaAs. In addition, it
is conceivable to construct approximate kernels, which are numerically easier to
handle.
8.2.2 Expansion into an Orthonormal Set of Basis Functions

Another technique which is often used to solve the BE is the expansion of the one-
particle distribution function in terms of an orthonormal set of basis functions. The
BE reduces then to a set of integro-differential equations with less independent vari-
ables. The method leads thus to a partial algebraization of the BE.
A typical example from plasma physics is the Lorentz ansatz for the distribution
function
v
g(r, v, t) = g (0) (r, v, t) + g (1) (r, v, t) · + ... (8.28)
v
which comprises the first two terms of the expansion of the velocity space angle
dependence of g(r, v, t) in terms of spherical harmonics. In particular, calculations
of transport coefficients for gas discharges are based on this expansion, see, for in-
stance, the review by Winkler [5]. The simplification arises here from the fact that
the expansion coefficients g (i) with i = 0, 1, ... are independent of the angle vari-
ables in velocity space. Hence, the equations determining g (i) , which are obtained
from the BE by inserting (8.28) and averaging over the velocity space angles, have
two less independent variables. Symmetries of the discharge can be used to further
reduce the number of independent variables. This depends, however, on the details
of the discharge and thus on the particular form of the BE.
Naturally, the expansion method is most useful for the spatially-uniform, steady-
state, linearized BE, where the expansion coefficients depend at most on the magni-
tude of the velocity and the collision integral is linear in the expansion
coefficients. As an example from condensed matter physics, we discuss here the
expansion method developed by Allen [37] and Pinski [38]. It is an adaptation
of (8.28) to quasiparticles and has been applied to various metals and alloys
[39, 40, 41, 42, 43]. In that case, the algebraization is even complete leading to
a linear set of algebraic equations for the expansion coefficients, which are just con-
stants. In addition, the Allen-Pinski expansion typifies an ab initio approach because
it is usually furnished with first-principle electronic structure data.
Having in mind the calculation of the electric conductivity of a metal, we again
start from the linearized BE (8.7), but now with the linearized collision integral
written in the form (8.9). Defining the function φ by
"
∂f ""
g (1) (k) = − φ(k) , (8.29)
∂E "E(k)
which deviates slightly from the definition used in the previous subsection, and as-
suming the electric field to be in x-direction, the electric current in x-direction be-
comes, see (8.12),
"
∂f ""
jx = −2e vx (k) φ(k) (8.30)
∂E " E(k)
k
with φ satisfying the linearized BE in the form
"
∂f ""
− eEx vx (k) " = Qkk′ φ(k′ ) , (8.31)
∂E E(k) ′ k
where the kernel of the collision integral is given by

"
∂f "" # kk′
Qkk = −
′ Q (8.32)
∂E "E(k)
with Q# kk′ defined in (8.10).

Although the iterative approach described in the previous subsection could be
used to calculate φ(k) from (8.31), this is not very efficient, in particular, for metals
with a complicated Fermi surface, where the required numerical integrations can be
rather subtle and time-consuming. Allen [37] suggested therefore to expand φ(k) in
a complete set of functions, which takes the symmetry of the crystal and thus the
topology of the Fermi surface into account, and to transform (8.31) to a symmetry-
adapted matrix representation which is then solved by matrix inversion. For that
purpose Allen [37] introduced a particular biorthogonal product basis, consisting of
Fermi surface harmonics FJ (k) and energy polynomials σn (E(k)).
The strength of Allen’s approach stems form the mathematical properties of
the basis functions. The Fermi surface harmonics FJ (k) with J = X, Y, Z, X 2, ...
are polynomials of the three Cartesian components of the velocity v(k). They are
periodic functions in k-space and orthogonal when integrated over the Fermi surface
[36]. More precisely

FJ (k)FJ ′ (k)δ(E(k) − E) = N (E)δJJ ′ (8.33)
k

with N (E) = k δ(E(k) − E) the single-spin density of states at energy E; re-
call, we put the volume equal to one. Fermi surface harmonics are useful for the
description of variations of φ(k) on the energy shell, which may be anisotropic
and even consisting of various unconnected pieces. For spherical energy shells, the
FJ (k) reduce to spherical harmonics Ylm (k) with k the unit vector in direction of
k. For general topologies they have to be constructed on a computer. The Fermi
surface harmonics transform as basis functions of the irreducible point group of
the crystal for which they are constructed. This is a particularly useful property,
because it leads to a block-diagonal matrix representation for the BE (8.7). For
single sheet, cubic symmetry energy surfaces, the lowest order Fermi surface har-
monics are FJ (k) = v J (k)/v(E(k)) with J = X, Y, Z and a normalization fac-
tor v(E) = [N (E)−1 k vx (k)2 δ(E(k) − E)]1/2 , which is the root-mean-square
velocity at the energy surface E. Further details about Fermi surface harmonics,
in particular, the construction principle for arbitrary energy surfaces, can be found
in [36].
238 F. X. Bronold
The energy polynomials σn (E) are nth order polynomials in E/(kB T ), which
are orthogonal with respect to the weight function −∂f /∂E with

∂f
dE − σn (E)σn′ (E) = δnn′ . (8.34)
∂E
They will be used to describe variations perpendicular √to the Fermi surface. The
first two polynomials are σ0 (E) = 1 and σ1 (E) = 3E/(πkB T ). Higher or-
der ones have to be again constructed on a computer, using the recursion relation
given by Allen [37]. As pointed out by Pinski [38], another possible choice for
the energy√polynomials, which may lead to faster convergence in some cases, is
σn (E) = 2n + 1Pn (tanh[E/(2kB T )]), where Pn (E) is the nth order Legendre
polynomial.
Allen used the functions FJ (k) and σn (E(k)) to define two complete sets of
functions which are biorthogonal. With the proper normalization, they are given by
FJ (k)σn (E(k))
χJn (k) = ,
N (E(k))v(E(k))
"
∂f ""
ξJn (k) = −FJ (k)σn (E(k))v(E(k)) (8.35)
∂E "E(k)
with N (E) and v(E), respectively, the single-spin density of states and the root-
mean-square velocity at energy E (see above). With the help of (8.33) and (8.34),
it is straightforward to show that χJn (k) and ξJn (k) satisfy the biorthogonality
conditions

χJn (k)ξJ ′ n′ (k) = δJJ ′ δnn′ ,
k

χJn (k)ξJn (k′ ) = δkk′ . (8.36)
Jn
Any function of k can be either expanded in terms of the functions χJn (k) or in
terms of the functions ξJn (k). The functions χJn are most convenient for expanding
functions which are smooth in energy. Since in (8.29) we split-off the factor −∂E f ,
we expect φ(k) to exhibit this property and thus write

φ(k) = φJn χJn (k) . (8.37)
Jn
The functions ξJn , on the other hand, vary strongly in the vicinity of the Fermi
surface. They are used at intermediate steps to express functions which peak at the
Fermi energy.
We are now able to rewrite (8.31). Using the definition of ξJn , the l.h.s. imme-
diately becomes
l.h.s. of (8.31) = eEx ξX0 (k) . (8.38)
For the r.h.s., we find

r.h.s. of (8.31) = Qkk′ δk′ k′′ φ(k ′′ )
k′ k′′

= Qkk′ χJ ′ n′ (k′ ) ξJ ′ n′ (k′′ )φ(k′′ )
J ′ n′ k′ k′′

′
= Qkk′ χJ ′ n′ (k )φJ ′ n′ , (8.39)
J ′ n′ k′
where in the second line we expressed the Kronecker delta via (8.36) and in the third
line we used the inverse of (8.37)

φJn = ξJn (k)φ(k) . (8.40)
k
Multiplying (8.38) and (8.39) from the left with χJn (k) and summing over all k
leads to the final result

Ex δn0 δJX = QJn,J ′ n′ φJ ′ n′ (8.41)
J ′ n′

with QJn,J ′ n′ = kk′ χJn (k)Qkk′ χJ ′ n′ (k′ ).
Equation (8.41) is the symmetry-adapted matrix representation of the linearized
BE (8.31). Its solution gives the expansion coefficients φJn . To complete the cal-
culation, we have to express the electric current jx in terms of these coefficients.
Using in (8.30) the definition for ξX0 (k) and the biorthogonality condition (8.36),
we obtain
jx = 2eφX0 , (8.42)
which with (8.41) yields
σxx = 2e2 [Q−1 ]X0,X0 . (8.43)
Thus, in Allen’s basis, the xx-component of the electric conductivity tensor is just
the upper-most left matrix element of the inverse of the matrix which represents the
linearized collision integral. Remember, because of the symmetry of the basis func-
tions, this matrix is block-diagonal. The numerical inversion is therefore expected
to be fast.
The numerical bottleneck is the calculation of the matrix elements QJn,J ′ n′ .
They depend on the symmetry of the metal and, of course, on the scattering pro-
cesses. For realistic band structures, this leads to rather involved expressions, which,
fortunately, are amenable to some simplifications arising from the fact that in met-
als kB T /EF ≪ 1, where EF is the Fermi energy. The k-integration can thus be
restricted to the thermal layer with width ∆k, see Fig. 8.3. For explicit expressions,
we refer to the literature [37, 38, 39, 40, 41, 42, 43]. Although Allen’s approach
is not straightforward to implement, it has the advantage that it can handle com-
plicated Fermi surfaces in a transparent manner. In practice, the matrix elements
QJn,J ′ n′ are expressed in terms of generalized coupling functions which can be
either directly obtained from experiments or from ab initio band structure calcula-
tions. Allen’s method of solving the linearized BE is therefore geared towards an ab
initio calculation of transport coefficients for metals.
240 F. X. Bronold
8.2.3 Particle-Based Monte Carlo Simulation
The most widely accepted method for solving the electron transport problem in
semiconductors is the particle-based Monte Carlo simulation [44, 45, 46, 47, 48, 49].
In its general form, it simulates the stochastic motion of a finite number of test-
particles and is equivalent to the solution of the BE. This technique has been, for
instance, used to simulate field-effect transistors from a microscopic point of view,
starting from the band structures and scattering processes of the semiconducting
materials transistors are made off.
A Monte Carlo simulation of Boltzmann transport is a one-to-one realization of
Boltzmann’s original idea of free flights, occasionally interrupted by random scat-
tering events, as being responsible for the macroscopic transport properties of the
gas under consideration; here, the electrons in a semiconductor. The approach relies
only on general concepts of probability theory, and not on specialized mathematical
techniques. Because of the minimum of mathematical analysis, realistic band struc-
tures, scattering probabilities, and geometries can be straightforwardly incorporated
into a Monte Carlo code. However, the method has some problems to account for
Pauli-blocking in degenerate electron systems. It has thus not been applied to de-
generate semiconductors, metals, or quantum fluids.
8.2.3.1 Spatially Uniform, Steady-State BE with the Full Collision Integral
First, we focus on the simplest situation: Steady-state transport in a spatially uni-

form, non-degenerate semiconductor. For the techniques described in the previous
Subsections, this situation is already rather demanding, in particular, when a realis-
tic electronic structure is used, which leads to involved k-summations. The Monte
Carlo simulation, on the other hand, requires no k-summations. Moreover, in that
particular case, transport coefficients for electrons can be calculated rather easily be-
cause ergodicity guarantees that the simulation of a single test-particle is sufficient
to sample the whole phase space.
Instead of attempting to solve
9 e :
− E · ∇k + λk + Sk g(k, t) = [Sk′ ,k + Sk δkk′ ] g(k′ , t) , (8.44)
′
k
which is the BE appropriate for steady-state transport in a single band of a semicon-

ductor subject to an uniform electric field, the Monte Carlo approach simulates the
motion of a single test-electron in momentum space. For that purpose, it generates a
large number of free flights, where the test-electron drifts freely in the electric field
until it suffers one of the possible scattering processes, see Fig. 8.4. The technique
uses random variables to represent the duration of the free flight, to select the type
of scattering which terminates the free flight, and to determine the momentum of the
test-electron after the scattering event, which is then used as the initial momentum
for the next free flight. The steady-state does not depend on the initial condition for
the first free flight. Any convenient choice can therefore be made.
t1 t2 t3 t4 t5
time
Fig. 8.4. Schematic representation of the particle-based Monte Carlo simulation of steady-
state Boltzmann transport in spatially uniform solids. A single test-particle suffices here be-
cause ergodicity guarantees that the whole phase space is sampled. The test-particle performs
free flights in the external field, randomly interrupted by one of the possible scattering pro-
cesses (black bullets). The simulation consists of a finite number of free flights, starting from
an arbitrary initial condition (grey bullet). For each free flight the simulation uses random
numbers to generate its duration ti , to select the terminating scattering process, and to deter-
mine the test-particles’ momentum after the scattering event, which then serves as the initial
momentum for the next free flight
Because of ergodicity, the ensemble average of a single-particle observable

O(k) is equal to the time average of this observable. Splitting the total simulation
time ts into a finite number of free flights with duration ti we obtain
1
ti
O = Ots = dt O(k(t)) , (8.45)

i
ts
0
where O can be, for instance, the energy of the electron E(k) or its velocity v(k) =
−1 ∇k E(k). Note, for each free flight, the time integration starts all over again
from zero. The test-electron has no memory, reminiscent of the Markovian property
of the BE.
The probability distributions for the random variables used in the Monte Carlo
simulation are given in terms of the electric field and the transition probabilities for
the various scattering processes. For realistic band structures the distributions can be
quite complicated, in particular, the distribution of the duration of the free flights.
Special techniques have to be used to relate the random variables needed in the
simulation to the uniformly distributed random variables generated by a computer.
Let us first consider the distribution of the duration of the free flights. The proba-
bility for the test-electron to suffer the next collision in the time interval dt centered
around t is given by
&
#k(t) e− t # ′
dt′ λ
P (t)dt = λ 0 k(t ) dt , (8.46)
where k(t) = k0 − (e/)Et, with k0 the arbitrary wave vector from which the first
#k the total transition rate from state k due to all scattering
free flight started, and λ
processes, including selfscattering. In Sect. 8.2.1, we introduced selfscattering in
order to simplify the integral representation of the BE. But it is also very useful in
the present context because, using again the choice (8.26), it leads to λ # = Γ and
thus to
P (t)dt = Γ e−Γ t dt . (8.47)
242 F. X. Bronold
Note, without selfscattering, we should have integrated over λk(t) , comprising only
real scattering events. For realistic band structures, this could have been done only
numerically, and would have lead to a rather complicated P (t)dt, useless for further
numerical processing.
To relate the random variable t to a random variable R ∈ [0, 1] with a uniform
distribution, we consider the cumulant of P (t),
t
c(t) = dt′ P (t′ ) = 1 − e−Γ t , (8.48)
0
which for a random value of t is a random variable R, uniformly distributed between

[0, 1] because c(0) = 0 and c(∞) = 1. Thus, c(t) = R. Inverting (8.48) and
introducing a new random variable R1 = 1 − R, which is also uniformly distributed
in [0, 1], the duration of the free flights can be easily generated by
1
t=− ln R1 . (8.49)
Γ
Having determined the duration of a free flight, a scattering event, responsible
for the end of the free flight, has to be chosen. As mentioned before, we assume that
#k is the total transition rate from state k, which is now the terminating momentum
λ
#k = N λp +Sk = N +1 λp ,
of the free flight, including selfscattering, that is, λ p=1 k p=1 k
where N is the total number of real scattering processes and λN k
+1
= Sk . From
definition (8.26) follows λ #k = Γ . One way of choosing the terminating scattering
process is therefore to generate a random variable R2 ∈ [0, 1] and to form partial
sums until
m−1 m
1 p 1 p
λk < R2 ≤ λ (8.50)
Γ p=1 Γ p=1 k
is satisfied. The mth process is then the terminating one.

Equation (8.50) contains selfscattering and real scattering processes. In the for-
mer the momentum is conserved, that is, k = k′ , with k′ the momentum after
the scattering event. For real scattering processes, however, k′ is a random variable
which has to be determined from the transition probabilities of the various scattering
processes whose precise forms in turn depend on the material. We describe there-
fore only the basic strategy for choosing the momentum of the test-electron after the
scattering event, assuming electron-impurity and electron-phonon scattering to be
responsible for the end of the free flight, see Fig. 8.5.
From the momentum k the test-electron has at the end of the free flight, we
obtain its energy E(k) before the scattering event. Energy conservation can then be
used to determine the energy E ′ of the test-electron after the scattering event. For
electron-impurity scattering E ′ = E(k) (elastic scattering) whereas for electron-
phonon scattering E ′ = E(k)±ω, where for simplicity we assumed dispersionless
phonons with energy ω. The upper and lower sign corresponds, respectively, to
phonon absorption and emission, which are treated here as separate processes. In
most cases, the part of the semiconductors’ band structure relevant for transport can
final
state
initial
state bath
Fig. 8.5. Illustration of the scattering event in the test-particle-based Monte Carlo simula-
tion. The test-particle scatters off a generalized bath representing impurities and phonons.
For elastic scattering, the test-electron gains or loses only momentum, whereas for inelastic
scattering it can also transfer or receive energy
be assumed to be isotropic. The magnitude of the final state momentum, k ′ = |k′ |

can thus be obtained from E ′ = E(k ′ ). The orientation of the vector k′ , however,
is still unspecified.
When the scattering process is randomizing, all momentum states on the final
state energy surface are equally probable. Measuring the orientation of k′ in polar
coordinates, with k pointing in the z-direction, the probability12 for k′ to be given
by kx′ = k ′ cos φ′ sin θ′ , ky′ = k ′ sin φ′ sin θ′ , and kz′ = k ′ cos θ′ , with 0 ≤ φ′ ≤ 2π
and 0 ≤ θ′ ≤ π, is P (φ′ , θ′ ) = (1/4π) sin θ′ . To relate the random variables φ′
and θ′ to two uniformly distributed random variables in the interval [0, 1], we first
condition the two-variable probability P (φ′ , θ′ ) in the form
P (φ′ , θ′ ) = P1 (φ′ )P2 (θ′ |φ′ ) , (8.51)

&π
where P1 (φ′ ) = 0 dθ′ P (φ′ , θ′ ) = 1/(2π) is the marginal probability for φ′ and
P2 (θ′ |φ′ ) = P (φ′ , θ′ )/(P1 (φ′ )) = sin θ′ /2 is the conditional probability for θ′
given φ′ . We then apply cumulants (as described above) separately to P1 and P2
and obtain
φ′ = 2πR3 ,
cos θ′ = 1 − 2R4 (8.52)
with R3 and R4 uniformly distributed random variables in the interval [0, 1].
For non-randomizing scattering processes, the probability for the angles is pro-
portional to the transition rate written in the polar coordinates introduced above.
Hence, for given k and k ′ , the properly normalized function P (φ′ , θ′ ; k, k ′ ) =
(sin θ′ /4π)S(k, k ′ , φ′ , θ′ ) gives the probability for the azimuth φ′ and the polar
angle θ′ , both depending therefore on k and k ′ . Applying again the method of con-
ditioning, which can be applied to any two-variable probability, together with the
cumulants, the random variables φ′ (k, k ′ ) and θ′ (k, k ′ ) can be again expressed in
terms of uniformly distributed random variables in the interval [0, 1].
The simulation consists of a finite number of free flights of random duration
and random initial conditions. Average single particle properties, in particular the
12
Strictly speaking, it is the probability density.
244 F. X. Bronold
drift velocity, can then be obtained from (8.45). Assuming the electric field to be in
z-direction, the drift will be also along the z-axis, that is, only the z-component of
the electron momentum will be changed due to the field. Hence, writing (8.45) with
O = vz (kz (t)) and integrating with respect to kz instead of t, the drift velocity is
given by [44]
k
z,f
1 1 ∂E 1
vz = dkz = (Ef − Ei ) , (8.53)
K ∂kz K
flights k flights
z,i
where the sum goes over all free flights, kz,i and kz,f denote the z-component of the
initial and final momentum of the respective free flights, and K is the total length of
the k-space trajectory.
In some cases, the distribution function g(k) may be also of interest. In order to
determine g(k) from the motion of a single test-particle a grid is set up in momen-
tum space at the beginning of the simulation. During the simulation the fraction of
the total time the test-electron spends in each cell is then recorded and taken as a
measure for the distribution function. This rule results from an application of (8.45).
Indeed, using O(k(t)) = ni (k(t)) with ni (k(t)) = 1 when the test-particle is in
cell i and zero otherwise, gives g(ki ) ≡ ni = ∆ti /ts , with ∆ti the time spend
in cell i. Averaged single particle quantities for the steady-state could then be also
obtained from the sum

O = O(k)g(k) , (8.54)
k
but for a reasonable accuracy the grid in momentum space has to be very fine. It is
therefore more convenient to calculate O directly from (8.45).
It is instructive to demonstrate that the Monte Carlo procedure just outlined is
indeed equivalent to solving the steady-state BE (8.44). The equivalence proof has
been given by Fawcett and coauthors [44] and we follow closely their treatment. The
starting point is the definition of a function Pn (k0 , k, t) which is the probability that
the test-electron will have momentum k at time t during the nth free flight when it
started at t = 0 with momentum k0 . The explicit time dependence must be retained
because the electron can pass through the momentum state k any time during the
nth free flight. This probability satisfies an integral equation

t
Pn (k0 , k, t) = dt′ Pn−1 (k0 , k′ , t)S#k′ ,k′′

k′ ,k′′ 0
& ′
# ′′
− 0t−t dt′′ λ
×e k −eEt′′ / δk,k′′ −eE(t−t′ )/ , (8.55)
whose r.h.s. consists of three probabilities which are integrated over. The first one
Pn−1 (k0 , k′ , t) is the probability that the test-electron passes through some mo-
mentum state k′ during the (n − 1)th free flight, the second S#k′ ,k′′ is the probability
that it will be scattered from state k′ to state k′′ , whereas the exponential factor
is the probability that it will not be scattered while drifting from k′′ to k during
the nth free flight. The Kronecker-δ ensures that the test-electron follows the tra-
jectory appropriate for the applied electric field E. The Monte Carlo simulation
generates realizations of the random variable k(t) in accordance to the probability
Pn (k0 , k, t).
Integrating in (8.55) over k′′ and t′ and substituting τ = t − t′ and y = τ − t′′
yields an equation,

t
&τ
# k+eEy/
Pn (k0 , k, t) = dτ Pn−1 (k0 , k′ , t − τ )S#k′ ,k+eEτ / e− 0
dy λ
,
k′ 0
(8.56)
which is a disguised BE. To make the connection with the BE more explicit, we
consider the count at k obtained after N collisions
N ts
1
CN (k0 , k) = lim dtPn (k0 , k, t) . (8.57)
ts →∞ t
n=1 s 0
This number is provided by the Monte Carlo procedure and at the same time it can
be identified with g(k) for N ≫ 1. Thus, CN (k0 , k) is the bridge, which will carry
us from the test-particle Monte Carlo simulation to the traditional BE.
We now perform a series of mathematical manipulations at the end of which
we will have obtained the steady-state, spatially-uniform BE (8.44). Inserting (8.56)
into the definition (8.57), applying on both sides −(e/)E · ∇k from the left, and
using the two identities
eE ∂
− · ∇k S#k′ ,k+eEτ / = − S#k′ ,k+eEτ / ,
∂τ
&
eE & ∂
# k+eEy/
− 0τ dy λ # τ ′#
− · ∇k e =− + λk e− 0 dy λk+eEy/ (8.58)
∂τ
gives
eE #k CN (k0 , k)
− · ∇k CN (k0 , k) = −λ

N ts
!
1 ∂ # &τ
#
− lim dτ Pn−1 (k0 , k′ , t − τ ) Sk′ ,k+eEτ / e− 0 dyλk+eEy/ ,
ts →∞ t
n=1 s ′
∂τ
k 0
(8.59)
where we used definition (8.57) once more to obtain the first term on the r.h.s. This
equation can be rewritten into
246 F. X. Bronold
eE #k CN (k0 , k)
− · ∇k CN (k0 , k) = −λ

N ts &t
1 #
− lim dt Pn−1 (k0 , k′ , 0)S#k′ ,k+eEt/ e− 0 dyλk+eEy/
ts →∞
n=1
t s ′
0 k
N ts N ts
1 1
+ lim dt Pn−1 (k0 , k , t)S#k′ ,k − lim
′
dt
ts →∞ t
n=1 s
ts →∞ t
n=1 s
0 k′ 0

t
∂ &τ
#

× dτ Pn−1 (k0 , k′ , t − τ )S#k′ ,k+eEτ / e− 0 dyλk+eEy/ , (8.60)

∂t
k′ 0
when the τ -integration is carried out by parts and ∂τ Pn−1 = −∂t Pn−1 is used.
Pulling now in the fourth term on the r.h.s. the differential operator ∂t in front of
the τ -integral produces two terms, one of which cancels with the second term on
the r.h.s. and the other vanishes in the limit ts → ∞. As a result, only the first and
third term on the r.h.s. of (8.60) remain. Using finally in the third term again the
definition (8.57) yields
eE
− #k CN (k0 , k) =
· ∇k CN (k0 , k) + λ CN −1 (k0 , k′ )S#k′ ,k , (8.61)
′ k
#k and S#k′ ,k and using CN −1 (k0 , k) → CN (k0 ,

which, recalling the definitions of λ
k) → g(k) for N → ∞, is identical to the BE (8.44). Thus, the simulation of
a large number of free flights, each one terminating in a random scattering event,
indeed simulates the steady-state BE for a spatially uniform semiconductor.
8.2.3.2 Spatially Non-Uniform BE with the Full Collision Integral
For spatially non-uniform situations13 , typical for semiconductor devices, the simu-
lation of a single test-particle is not enough (see Fig. 8.6). With a single test-particle,
for instance, it is impossible to represent the source term of the Poisson equation.
However, this equation needs to be solved in conjunction with the BE to obtain
the self-consistent electric field responsible for space-charge effects which, in turn,
determine the current-voltage characteristics of electronic devices.
Instead of a single test particle it is necessary to simulate an ensemble of test-
particles for prescribed boundary conditions for the Poisson equation and the BE,
where the latter have to be translated into boundary conditions for the test-particles.
The boundary conditions for the Poisson equation are straightforward; Dirichlet
condition, i.e., fixed potentials, at the electrodes and Neumann condition, i.e., zero
electric field, at the remaining boundaries. But the boundary conditions for the test-
particles, which need to be consistent with the ones for the Poisson equation, can be
rather subtle, resulting in sophisticated particle injection and reflection strategies,
13
The same holds for time-dependent situations.
source gate drain
x
charge assignment & force interpolation
Fig. 8.6. Schematic representation of the cross section of a metal-semiconductor field-effect

transistor (MESFET). Shown is a typical discretization of the two-dimensional simulation
volume, a representative electron trajectory, and the contacting through a source, a gate, and
a drain electrode. The BE has to be solved together with the Poisson equation; for both equa-
tions boundary conditions are required, see Sect. 8.2.3.2. Since the Poisson equation is grid-
bound, whereas the BE is not, charge assignment and force interpolation symbolized by the
thin lines inside the circle are required for the simultaneous solution of the two
in particular, when the doping profile of the semiconductor structure is taken into
account. An authoritative discussion of the boundary conditions, as well as other as-
pects of device modeling, can be found in the textbook by Jacoboni and Lugli [47].
Conceptually, the Monte Carlo simulation for semiconductor devices resembles
the particle-in-cell simulations for plasmas described in Chap. 6, and we refer there
for technical details. In particular, the techniques for the solution of the Poisson
equation and the particle weighting and force interpolation required for the cou-
pling of the grid-free electron kinetics (simulation of the BE) with the grid-bound
electric field (solution of the Poisson equation) are identical. In addition, except of
the differences which arise from the particular electric contacting of the simulation
volume, the implementation of particle injection and reflection (boundary condi-
tions for the test-particles) are also basically the same. The only differences are that
the test-particles have to be of course propagated during a free flight according to
dk/dt = −(e/)E and dr/dt = −1 ∇k E(k) and that the scattering processes
are the ones appropriate for semiconductors: Electron-impurity scattering, electron-
phonon scattering, and, in some cases, electron-electron scattering.
In this generalized form, the particle-based Monte Carlo simulation has become
the standard tool for analyzing Boltzmann transport of electrons in semiconductors.
In combination with ab initio band structure data, including scattering rates, it is by
now an indispensable tool for electronics engineers optimizing the performance of
semiconductor devices [46, 47, 48, 49].
8.2.4 Ensemble-Based Monte Carlo Simulation
The test-particle-based Monte Carlo algorithm described in the previous Subsection

cannot be applied to degenerate electron systems where the final state of the scat-
tering may be blocked by the Pauli principle. Mathematically, the Pauli-blocking is
248 F. X. Bronold
encoded in the collision integral (8.6) through the factor 1 − gn (r, k, t). It depends
therefore on the one-particle distribution function which in the test-particle-based
Monte Carlo algorithm is only available at the end of the simulation. In principle, the
distribution function from a previous run could be used, but this requires additional
book-keeping, which, if nothing else, demonstrates that the algorithm presented in
the previous Subsection loses much of its simplicity.
An alternative method, which is most suitable for degenerate Fermi systems is
the ensemble-based Monte Carlo simulation. There are various ways to simulate an
ensemble. We describe here a simple approach, applicable to a spatially homoge-
neous electron system. It is based on the master equation for the probability Pν (t)
that at time t the many-particle system is in configuration ν = (nk1 , nk2 , ...). For
fermions, nki = 0 when the momentum state ki is empty and nki = 1 when the
state is occupied. The one-particle distribution function, which is the solution of the
corresponding BE, is then given by an ensemble average

g(k, t) = Pν (t)nk . (8.62)
ν
The algorithm has been developed by El-Sayed and coworkers and we closely
follow their treatment [50]. The purpose of the algorithm is to simulate electron re-
laxation in a two-dimensional, homogeneous degenerate electron gas, with electron-
electron scattering as the only scattering process. Such a situation can be realized,
for instance, in the conduction band of a highly optically excited semiconductor
quantum well at low enough temperatures. It is straightforward to take other scatter-
ing processes into account. Inhomogeneous situations, typical for device modeling,
can be in principle also treated but it requires a major overhaul of the approach
which we will not discuss.
Taking only direct electron-electron scattering into account, the force-free Boltz-
mann equation for a homogeneous, two-dimensional electron gas reads14
∂gk
=2 Wkp;k′ p′ ([1 − gk ][1 − gp ]gk′ gp′ − gk gp [1 − gk′ ][1 − gp′ ]) (8.63)
∂t ′ ′ p,k p
with
" "2
2π "" ′ "
"
Wkp;k′ p′ = "V (|k − k |)" δk+p;k′ +p′ δ (E(k)+E(p)−E(k′ )−E(p′ )) (8.64)

and V (q) = 2πe2 /[ǫ0 (q + qs )] the statically screened Coulomb interaction in two
dimensions, V = L2 is again put to one. The factor two in front of the sum in (8.63)
comes from the electron spin. As indicated above, the simulation of this equation
via the test-particle-based Monte Carlo technique is complicated because the Pauli
blocking factors depend on the (instantaneous) distribution function. The ensemble
Monte Carlo method proposed by El-Sayed and coworkers [50] simulates therefore
14
Notice the slight change in our notation: g(k) → gk .
the master equation underlying the Boltzmann description. This equation determines
the time evolution of the probability for the occurrence of a whole configuration in
momentum space,
dPν Pν (t)
=− + Wν ′ ν Pν ′ (t) . (8.65)
dt τν ′ ν
Here
1
= Wνν ′ (8.66)
τν ′ ν
is the lifetime of the configuration ν, and Wν,ν ′ is the transition rate from configu-
ration ν to ν ′ . Specifically for electron-electron scattering,
1 νν ′
Wνν ′ = Wkp;k′ p′ nk np [1 − nk′ ][1 − np′ ]Dkp;k ′ p′ (8.67)
2 ′ ′
kpk p
νν ′
A
with Dkp;k ′ p′ = δn′ nk −1 δn′ np −1 δn′ n ′ +1 δn′ n ′ +1
k p k′ k p′ p q =k,p,k′ ,p′ δn′q nq .
The crucial point of the method is that the sampling of the configurations can be
done in discrete time steps τν . The master equation (8.65) then simplifies to

Pν (t + τν ) = Πν ′ ν Pν ′ (t) (8.68)
ν′
with
Πν ′ ν = τν Wν ′ ν (8.69)
′15
the transition probability from configuration ν to configuration ν . Thus, when
the system was at time t in the configuration ν0 , that is Pν (t) = δνν0 , then the
probability to find the system at time t + τν in the configuration ν is Pν (t + τν ) =
Πν0 ν . In a simulation the new configuration can be therefore chosen according to
the probability Πν0 ν .
However, there is a main drawback. In order to determine τν form (8.66) a high-
dimensional, configuration-dependent integral has to be numerically calculated be-
fore the time propagation can be made. Clearly, this is not very efficient. To over-
come the problem, the selfscattering method is used again, but now at the level of
the master equation, where selfscattering events can be also easily introduced be-
cause (8.65) is unchanged, when a diagonal element is added to the transition rate.
It is therefore possible to work with a modified transition rate
s
Wνν ′ = Wνν ′ + Wν δνν ′ , (8.70)
giving rise to (cp. with (8.66))
15
The normalization required for the interpretation of Πν ′ ν in terms of a probability is a
consequence of the detailed balance Wνν ′ = Wν ′ ν which holds for energy conserving
processes.
250 F. X. Bronold
1 1
s
= + Wν . (8.71)
τν τν
The diagonal elements of the modified transition probability Πνs0 ν , that is, (8.69)
with τν → τνs and Wν0 ν → Wνs0 ν , are now finite. There is thus a finite probability
to find the system at time t + τνs still in the configuration ν0 , in other words, there is
a finite probability for selfscattering ν → ν.
Allowing for selfscattering provides us with the flexibility we need to speed up
the simulation. Imagine τν has a lower bound τ s . Then, we can always add
1 1
Wν = − >0 (8.72)
τs τν
to the transition rate which, when inserted in (8.71), leads to τνs = τ s . The sampling
time step can be therefore chosen configuration independent, before the sampling
starts. In addition, from the fact that τ s is a lower bound to τν follows 1/τν ≤
1/τ s . Thus, 1/τ s can be easily obtained from (8.66) using an approximate integrand
which obeys or even enforces this inequality. In particular, using
nk np ≤ nk np [1 − nk′ ][1 − np′ ] (8.73)
in (8.66) leads to
1 γ
= N (N − 1) , (8.74)
τs 2

where N = k nk is the total number of electrons and γ = supk,p γkp with
γkp = k′ p′ Wkp;k′ p′ .
We now have to work out the modified transition probability Πνs0 ν = τνs Wνs0 ν =
τ Wνs0 ν . Following El-Sayed and coworkers [50], we consider a configuration ν1
s
which differs from the configuration ν0 only in the occupancy of the four momentum
states k1 , p1 , k′1 , and p′1 . Then
(2) (3)
Πνs0 νi = P (1) (k1 , p1 ) · Pk1 ,p1 (k′1 , p′1 ) · Pk1 p1 ;k′ p′ (νi ) (8.75)
1 1
with
n k1 n p 1
P (1) (k1 , p1 ) = (8.76)
N N −1
the probability for the electrons with momentum k1 and p1 to be the scatterer,
(2) Wk1 p1 ;k′1 p′1

Pk1 ,p1 (k′1 , p′1 ) = (8.77)
γk1 p1
the probability that the two electrons with k1 and p1 are scattered into momentum
states k′1 and p′1 , respectively, and
⎧ γk1 p1
⎨ γ (1 − nk1 )(1 − np1 ) i=1
′ ′
(3)
Pk1 p1 ;k′ p′ (νi ) = (8.78)
1 1 ⎩ γ
1 − kγ1 p1 (1 − nk′1 )(1 − np′1 ) i = 0
the probability for the selected momentum states to perform a real (i = 1) or a selfs-
cattering (i = 0) event, respectively. Note, the factor (1 − nk′1 )(1 − np′1 ) guarantees
that real scattering events occur only when the final momentum states are empty.
All three probabilities are normalized to unity when summed over the domain of the
independent variables in the brackets.
In order to implement the ensemble-based Monte Carlo simulation, the momen-
tum space is discretized into a large number of cells which can be either occupied
or empty (see Fig. 8.7). A configuration is then specified by the occupancies of all
cells. The temporal evolution of the configurations proceeds in discrete time steps
τ s and is controlled by the probability Πνs′ ν . The basic structure of the algorithm
is thus as follows: First, the initial distribution gk (t = 0) is sampled to create the
initial configuration ν0 , which is then propagated in time in the following manner:
(i) Increment the time by τ s .
(ii) Choose at random two initial momentum states, k1 and p1 , and two final mo-
mentum states, k′1 and p′1 .
(iii) Perform the selfscattering test consisting of two inquiries:
First, check whether the chosen momentum states are legitimate by asking
(2)
whether R1 > P (1) (k1 , p1 ) and R2 > Pk1 ,p1 (k′1 , p′1 ), with R1 , R2 ∈ [0, 1]
two uniformly distributed random numbers. Second, determine whether the fi-
nal states are empty or not. In the former case, a real scattering event takes
(3)
place provided R3 > Pk1 p1 ;k′ p′ (ν1 ), with R3 ∈ [0, 1] again an uniformly
1 1
distributed random variable, whereas in the latter selfscattering occurs.
(iv) Generate the new configuration ν1 , which is the old configuration ν0 with the
occupancies nk1 , np1 , nk′1 , and np′1 changed in accordance to the outcome of
the selfscattering test.
time t time t + τs
1 1 0 0 s 0 0 0 1
Πν’ν
0 0 0 0 0 0 0 0
0 0 0 1 0 0 0 1
0 1 0 0 1 0 0 0
configuration configuration
ν’ ν
Fig. 8.7. Schematic representation of the ensemble-based Monte Carlo simulation. A suf-
ficiently large part of the two-dimensional momentum space is discretized into small cells.
Each cell with size ∆kx ∆ky is labelled by its central momentum k i , i = 1, 2, ..., M with M
the total number of cells. An ensemble of N < M electrons occupies the cells: n(k i ) = 1,
when an electron is in cell i, and n(k i ) = 0 otherwise; i n(k i ) = N . The occupancies of
all cells constitute a configuration ν. During the simulation a sequence of configurations is
generated stochastically whereby the transition probability from configuration ν ′ at time t to
configuration ν at time t + τs is Πνs′ ν
252 F. X. Bronold
The algorithm is terminated after a pre-fixed number of real scattering processes

took place. The diagnostics and the calculation of moments can be done on the fly,
for instance, before the time is incremented from t to t + τ s .
Provided the momentum space is appropriately discretized, the algorithm is very
fast. A typical run to study, for instance, the relaxation of an initial non-equilibrium
Gaussian electron distribution, gk (t = 0) = C exp[(E(k) − E0 )/σ)2 ], where C
is a constant to fix the electron density and E0 and σ are the position and width of
the Gaussian profile, respectively, took for N = 5000 on the Intel 80368 processor
available to El-Sayed and coworkers only 10–20 minutes [50]. With the increased
computing power available now, this kind of ensemble Monte Carlo simulation is
extremely fast. It should be therefore a useful tool for the simulation of dense, de-
generate Fermi systems in non-equilibrium, such as, highly optically excited semi-
conductors, metal clusters in strong laser fields (see Chap. 9), or nuclear matter in
heavy ion collisions.
8.3 Conclusions
In this section, we discussed Boltzmann transport in condensed matter, focusing on
the conditions, which need to be satisfied for a BE to be applicable to the quasiparti-
cles in a crystal, and on computational tools to solve the quasiparticle BE. Although
the quasiparticle BE cannot always be rigorously derived from first principles, it
provides in most cases a surprisingly accurate description of transport processes in
condensed matter. Most of semiconductor device engineering, for instance, is based
on a quasiparticle BE, despite the lack of a satisfying microscopic derivation.
We presented various strategies for the numerical solution of the quasiparticle
BE. For the steady-state, spatially uniform, linearized BE, usually employed for
the calculation of transport coefficients for metals, we discussed numerical iteration
and the expansion of the one-particle distribution function in terms of a symmetry-
adapted set of basis functions. In the context of condensed matter, Fermi surface har-
monics are here particularly useful because they adequately describe the topology
of the Fermi surface, which may be anisotropic, or even consisting of unconnected
pieces in momentum space.
As far as the numerical solution of the time-dependent, nonlinear BE is con-
cerned, we discussed iteration and Monte Carlo simulation. Both approaches have
been used in the past to calculate hot electron distributions in strongly biased semi-
conductors. Iteration is here based on the integral representation of the BE. The
approach is mathematically very elegant although its potential has not been fully
exploited. By far the most popular method for the numerical solution of the BE is
the Monte Carlo simulation. It has the virtue of an intuitively obvious approach,
requiring a minimum of preparatory mathematical analysis, before the computer
generates the solution. In addition, it requires no k-summations, which makes the
incorporation of realistic band structures particularly easy. We discussed two Monte
Carlo algorithms. In the first, particle-based algorithm, a single test-particle is used
to build-up the stationary distribution function for electrons in a semiconductor sub-

ject to an uniform electric field. This approach, appropriately modified for time-
dependent and spatially inhomogeneous settings, has become a design tool for the
electronic circuit engineer, indicating its power, flexibility, and practical importance.
The second approach propagates an ensemble of N electrons in discrete time steps
through a discretized momentum space and is particularly useful for spatially ho-
mogeneous, degenerate electron systems with a pronounced Fermi statistics.
There are of course situations where the BE cannot be applied to condensed
matter. In particular, transport properties of liquids, amorphous solids, and strongly
correlated systems (transition metals, Kondo insulators etc.) cannot be described
within the framework of a BE. The mean free path of quasiparticles, if they can
be defined, is too short in this type of condensed matter and the separation of the
quasiparticles’ motion into free flights, with a few randomly occurring scattering
events, is impossible. However, provided external fields and temperature gradients
are weak, transport processes can be alternatively studied within linear response
theory (Kubo formalism [51]). This approach relates linear transport coefficients to
thermodynamic correlation functions, which can then be calculated, for instance,
with the methods outlined in Chap. 19, Sect. 19.2.2. The Kubo formalism is also
applicable when the mean free path is short. It is therefore the method of choice for
the calculation of transport coefficients in situations where the BE cannot be used.
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9 Semiclassical Description of Quantum
Many-Particle Dynamics in Strong Laser Fields
Thomas Fennel and Jörg Köhn
Institut für Physik, Universität Rostock, 18051 Rostock, Germany
Semiclassical kinetic methods provide an approximate description of the dynamics

in quantum many-particle systems without directly refering to their wavefunction.
This is desired for problems that resist an explicit quantum mechanical treatment,
such as the highly nonlinear laser excitation of finite fermionic systems. The central
idea behind the semiclassical approach is the approximation of quantum dynam-
ics with effective transport equations of classical structure. Methods from classi-
cal many-particle theory then allow for an efficient solution. This strategy does not
imply that all quantum effects are neglected. In fact, important features, such as
the Pauli principle and exchange-correlation effects, can reasonably be taken into
account using suitable initial conditions and effective potentials. Therefore, semi-
classical models can be very convenient tools to study nonlinear processes in three-
dimensional quantum systems without symmetry restrictions.
This lecture provides a guided tour through the basics of static and time-
dependent semiclassical modelling of fermionic systems. A quick derivation of the
semiclassical equations of motion is presented in terms of the density matrix for-
malism, which leads to an effective Vlasov equation. The test particle approach
and the particle-mesh technique allow for an efficient numerical solution of the
semiclassical problem. A consistent ground-state theory is provided by an extended
Thomas-Fermi model. To give a practical example, we apply the described methods
to simple-metal clusters. We discuss the semiclassical cluster ground state and show
how optical properties in linear response can be calculated efficiently by the real-
time method. Finally, typical aspects of the ionization dynamics of simple-metal
clusters are adressed for highly nonlinear femtosecond laser excitation.
9.1 Semiclassical Many-Particle Dynamics

in Mean-Field Approximation
As a starting point we describe a formal way to derive the semiclassical approxi-
mation to quantum many-particle dynamics. We consider a system of N interact-
ing electrons in a time-dependent external potential Vext (r, t) and in absence of a
magnetic field. The exact evolution of the corresponding antisymmetric N -particle
wavefunction Ψ (r1 . . . r N , t) is given by the time-dependent Schrödinger equation
T. Fennel and J. Köhn: Semiclassical Description of Quantum Many-Particle Dynamics in Strong Laser Fields, Lect.
Notes Phys. 739, 255–273 (2008)
256 T. Fennel and J. Köhn
N !
∂ −2 2
i Ψ= ∇r i + Vext (r i ) + Vee (|ri − rj |) Ψ , (9.1)
∂t i=1
2m i<j

rij
where Vee = e2 /(4πǫ0 rij ) is the Coulomb potential and the full expression in square
brackets is the Hamilton operator.
9.1.1 Density Matrix

For useful approximations of (9.1) it is convenient to reformulate the problem in
terms of the density matrix [1, 2], which is defined as
ρ#(r 1 . . . rN , r ′1 . . . r′N , t) = Ψ ∗ (r 1 . . . rN , t)Ψ (r ′1 . . . r ′N , t) . (9.2)
The density matrix has a similar interpretation as the density operator in quantum
statistics. For example, the probability of finding the system in a state with one
electron at each r i is given by the diagonal elements (primed coordinates set equal
to the corresponding unprimed ones). The evolution of ρ# follows from (9.1) and
reads
N
∂ −2
− i ρ# = (∇2ri − ∇2r ′i ) + Vext (ri ) − Vext (r′i )
∂t i=1
2m
N

+ (Vee (rij ) − Vee (rij )) ρ#(r 1 . . . r N , r′1 . . . r ′N , t) . (9.3)
′
i<j
So far this does not seem to simplify the problem, since the number of variables
has doubled. The strategy becomes more transparent after introducing the reduced
k-particle density matrices
ρ(k) (r1 . . . r k , r′1 . . . r′k , t)

N!
= ρ#(r 1 . . . rN , r ′1 . . . r′k , rk+1 . . . rN , t)d3 rk+1 . . . d3 r N (9.4)
(N − k)!
by writing r ′i = r i for all but k spacial coordinates, and integrating over these N −k
variables. To derive the equation of motion for the reduced k-particle density ma-
trix, insert (9.4) into (9.3) and integrate in the same way over all but k coordinates.
The terms (∇2r i − ∇2r′ ) and (Vext (r i ) − Vext (r′i )) vanish if the ith coordinate is in-
i
′
tegrated out. Also, interaction terms (Vee (rij ) − Vee (rij )) cancel, when both primed
coordinates are equal to the unprimed ones. Then for the one-body density matrix
follows
∂
− i ρ(1) (r, r ′ )
∂t
2
−
= (∇2r − ∇2r ′ ) + Vext (r) − Vext (r ′ ) ρ(1) (r, r ′ )
2m

+ (Vee (|r − r2 |) − Vee (|r ′ − r 2 |)ρ(2) (r, r 2 , r ′ , r2 )d3 r 2 . (9.5)
9 Semiclassical Description of Quantum Many-Particle Dynamics 257
The first term on the right hand side contains all single particle contributions, while
the second interaction term describes two-body effects and depends on the next
higher matrix ρ(2) . Similarly, the evolution of ρ(2) requires prior knowledge of the
three-body density matrix ρ(3) . Thus, the exact reformulation results in a series of
coupled equations of motion for the reduced density matrices ρ(k) , representing the
quantum counterpart to the famous BBGKY1 hierarchy, known from classical sta-
tistical mechanics. For a useful approximation this series must be truncated at some
level. Let us keep only (9.5) and close this equation by an approximation for ρ(2) . A
simple approach is a product of one-body density matrices (Hartree approximation)
ρ(2) (r 1 , r2 , r′1 , r ′2 ) = ρ(1) (r 1 , r ′1 )ρ(1) (r 2 , r ′2 ) . (9.6)
Now the integral in (9.5) can be carried out and allows to include the interaction
terms in an effective field according to
2
∂ (1) −
− i ρ (r, r ) = ′
(∇r − ∇r ′ ) + Veff (r) − Veff (r ) ρ(1) (r, r ′ ) , (9.7)
2 2 ′
∂t 2m
with the effective potential

e2 1
Veff (r) = Vext (r) + ρ(1) (r ′′ , r′′ ) d3 r′′ . (9.8)
4πǫ0 |r − r ′′ |
=n(r ′′ )
The second term in (9.8) is just the classical Hartree potential resulting from the
total electron density of the system n(r ′′ ). Thus we have found a closed mean-field
approximation to the dynamics of the one-body density matrix.
9.1.2 Wigner Function and Vlasov Equation

To obtain the equation of motion for the one-body density matrix ρ(1) in the form
of a classical kinetic equation for a phase-space distribution function, we switch to
the Wigner representation [3], which reads

1 q q
3
fW (r, p, t) = 3
eip·q/ ρ(1) r + , r − d q. (9.9)
(2π) 2 2
The Wigner function fW contains the same information as the one-body density
matrix (it is just a Fourier transform). Like an ordinary phase-space distribution,
fW is a function of momentum and space, but it can be negative in some regions.
However, single particle observables can be calculated from fW in the same way as
from a classical distribution function. For example, particle or current densities are
given by

n(r) = fW (r, p)d3 p ,

p
j(r) = −e fW (r, p)d3 p . (9.10)
m
1
Born, Bogoliubov, Green, Kirkwood and Yvon.
The dynamics of fW follows from (9.7) as

∂ 1
& −2
− i ∂t fW (r, p, t) = (2π)3 eip·q/ 2
2m (∇r+ q2 − ∇2r− q )
2

+Veff (r + q2 ) − Veff (r − q2 ) ρ(1) (r + q2 , r − q2 )d3 q . (9.11)
Using the identity ∇2r+q/2 − ∇2r−q/2 = 2∇r ∇q and the Taylor expansion of
the potential,
Veff (r + s) = es·∇r Veff (r) , (9.12)

Equation (9.11) can be rewritten as

∂ p 2 ←− − →
fW + ∇r fW − fW sin ∇ p · ∇ r Veff (r) = 0 . (9.13)
∂t m 2
In the third term, the operator ∇p acts on the distribution, whereas ∇r acts on the
potential, as indicated by the arrows on top. Now, a Taylor series of the sine can be
seen as a formal expansion in orders of , which is the so-called Wigner expansion.
The semiclassical approximation is obtained in the limit → 0, where only the first
term of the expansion contributes (sin(x) ≈ x), provided the potential as well as the
distribution are sufficiently smooth [4]. In this case we obtain the desired classical
appearance of the equation of motion
∂ p
f (r, p, t) + ∇r f (r, p, t) − ∇p f (r, p, t)∇r Veff (r, t) = 0 , (9.14)
∂t m
where the change of the distribution function in time is expressed by a drift contri-
bution and a field term. Equation (9.14) is a second order approximation to the exact
evolution of the Wigner function. The next higher order correction is of third order,
and proportional to 2 [5]. We have dropped the index of the distribution function
and, from now on, denote (9.14) only as Vlasov equation, assuming its validity for
the classical as well as for the approximate semiclassical case. To calculate the time
dependence of f (r, p, t), (9.14) has to be solved self-consistently with the effective
potential

e2 n(r ′ , t) 3 ′
Veff (r, t) = Vext (r) + d r . (9.15)
4πǫ0 |r − r′ |
The described approximations have simplified the equations of motion to the pure
classical level and we have lost quantum effects as tunnelling, interference and
exchange. However, some quantum corrections to the dynamics can be included
without loosing the classical appearance of the problem. The Hartree-Fock approx-
imation instead of (9.6) yields an exchange contribution in the interaction term,
which can be treated in local density approximation (LDA). This adds an extra term
to Veff , i.e., the exchange potential
e2
Vx (r) = − (3π 2 n(r))1/3 , (9.16)
4π 2 ǫ0
which corresponds to the Dirac exchange energy [6]. Similarly, correlation effects
can be introduced in terms of a local potential, as from [7, 8]. A semiclassical for-
mulation of the Pauli principle will be discussed later in Sect. 9.2.1. Without sym-
metry restrictions, the direct solution of the Vlasov equation requires to evolve a
six-dimensional function in phase space, which is numerically unfavorable. An ef-
ficient practical solution is offered by the test particle method described in the next
section, which, however, requires a non-negative distribution function. This can be
achieved either by smoothing out the rapid oscillations of the Wigner function to re-
move their negative values, or by using a suitable approximation to the initial state
of the distribution function. Once the distribution function is continuously differen-
tiable and non-negative, it remains non-negative upon propagation according to the
Vlasov equation.
9.1.3 Test Particle Method

Many techniques behind semiclassical kinetic methods are inherited form nuclear
physics, such is the test particle method [4]. The idea of the test particle method is
to sample the continuous distribution function with a swarm of fractional particles
and to map the dynamics into classical equations of motion for the discrete samples.
A straightforward way of representation is
Npp
1
f (r, p, t) = gr (r − ri (t))gp (p − pi (t)) (9.17)
Ns i
with the positions ri and the momenta pi of the test particles and the smooth weight-
ing functions gr and gp in coordinate and momentum space. The parameter Ns sets
the number of test particles per physical particle and defines the total number of
test particles Npp = N Ns . One possible choice for the weighting are normalized
Gaussians
1 2 2
g(x) = 3/2 3 e−x /d , (9.18)
π d
where d is a numerical smoothing parameter. For reasons that will become evident
in a moment, lets define the single-particle Hamiltonian of a test particle as
2
pp pi 3
hi (r i , pi ) = + Veff (r)gr (r − ri )d r , (9.19)
2m
and assume classical motion for the test particles according to
∂hpp
i pi
ṙi = = ,
∂pi m

∂hpp
ṗi = − i
= − Veff (r)∇r i gr (r − r i )d3 r . (9.20)
∂ri

fi
To see that this is a reasonable approximation to the Vlasov propagation, insert

(9.17) in (9.14). In the limit d → 0 (i.e. a weighting with δ-functions) we recover
(9.20) exactly. For the semiclassical treatment a smooth phase-space distribution
is essential to suppress the tendency of classical thermalization, which requires a
finite width of the test particles in practice [9]. This, however, is not necessarily a
shortcoming, since the width parameter can be used to define a semiclassical version
of uncertainty. 2
The test particle method has also a statistical meaning, if the distribution func-
tion is interpreted as an statistical ensemble containing Ns possible realizations of
the systems. During propagation all observables, including the effective potential,
are taken as instantaneous averages over all realizations and therefore describe a
statistical mean value.
With the test particle representation the semiclassical dynamics is mapped onto
the classical propagation of test particles in a self-consistent potential. This is equiv-
alent to standard PIC simulations, except that in our case many fractional test par-
ticles (typically 102 –105 ) represent one physical particle, whereas in PIC one test
particle represents many real particles. However, in practice the numerical simula-
tion of a large number of test particles requires the same efficient methods, such as
the particle-mesh technique.
9.1.4 Particle-Mesh Technique
In general, the calculation of the forces is the most expensive part in simulations of
the dynamics of interacting particles, since forces depend on all pairs of particles.
This leads to the known N 2 -scaling in direct particle-particle simulations. The strat-
egy behind the particle-mesh technique is to use a gridded potential in coordinate
space and to approximate the forces by finite differences [11]. In our case, even the
numerical approximation of derivatives drops out, since we can express the forces
directly as a convolution of the potential and the analytically know gradient of the
weighting function, see (9.20). Now, for high particle numbers the particle-mesh
treatment is obviously advantageous to the direct force calculations, if the numer-
ical method to calculate the potential scales better than N 2 . For our problem this
is possible, as we discuss in a moment. For a Coulomb-coupled system the force
calculation using the particle-mesh technique consists of three steps:
(i) Inject all particles to a grid for the charge density.
(ii) Find the potential by solving Poisson’s equation on the grid.
(iii) Compute forces for all particles from the potential.
For our semiclassical problem we just add local potentials resulting from ions, ex-
ternal laser fields and the approximated exchange-correlation effects to the potential
obtained from step (ii). The only demanding task is the solution of the Poisson
equation on a grid. A common way is the solution in frequency space, which re-
sults in N log(N ) scaling due to discrete Fourier transforms. The discrete Fourier
2
This is related to the Husimi picture, see [10].
representation introduces periodic boundary conditions, which makes it appealing

for periodic systems. If this is undesirable, additional effort is needed to subtract
supercell contributions (see [12]). For non-periodic systems, such as nanoparticles,
it is even possible to realize order N scaling in the potential calculation by using
iterative multigrid methods [13, 14]. This, however, requires an initialization of the
potential at the boundary (i.e. the surface of the simulation box), which can be done
approximately, e.g., by a multipole expansion. We will use this multigrid method
for the application to metal clusters given in Sect. 9.3.
9.2 Semiclassical Ground State

So far we have discussed only the semiclassical approximation to the dynamics and
have indicated strategies for its efficient numerical solution. What is still needed is
an appropriate ground state theory that provides a consistent initial condition to the
propagation, i.e., an appropriate initial test particle distribution. A useful semiclassi-
cal approximation to the ground state can be derived from the theory of Fermi gases
and the Thomas-Fermi model.
9.2.1 Homogenous Fermi Gas
As the most simple model of a fermionic many-particle system, the infinite Fermi
gas assumes noninteracting particles. The corresponding solutions of the stationary
Schrödinger equation are eigenfunctions of the kinetic energy operator, i.e., plane
waves. Restriction to a fixed volume L3 with periodic boundary conditions yields
the density of states in k-space for the Fermi gas with paired spins as
2L3
g(k) = . (9.21)
(2π)3
The occupation number of each state in k-space is given from the Fermi-Dirac dis-
tribution
1
fFD (ǫ(k) − μ) = , (9.22)
1 + e(ǫ(k)−μ)/(kB T )
with the single-particle energy ǫ(k) = 2 k 2 /(2m) and the chemical potential μ.
For a given chemical potential μ the number of particles we find in the volume L3
is given by

2L3
N (μ) = fFD (ǫ(k) − μ)d3 k . (9.23)
(2π)3
By substituting p = k and dividing by the volume L3 we can write the particle
density as an integral over momentum space,

n(μ) = f (p)d3 p , (9.24)
where f (p) = 2fFD (ǫ(p) − μ)/(2π)3 and f (p) is the momentum distribution
of the Fermi gas. The Pauli principle appears here implicity as an upper limit of
the distribution function according to f (p) ≤ 2/(2π)3 , which we can use for
semiclassical considerations as it stands. At zero temperature all states are fully
occupied up to the chemical potential, i.e., the distribution becomes a step function
2
f T =0 (p) = Θ(μ − ǫ(p)) . (9.25)
(2π)3
It is now straightforward to find the zero point kinetic energy density as a function
of the particle density
3 2 (3π 2 )2/3 5/3

ukin (n) = n , (9.26)
10 m
where m is the mass of the fermions. Now (9.26) can be used to find approximate
solutions to realistic problems, such as the electron distribution in an atom. This
leads to the Thomas-Fermi approximation.
9.2.2 Thomas-Fermi Approximation
The original Thomas-Fermi theory was developed to describe the electronic struc-
ture of heavy atoms at zero temperature and leads to a problem with spherical sym-
metry [15, 16]. Here we consider a more general form that can be derived from a
variational principle and contains the original form as a special case. The central
idea is to describe electrons in an external potential as a Fermi gas at zero tem-
perature by using LDA. Then, the total energy can be written in terms of the total
electron density n(r) as

Etot [n(r)] = ukin (n(r)) + Vext (r)n(r)

1 e2 n(r)n(r ′ ) 3 ′ 3
+ d r d r, (9.27)
2 4πǫ0 |r − r′ |
where the terms in square brackets describe the approximate kinetic energy density
taken from Fermi gas, the interaction with an external potential and the electron-
electron interaction. Obviously, there is a spurious self-interaction, since an electron
interacts with its own contribution to the total electron density n(r), but we assume
this error to be small for systems with many electrons. To find the density with
minimal energy, i.e., the ground state, we solve the variational problem

δ
Etot [n] − μ n(r)d3 r = 0 , (9.28)
δn
where μ has the meaning of a Lagrange multiplier to fix the total number of elec-
trons. The interpretation of (9.28) is the following: The (extremal) energy must re-
main unchanged for any infinitesimal change of the density by δn(r). This leads to
the condition
(2m)3/2 3/2
n(r) = [μ − Veff (r)] , (9.29)
3π 2 2
with the effective potential from (9.15). Thus, in our notation, the Thomas-Fermi
ground state is defined by a pair of self-consistent equations. For systems with
spherical symmetry the problem can be reduced to a single one-dimensional nonlin-
ear differential equation using Poisson’s equation. If the external potential Vext is a
Coulomb potential, as for a nucleus, this yields the famous Thomas-Fermi equation
[15, 16]. However, we consider the unrestricted case.
As the most simple version of density functional theory (DFT), the Thomas-
Fermi approximation provides a reasonable parameter-free description of heavy
atoms, but has serious shortcomings. For example, molecules are predicted to be
completely unstable within Thomas-Fermi theory [17], since exchange effects are
neglected [18]. In addition, the predicted values of the first atomic ionization po-
tentials are far too small. To cure these problems it was suggested by Dirac to treat
exchange effects in the same way as the kinetic energy [6], i.e., by approximating
the exchange energy locally with the Hartree-Fock result from the Fermi gas. This
adds the exchange energy density in LDA,
3e2
ux (n(r)) = − (3π 2 )1/3 n4/3 (r) , (9.30)
16π 2 ǫ0
to the integrand of (9.27). The solution of the variational problem is similar, but
yields an additional term in the effective potential. This is the LDA exchange poten-
tial we have already seen in (9.16).
However, the solution of this extended Thomas-Fermi-Dirac model can lead to
unphysical jumps in the electron density in some cases. Quantum mechanics avoids
sharp density jumps, since the large gradient of the corresponding wavefunction
would result in a very high kinetic energy. Fortunately, we can take advantage of the
test particle representation here, since the weighting functions introduce an artificial
smoothing of the density.
9.2.3 Generalized Thomas-Fermi Approximation for Test Particles
Now we describe necessary modifications of the Thomas-Fermi model to obtain a

ground state theory that is consistent with the constraints of the test particle rep-
resentation of (9.17). Obviously, we need to know the distribution of the discrete
test particles, i.e., the position and momenta of their centers. Therefore we define a
density nδ (r) that gives the number density of test particles centers in space. Fur-
thermore, we assume the local momentum distribution of the test particles to be the
same as in a Fermi gas at zero temperature, which means, that all states are fully
occupied up to the local Fermi momentum. This allows to use the Fermi gas result
from (9.26) to approximate the kinetic energy density, but now as a function of the
test particle density according to
3 2 5/3
ukin (r) = (3π 2 )nδ (r) . (9.31)
10 m
From the test particle density we find the effective real-space electron density neff (r)
after convolution with the corresponding weighting function as

neff (r) = nδ (r′ )gr (r − r′ )d3 r ′ . (9.32)
The effective density can then be used to describe all contributions to the potential
energy density due to external fields, Coulomb interactions between electrons, and
exchange. For simplicity, we restrict the derivation to an external potential and the
classical Coulomb energy, leading to

1 e2 neff (r)neff (r′′ ) 3 ′′
upot [neff ](r) = Vext (r)neff (r) + d r . (9.33)
2 4πǫ0 |r − r ′′ |
The dependence on the test particle density is implicit, because it was used to define
the effective density. After integrating the kinetic and potential energy densities and
introducing a Lagrange multiplier we find the variational problem for the minimal
total energy,

δ 3
[ukin (nδ (r)) + upot [neff ](r) − μ nδ (r)] d r = 0 . (9.34)
nδ
Since the varied quantity is the test particle density nδ , the variation of the first and
last term under the integral is straightforward and analogous to the previous section.
The treatment of the potential energy term is more difficult, since it is a functional
of the effective density. Application of the chain rule for the functional derivative
yields

& 1 2 2/3
(3π 2 )nδ (r) − μ δnδ (r)d3 r
2m

δupot [neff ](r) 3 δneff (r ′ ) 3 ′
+ d r d r δnδ (r ′′ )d3 r′′ = 0 . (9.35)
δneff (r′ ) δnδ (r ′′ )

Veff (r ′ ) gr (r ′ −r ′′ )
In the second term on the right hand side, the integration over d3 r yields the ef-
fective potential to our potential energy density from (9.33). It has the simple and
familiar form

e2 neff (r ′ ) 3 ′
Veff (r) = Vext (r) + d r . (9.36)
4πǫ0 |r − r ′ |
With this definition we perform the d3 r′ -integration in (9.35) and introduce the
smoothed test particle potential

Vδ (r) = Veff (r ′ )g(r ′ − r)d3 r′ . (9.37)
Inserting this into (9.35) and renaming of r ′′ to r results

2
1 2 2/3
(3π )nδ (r) + Vδ (r) − μ δnδ (r)d3 r = 0 . (9.38)
2m

≡0
Since the integrand must vanish to fulfill this equation for arbitrary δnδ we find the
condition for extremal energy after solving for nδ , which reads
(2m)3/2 3/2
nδ (r) = [μ − Vδ (r)] . (9.39)
3π 2 2
It is not surprising that the structure of this equation is analog to (9.29), but here we
describe the test particle density nδ as a function of the test particle potential Vδ . For
density weighting with delta functions, where neff = nδ and therefore Vδ = Veff , we
recover (9.29) as a limiting case.
For a given external potential the determination of the test particle ground state
density nδ requires to solve (9.32), (9.36), (9.37) and (9.39) self-consistently. Fur-
ther quantum corrections due to exchange and correlation effects can be easily in-
corporated, if they are treated in LDA. Therefore, the corresponding potentials, such
as that of (9.16) for the LDA exchange, are just added to the effective potential in
(9.36) as a fuction of the effective density. Once the test particle density is known,
the positions of numerical test particles can be generated by simple Monte-Carlo
sampling of nδ (r). The local momenta are sampled according to the assumed ho-
mogeneous occupation of the local Fermi sphere up to the local Fermi momentum
2 3 1/3
pmax
δ (r) = 3π nδ (r) . (9.40)
For sufficiently fine sampling (Ns ≫ 1) and a finite width of the weighting functions
dr the semiclassically initialized system is numerically stable upon the propagation
described in Sect. 9.1.3. In practice, the parameters Ns and dr are chosen to provide
the required level of long-term stability of the model, i.e., sufficient suppression of
spurious classical thermalization (see [9, 14]).
9.3 Application to Simple-Metal Clusters

To give a practical example, this section describes the application of the semiclassi-
cal method to the dynamics of simple-metal clusters in intense infrared femtosecond
laser fields. In many respects the properties of simple metals, such as their stabil-
ity and optical response, are governed by delocalized valence electrons that can be
reasonably approximated as a Fermi gas. This is the major justification for the ap-
plicability of the semiclassical method.
As we want to resolve the structure of the systems, the dynamics and potentials
of the ions (nuclei plus strongly bound electrons) have to be taken into account. As
the contributions of deeper bound electrons are assumed to be less important, it is
convenient to resolve only the valance electrons explicitly, while their interaction
with core electrons and nuclei is described by pseudopotentials. This is also a com-
mon strategy in time-dependent density functional theory. Here, we consider sodium
clusters where each atom contributes one active valence electron to the model ex-
plicitly. For all results discussed in this section the exchange-correlation potential
from [7] and Gaussian density weighting (dr = 1.15 Å) have been used.
9.3.1 Ground State with Atomic Pseudopotentials
For the alkaline metals, where the singly charged ion has a closed-shell electronic
structure, it is sufficient to model the ion as an effective charge distribution with
spherical symmetry. A convenient form is a sum of Gaussians according to
k
e 2 2
ρion (r) = cn e−r /an , (9.41)
n=1
π 3/2 a3n
where cn and an are the charge and the width of each Gaussian. The corresponding
potential of an electron at position r in the field of a pseudo-ion at position R is
k
e erf (|r e − R|/an )
Ve↔ion (r, R) = −e cn , (9.42)
n=1
4πǫ0 |re − R|
where erf(x) is the error function. The parameters an and cn can be optimized so
that the model reproduces central properties of the described element, such as ion-
ization potential and polarizability [14]. Examples for the semiclassical prediction
on the basis of optimized pseudopotential with two Gaussians are given in Table 9.1,
illustrating the reasonable agreement with experimental values. The sum over the
pseudopotential of all ions at positions Ri then provides the external potential for
the electronic problem

Vext (r) = Ve↔ion (r, Ri ) . (9.43)
i
Table 9.1. Semiclassically calculated atomic properties for the sodium atom using a two-
Gaussian pseudo-potential compared [14]
model reference
ionization potential [eV] 5.30 5.13
polarizability [Å3 /(4πǫ0 )] 21.9 23.6
Na13 Na55 Na147
Fig. 9.1. Icosahedral structure of small sodium clusters predicted by the semiclassical ground
state theory. Since electronic shells effects are not resolved in the semiclassical theory, the
ground state geometries are biased by geometric packing effects [14]
Using the parameters from the optimized atomic problem, the total energy of the
full ground state can be minimized with respect to the ionic coordinates to find the
cluster geometry, e.g., be simulated annealing. Plots of optimized geometries for
three cluster sizes are shown in Fig. 9.1. It should be noted, that the semiclassical
theory is biased by geometric packing effects and ignores electronic shell closures.
Nevertheless, the results are surprisingly close to DFT calculations [19], except for
very small particle numbers.
Having obtained the initial state of the considered system (ionic structure plus
test particle distribution), the time-dependent response can be calculated by direct
numerical propagation for various external perturbations, e.g., due to a laser field or
collisions with charged ions. However, this treatment is inefficient for a systematic
characterization of the system, since all possible scenarios would require a separate
calculation. In the limit of small excitations, where the response can be assumed to
be almost linear and allows mode decomposition, it is possible to extract the full
spectrum out of a single numerical calculation, as we discuss here in terms of the
optical response.
9.3.2 Optical Response in the Linear Regime: Real-Time Method
In dipole approximation (d ≪ λ), the linear optical response of a finite and isotropic
system to an external electric field is fully characterized by its complex dynamic po-
larizability α(ω). This quantity relates the spectral amplitudes of the induced dipole
moment p(ω) linearly to those of a driving external field E(ω) by
p(ω) = α(ω)E(ω) . (9.44)
As the dipole moment must be real in the time domain, it is required that α(ω) =
α∗ (−ω). The knowledge of α(ω) enables to calculate important optical properties
of the system, as, e.g., the light absorption cross section from
ω
σ(ω) = Im[α(ω)] . (9.45)
cǫ0
A convenient way to calculate α(ω) for a finite system (on the basis of a time-based
numerical model) is offered by the real-time method [20], as it requires only a sin-
gle simulation run. The idea behind is to excite all modes of the system at once and
to extract their spectral weights from a simple Fourier transform of the response
in the time domain. To see this, assume an external field oriented in z-direction,
having constant spectral amplitudes for all frequencies Ez (ω) = f /(2π). The cor-
responding field in the time domain3 is Ez (t) = f δ(t) and has the meaning of an
impulsive force, instantaneously changing the velocity of all charged particles by
∆vz = qf /m at time t = 0, where q is the charge and m the particle mass. In prac-
tice, only electrons are considered to be kicked, as ions are basically unaffected due
to their higher mass. The impulsive perturbation leads to an excitation of all possible
optical modes of the system in proportion to their excitation strength. The result-
ing dipole moment in the time domain, pz (t), which can be easily recorded from
a simulation, is just a weighted superposition of harmonic oscillations. Their am-
plitudes characterize the corresponding optical activity of the investigated system.
Now, the Fourier transform of the time-dependent dipole moment, if we assume it
is a continuous function and use (9.44), turns out to be directly proportional to the
polarizability according to
2π
α(ω) = pz (ω) . (9.46)
f
A numerical simulation, of course, requires to sample the evolution of the dipole
moment by a finite number of data points pz (tn ). Assuming an even number of
points N and a fixed time step ∆t, a discrete Fourier transform provides an array
for the polarizability at N discrete values ωk from
N −1
∆t
α(ωk ) = pz (tn )e−2πink/N (9.47)
fz n=0
with ωk = k∆ω, ∆ω = 2π/(N ∆t) and k = −N/2, . . . , N/2. This form has the
advantage that the spectrum can be calculated with Fast Fourier Transform. Due to
the mentioned symmetry properties of α(ω) it is sufficient to use only the values
for positive frequencies. Obviously, the timestep and the number of iterations are
directly related to the bandwidth and the resolution of the spectrum and must there-
fore be chosen adequately for a given problem. Also, the magnitude of the field
impulse f is a sensitive parameter, as it must be small enough to remain in the linear
response regime. A simple cross-check is to vary the value of f , as the resulting
α(ω) must be independent of the strength of the perturbation.
As an example, in Fig. 9.2 the real-time method is applied to icosahedral Na147 .
Starting from the ground state, an initial velocity offset is introduced to all electrons
and the system is propagated in time. The resulting dipole signal is given in (a).
3
&∞ &∞
We use g(ω) = 1
2π −∞
g(t)e−iωtdt and g(t) = −∞
g(ω)eiωtdω.
40
(a)
Na147
20
dipole moment [eÅ]
pz(t)
0
–20
–40
0 10 20 30 40 50
time [fs]
600
(b)
absorption cross section [Å2]
400
200
σtot (ω)
0
0 1 2 3 4 5 6
photon energy hω [eV]
Fig. 9.2. Calculated linear optical response of Na147 : (a) Evolution of the dipole signal in
the time domain, pz (t), recorded from the semiclassical model, after giving all electrons a
constant velocity offset of ∆vz = −1 Å/fs. (b) Corresponding total light absorption cross
section σ(ω) by using the polarizability obtained from a Fourier transform of the dipole
moment. The dominant peak at ω = 2.95 eV corresponds to the plasmon resonance of the
nanoparticle. A significant red-shift with respect to the classical value of the Mie plasmon
(vertical line in (b)) is predicted [14]
From its Fourier transform we obtain the polarizability, and the absorption cross
section, see (b), follows directly from (9.45). The optical spectrum is dominated
by a strong peak, i.e., the plasmon resonance of the metallic nanoparticle. Sharp
transitions through single particle-hole excitations are absent, as discrete electronic
states are not resolved within the semiclassical treatment. However, the predicted
response is reasonable and surprisingly close to results obtained from orbital based
quantum mechanical approaches such as the time-dependent density functional the-
ory [19, 20]. This is due to the fact that the response of simple metals is domi-
nated by collective effects, which are well covered in the semiclassical treatment. An
interesting feature of the plasmon resonance in small metal particles is the signifi-
cant red-shift with respect to the classical value, which is a clear quantum effect. The
magnitude of the semiclassically predicted shift is in agreement with experimental
observations. It can be explained by the non-zero electron density outside the clus-
ter surface, often referred to as spill-out. In a classical metallic sphere, where the
density makes a sharp step at the surface, the energy of the collective dipole mode
(Mie plasmon) reads
1/2
e 2 ni
ωMie = , (9.48)
3ǫ0 me
where ni is the number density of ionic charges. As bulk sodium4 is an almost ideal
metal, the prediction of (9.48) of ωMie = 3.41 eV gives a good estimate for the
macroscopic limit, see vertical line in Fig. 9.2(b). The red-shift of plasmon in case
of a cluster is a function of particle size and decreases gradually with increasing
particle size.
9.3.3 Nonlinear Laser Excitations
So far, we have gone a long way without considering truly nonlinear scenarios.
Therefore, let us finally discuss an application of the semiclassical treatment to
metal clusters in ultrashort intense laser pulses. On the basis of the calculated op-
tical absorption spectrum, cf. Fig. 9.2, a high absorption cross section is expected
for laser excitations close to the plasmon resonance. For laser photon energies far
away from the resonance, only a weak response is predicted. This is true, but only
within the linear regime. In intense laser pulses (say I ≫ 1010 W/cm2 ) the sys-
tem is changing rapidly during the interaction process, due to laser heating or the
emission of electrons, which results in transient optical properties. As observed in
many experiments, the cluster response is very sensitive to the temporal shape of the
laser field, leading to strong variations in the numbers and energies of emitted elec-
trons, ions and photons. The mechanisms behind these phenomena are a fascinating
aspect of clusters in intense fields. However, full quantum mechanical treatment is
unfeasible and simplified approaches are necessary for a theoretical description. In
case of metal clusters, the semiclassical method is a useful compromise, provid-
ing valuable insight into the dynamics of nonlinear laser-cluster interactions. This
is demonstrated below by analyzing the origin of maximum cluster ionization at
optimal delay of dual pulses.
We consider the excitation of Na55 by a sequence of two linearly polarized 50 fs
laser pulses of moderate intensity (I0 = 4 × 1012 W/cm2 ), having a variable delay
∆t and a photon energy of ω = 1.54 eV (Titanium-Sapphire laser at 800 nm). This
means, the system is probed well below its collective mode in the ground state, in
accordance to the typical situation in experiments on simple-metal clusters. A set of
simulations for various pulse delays, say ∆t = 0 . . . 1 ps, will specify a character-
istic optimal pulse separation, resulting in maximal total ionization. This behavior
4
ni = 2.53 × 1022 cm−3 .
has also been observed in measurements [21]. To identify the mechanism underlying
this effect, Fig. 9.3 shows a set of time-dependent observables from the simulation
with the optimal delay. For the given laser parameters this is ∆topt ≈ 250 fs.
Let us first concentrate on the impact of the leading pulse. The almost vanishing
phase lag between the laser and the dipole moment (b) is a marker for low energy
absorption from the first pulse, as the system is excited far off the resonance. Re-
member, this is what we know from a driven oscillator. Only a small amplitude
of the dipole moment (a) and weak ionization of the cluster (c) is induced by the
leading pulse. However, the cluster is excited strong enough to become unstable,
as can be seen from the increasing radius (d). There are two important mechanism
driving the expansion, i.e., the Coulomb pressure due to total cluster charge and
a hydrodynamic contribution, resulting from the heated electron gas. Now, if we
200 (a) 1st 2nd 0.5

dipole [eÅ]
Field [V/Å]
100
0 0
–100 laser envelope
dipole moment
–200 –0.5
0 (b)
phase angle
π
2
dipole phase
π
ejected electrons
(c)
40 total ionization
35.5
20
4.95
0
20 (d)
radius [Å]
15 ion rms radius

critical radius
10
5
0 100 200 300 400
time [fs]
Fig. 9.3. Response of Na55 for dual pulse laser excitation with I = 4 × 1012 W/cm2 , ω =
1.54 eV (800 nm), and an optical delay of 250 fs. Shown are the envelope of the laser field
(grey) and the corresponding electron dipole amplitude (a), the phase angle between the laser
field and the dipole signal (b), the total cluster ionization (c), and the root-mean-square radius
of the ion distribution (d). Note that the dipole phase angle passes π/2 as the rms-radius is
close to the critical value Rc (dotted line) [21]
inspect the impact of the second pulse, much larger amplitudes in the dipole moment
are found and the ionization is increased by a factor of seven. This is a significant
difference to the first excitation step, although the pulses are identical. The enhance-
ment can be explained by a dynamic plasmon resonance. A clear hint to a collective
resonance phenomena over quasi-static field effects is a transient phase lag of π/2.
The critical cluster radius for frequency matching can be estimated from the simple
classical plasmon formula in (9.48), cf. Fig. 9.3(d). The cluster radius passes this
critical value right at the time where the system absorbs energy most efficiently and
therefore emits many electrons. This effect is called plasmon-enhanced ionization.
Connected to the plasmon enhancement is an efficient non-thermal electron accel-
eration mechanism, discussed in [22].
The optimal pulse delay calculated within the semiclassical model is of the
same order of magnitude as values obtained from corresponding experiments. It
is, of course, only an approximation to the real behavior, but has a number of ad-
vantages over purely classical MD techniques. The introduction of exchange and
correlation effects allows to start from a stable and bound ground state. An initial
Fermi-Dirac distribution is stable, as the mean-field test particle approach removes
binary collisions and, therefore, unphysical thermalization to a Boltzmann distri-
bution. However, as described above, the treatment neglects collisions if the sys-
tem becomes highly excited. This shortcoming can be removed by introducing a
Ühling-Uhlenbeck collision term [23]. However, this is beyond the scope of this
contribution. For further reading about the semiclassical method and a comparison
to quantum mechanical models we refer to [24].
The authors gratefully acknowledge financial support by the Deutsche For-
schungsgemeinschaft within the Sonderforschungsbereich 652. Computer time was
provided by the High Performance Computing Center for North Germany (HLRN).
References
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Rev. Lett. 98, 143401 (2007) 272
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24. P. Reinhard, E. Suraud, Introduction to Cluster Dynamics (Wiley-VCH, Berlin, 2004) 272
10 World-line and Determinantal Quantum Monte
Carlo Methods for Spins, Phonons and Electrons
F.F. Assaad1 and H.G. Evertz2

1
Institut für Theoretische Physik und Astrophysik, Universität Würzburg, 97074
Würzburg, Germany
2
Institut für Theoretische Physik und Computational Physics, Technische Universität Graz,
A-8010 Graz, Austria
In this chapter we will concentrate primarily on world-line methods with loop

updates, for spins and also for spin-phonon systems, as well as on the auxiliary field
quantum Monte Carlo (QMC) method. Both approaches are based on a path integral
formulation of the partition function which maps a d-dimensional quantum system
onto a d + 1 dimensional classical system. The additional dimension is nothing but
the imaginary time. World-line based approaches for quantum spin systems offer a
simple realization of the mapping from quantum to classical, and allow for new ap-
proaches to phonons, as recently developed. Auxiliary field QMC methods provide
access to fermionic systems both at finite temperature and in the ground state. An
important example is the Hirsch-Fye approach that allows for an efficient simulation
of impurity models, such as the Kondo and Anderson models, and is widely used in
the domain of dynamical mean field theories (DMFT).
10.1 Introduction
The correlated electron problem remains one of the central challenges in solid state
physics. Given the complexity of the problem, numerical simulations provide an
essential source of information to test ideas and develop intuition. In particular for
a given model describing a particular material we would ultimately like to be able
to carry out efficient numerical simulations so as to provide exact results on ther-
modynamic, dynamical, transport and ground-state properties. If the model shows a
continuous quantum phase transition we would like to characterize it by computing
the critical exponents. Without restriction on the type of model, this is an extremely
challenging goal.
There are however a set of problems for which numerical techniques have pro-
vided invaluable insight and will continue to do so. Here we list a few which are
exact, capable of reaching large system sizes (the computational effort scales as a
power of the volume), and provide ground-state, dynamical as well as thermody-
namic quantities: (i) Density matrix renormalization group applied to general one-
dimensional (1D) systems [1, 2], (ii) world-line based QMC methods such as the
loop algorithm [3, 4] or directed loops [5] applied to non-frustrated spin systems
in arbitrary dimensions or to 1D electron-models on bipartite lattices, and (iii) aux-
iliary field QMC methods [6]. The latter method is capable of handling a class of
F.F. Assaad and H.G. Evertz: World-line and Determinantal Quantum Monte Carlo Methods for Spins, Phonons and
Electrons, Lect. Notes Phys. 739, 277–356 (2008)
278 F.F. Assaad and H.G. Evertz
models with spin and charge degrees of freedom in dimensions larger than unity.
This class contains fermionic lattice models with attractive interactions (e.g. attrac-
tive Hubbard model), models invariant under particle-hole transformation, as well
as impurity problems modelled by Kondo or Anderson Hamiltonians.
In this lecture we first introduce the world-line approach, exemplarily for the
1D XXZ-chain, see Sect. 10.2. In Sect. 10.3, we discuss world-line representations
of exp(−βH) without Trotter-time discretization errors (where β = 1/(kB T )), in-
cluding the stochastic series expansion (SSE). We emphasize that the issue of such
a representation of exp(−βH) is largely independent of the Monte Carlo algorithm
used to update the world lines. In Sect. 10.4 we explain the loop algorithm from an
operator point of view, and discuss some applications and generalizations. Sect. 10.5
discusses ways to treat coupled systems of spins and phonons, exemplified for 1D
spin-Peierls transitions. It includes a new method which allows the simulation of ar-
bitrary bare phonon dispersions [7]. In Sect. 10.6 we describe the basic formulation
of the auxiliary field QMC method. This includes the formulation of the partition
function, the measurement of equal-time and time-displaced correlation functions
as well as general conditions under which one can show the absence of negative
sign problem. In Sect. 10.7 we concentrate on the implementation of the auxiliary
field method for lattice problems. Here, the emphasis is placed on numerical stabi-
lization of the algorithm. Sect. 10.8 concentrates on the Hirsch-Fye formulation of
the algorithm. This formulation is appropriate for general impurity models, and is
extensively used in the framework of dynamical mean-field theories and their gen-
eralization to cluster methods. Recently, more efficient continuous time algorithms
for the impurity problem (diagrammatic determinantal QMC methods) have been
introduced [8, 9]. Finally in Sect. 10.9 we briefly provide a short and necessarily
biased overview of applications of auxiliary field methods.
10.2 Discrete Imaginary Time World Lines

for the XXZ Spin Chain
The attractive feature of the world-line approach [10] is its simplicity. Here, we will
concentrate on the 1D XXZ spin chain. The algorithm relies on a mapping of the
1D XXZ quantum spin chain to the six vertex model [11]. The classical model may
then be solved exactly as in the case of the six vertex model [12] or simulated very
efficiently by means of cluster Monte Carlo methods [3, 4]. The latter approach
has proved to be extremely efficient for the investigation of non-frustrated quantum
spin systems [13] in arbitrary dimensions. The efficiency lies in the fact that (i) the
computational time scales as the volume of the classical system so that very large
system sizes may be achieved, and (ii) the autocorrelation times are small.
A related method, applicable to more models, are directed loops [5, 14]. A short
introduction is provided in [15]. For a general short overview of advanced world-
line QMC methods see [16]. Longer reviews are provided in [4, 17].
Fermions can also be represented by world lines. For spinless fermions in any
dimension the same representation as for the XXZ spin model results, albeit with
10 World-line and Determinantal Quantum Monte Carlo Methods 279
additional signs corresponding to the exchange of fermions. The world-line ap-

proach will allow us to acquire some insight into the resulting sign problem. This is
a major open issue in QMC methods applied to correlated systems. When it occurs
the computational effort scales exponentially with system size and inverse temper-
ature. Recent attempts in the form of novel concepts to tackle correlated electron
systems are reviewed in [18, 19].
Finally, at the end of this section, we will discuss extensions of the world-line
approach to tackle the problem of the dynamics of a single-hole in non-frustrated
quantum magnets.
10.2.1 Basic Formulation
To illustrate the world-line QMC method, we concentrate on the XXZ quantum spin
chain. This model is defined as
y

H = Jx x
Six Si+1 + Siy Si+1 + Jz Siz Si+1
z
, (10.1)
i i
where S i are spin 1/2 operators on site i and hence satisfy the commutation rules
) η ν*
Si , Sj = iǫη,ν,γ Siγ δi,j . (10.2)
In the above, ǫη,ν,γ is the antisymmetric tensor and the sum over repeated indices is
understood. We impose periodic boundary conditions
S i+L = S i , (10.3)
where L denotes the length of the chain.

A representation of the above commutation relations is achieved with the Pauli
spin matrices. For a single spin-1/2 degree of freedom, we can set

1 01 1 0 −i 1 1 0
Sx = , Sy = , Sz = , (10.4)
2 10 2 i 0 2 0 −1
and the corresponding Hilbert space H1/2 is spanned by the two state vectors

1 0
| ↑ = , | ↓ = . (10.5)
0 1
It is convenient to define the raising S + and lowering S − operators
S + = S x + iS y , S − = S x − iS y , (10.6)
such that
S − | ↓ = S + | ↑ = 0 ,
S − | ↑ = | ↓ ,
S + | ↓ = | ↑ . (10.7)
The Hilbert space of the L-site chain HL is given by the tensor product of L spin
1/2 Hilbert spaces. HL contains 2L state vectors which we will denote by
|σ = |σ1 , σ2 , . . . , σL (10.8)
with σi =↑ or ↓. A representation of the unit operator in HL is given by

1= |σσ| . (10.9)
σ
We can easily solve the two-site problem

Htwo sites = Jx (S1x S2x + S1y S2y ) +Jz S1z S2z .
(10.10)
≡ 12 (S1+ S2− +S1− S2+ )
The eigenstates of the above Hamiltonian are nothing but the singlet and three triplet
states

1 Jz Jx 1
Htwo sites √ (| ↑, ↓ − | ↓, ↑) = − − √ (| ↑, ↓ − | ↓, ↑) ,
2 4 2 2

1 Jz Jx 1
Htwo sites √ (| ↑, ↓ + | ↓, ↑) = − + √ (| ↑, ↓ + | ↓, ↑) ,
2 4 2 2
Jz
Htwo sites | ↑, ↑ = | ↑, ↑ ,
4
Jz
Htwo sites | ↓, ↓ = | ↓, ↓ . (10.11)
4
The basic idea of this original world-line approach is to split the XXZ Hamilto-
nian into a set of independent two-site problems. The way to achieve this decoupling
is with the use of a path integral and the Trotter decomposition. First we write

H= H (2n+1) + H (2n+2)
n n (10.12)

H1 H2
y
with H (i) = Jx Six Si+1 x
+ Siy Si+1 + Jz Siz Si+1
z
. One may verify that H1 and
H2 are sums of commuting (i.e. independent) two-site problems. Hence, on their
own H1 and H2 are trivially solvable problems. However, H is not. To use this
fact, we split the imaginary propagation exp(−βH) into successive infinitesimal
propagations of H1 and H2 . Here β corresponds to the inverse temperature. This
is achieved with the Trotter decomposition introduced in detail in Sect. 10.A. The
partition function is then given by
) * ) * ) *
Tr e−βH = Tr (e−∆τ H )m = Tr (e−∆τ H1 e−∆τ H2 )m + O(∆τ 2 )

= σ 1 |e−∆τ H1 |σ 2m . . . σ 3 |e−∆τ H1 |σ 2 σ 2 |e−∆τ H2 |σ 1 + O(∆τ 2 ) ,
σ 1 ...σ 2m
(10.13)
where m∆τ = β. In the last equality we have inserted the unit operator between
each infinitesimal imaginary time propagation. For each set of states |σ 1 . . . |σ 2m
with non-vanishing contribution to the partition function we have a simple graphical
representation in terms of world lines which track the evolution of the spins in space
and imaginary time. An example of a world-line configuration is shown in Fig. 10.1.
Hence the partition function may be written as the sum of over all world-line
configurations w, each world-line configuration having an appropriate weight Ω(w)

Z= Ω(w)
w
Ω(w) = σ 1 |e−∆τ H1 |σ 2m . . . σ 3 |e−∆τ H1 |σ 2 σ 2 |e−∆τ H2 |σ 1 , (10.14)
where w defines the states |σ 1 . . . |σ 2m .
Our task is now to compute the weight Ω(w) for a given world-line configura-
tion w. Let us concentrate on the matrix element σ τ +1 | exp(−∆τ H2 )|σ τ . Since
H2 is a sum of independent two site problems, we have
L/2
0 (2i)
σ τ +1 |e−∆τ H2 |σ τ = σ2i,τ +1 , σ2i+1,τ +1 |e−∆τ H |σ2i,τ , σ2i+1,τ .
i=1
(10.15)
Hence, the calculation of the weight reduces to solving the two-site problem, see
(10.10). We can compute, for example, the spin-flip matrix element
(a) World lines (b) Weights

τ=β=0
eΔτJz/4cosh(ΔτJx/2)
eΔτJz/4cosh(ΔτJx/2)
–eΔτJz/4sinh(ΔτJ /2)
Imaginary time
–eΔτJz/4sinh(ΔτJ /2)
x
τ = Δτ e–ΔτJz/4
e–ΔτJz/4
τ=0
Real space
Fig. 10.1. (a) World-line configuration for the XXZ model of (10.1). Here, m = 4 and the
system size is L = 8. The bold lines follow the time evolution of the up spins and empty sites,
with respect to the world lines, correspond to the down spins. A full time step ∆τ corresponds
to the propagation with H1 followed by H2 . Periodic boundary conditions are chosen in the
spatial direction. In the time direction, periodic boundary conditions follow from the fact that
we are evaluating a trace. (b) The weights for a given world-line configuration is the product
of the weights of plaquettes listed in the figure. Note that, although the spin-flip processes
come with a minus sign, the overall weight for the world-line configuration is positive since
each world-line configuration contains an even number of spin flips
↓, ↑ |e−∆τ Htwo sites | ↑, ↓

1 −∆τ Htwo sites 1 1
= √ ↓, ↑ |e √ (| ↑, ↓ − | ↓, ↑) + √ (| ↑, ↓ + | ↓, ↑)
2 2 2
1
−∆τ (−Jz /4−Jx /2) 1
= √ ↓, ↑ | e √ (| ↑, ↓ − | ↓, ↑)
2 2
1
+ e−∆τ (−Jz /4+Jx /2) √ (| ↑, ↓ + | ↓, ↑)

2

∆τ Jz /4 ∆τ J x
= −e sinh . (10.16)
2
The other five matrix elements are listed in Fig. 10.1 and may be computed in the
same manner.
We are now faced with a problem, namely that the spin-flip matrix elements are
negative. However, for non-frustrated spin systems, we can show that the overall
sign of the world-line configuration is positive. To prove this statement consider
a bipartite lattice in arbitrary dimensions. A bipartite lattice may be split into two
sub-lattices, A and B, such that the nearest neighbors of sub-lattice A belong to sub-
lattice B and vice-versa. A non-frustrated spin system on a bipartite lattice has solely
spin-spin interactions between two lattice sites belonging to different sub-lattices.
For example, in our 1D case, the even sites correspond to say sub-lattice A and the
odd sites to sub-lattice B. Under those conditions we can carry out the canonical
transformation (i.e. the commutation rules remain invariant) Six → f (i)Six , Siy →
f (i)Siy , and Siz → Siz , where f (i) = 1 (−1) if i belongs to sublattice A (B). Under
this transformation, the matrix element Jx in the Hamiltonian transforms to −Jx ,
which renders all matrix elements positive. The above canonical transformation just
tells us that the spin-flip matrix element occurs an even number of times in any
world-line configuration. The minus sign in the spin-flip matrix element may not
be omitted in the case of frustrated spin systems. This negative sign leads to a sign
problem which up to date inhibits large scale QMC simulations of frustrated spin
systems.
10.2.2 Observables
In the previous section, we have shown how to write the partition function of a
non-frustrated spin system as a sum over world-line configurations, each world-line
configuration having a positive weight. Our task is now to compute observables
) *
Tr e−βH O w Ω(w)O(w)
O = = , (10.17)
Tr [e−βH ] w Ω(w)
where Ω(w) corresponds to the weight of a given world-line configuration as ob-

tained through multiplication of the weights of the individual plaquettes listed in
Fig. 10.1 and O(w) corresponds to the value of the observable for the given world-
line configuration.
One of the major drawbacks of the world-line algorithm used to be that one
could not measure arbitrary observables. In particular, the correlation functions such
as Si+ Sj− which introduce a cut in a world-line configuration are not accessible
with continuous world lines and local updates. This problem disappears in the loop
algorithm and also with worms and directed loops, as will be discussed later. Here
we will concentrate on observables which locally conserve the z-component of spin,
specifically the total energy as well as the spin-stiffness.
10.2.2.1 Energy and Spin-Spin Correlations

Neglecting the systematic error originating from the Trotter decomposition, the ex-
pectation value of the energy is given by
1 m !
H = Tr e−∆τ H1 e−∆τ H2 (H1 + H2 )
Z
1 m−1 −∆τ H1
= Tr e−∆τ H1 e−∆τ H2 e H1 e−∆τ H2
Z
!
+e−∆τ H1 e−∆τ H2 H2 . (10.18)
To obtain the last equation, we have used the cyclic properties of the trace: Tr [AB] =
Tr [BA]. Inserting the unit operator 1 = σ |σσ| at each imaginary time interval
yields
1 )
H = σ 1 |e−∆τ H1 |σ 2m . . . σ 3 |e−∆τ H1 |σ 2 σ 2 |e−∆τ H2 H2 |σ 1
Zσ ,...σ
1 2m
*
+ σ 1 |e−∆τ H1 |σ 2m . . . σ 3 |e−∆τ H1 H1 |σ 2 σ 2 |e−∆τ H2 |σ 1
1
= σ 1 |e−∆τ H1 |σ 2m . . . σ 3 |e−∆τ H1 |σ 2 σ 2 |e−∆τ H2 |σ 1
Z σ ,...σ
1 2m

σ 3 |e−∆τ H1 H1 |σ 2 σ 2 |e−∆τ H2 H2 |σ 1
× +
σ 3 |e−∆τ H1 |σ 2 σ 2 |e−∆τ H2 |σ 1

Ω(w)E(w)
= w (10.19)
w Ω(w)
with
∂ ) *
E(w) = − lnσ 2 |e−∆τ H2 |σ 1 + lnσ 3 |e−∆τ H1 |σ 2 . (10.20)
∂∆τ
We can of course measure the energy on arbitrary time slices. Averaging over all the
time slices to reduce the fluctuations yields the form
1 ∂
E(w) = − ln Ω(w) . (10.21)
m ∂∆τ
Hence the energy of a world-line configuration is nothing but the logarithmic deriva-
tive of its weight. This can also be obtained more directly by taking the derivative
of (10.14).
Observables O which locally conserve the z-component of the spin are easy to
compute. If we decide to measure on time slice τ then O|σ τ = O(w)|σ τ . An
example of such an observable is the correlation function O = Siz Sjz .
10.2.2.2 Spin Stiffness (Superfluid Density)
The spin stiffness probes the sensitivity of the system under a twist – in spin space –
of the boundary condition along one lattice direction. If long-range spin order is
present, the free energy in the thermodynamic limit will acquire a dependence on
the twist. If on the other hand the system is disordered, the free energy is insensitive
to the twist. The spin stiffness hence probes for long range or quasi long-range spin
ordering. It is identical to the superfluid density when viewing spin systems in terms
of hard-core bosons. To define the spin stiffness, we consider the Heisenberg model
on a d-dimensional hyper-cubic lattice of linear length L:

H=J #i · S
S #j . (10.22)
i,j
We impose twisted boundary condition in say the x-direction,

# i+Lex = R(e, φ)S
S #i . (10.23)
where R(e, φ) is an SO(3) rotation around the axis e with angle φ. In the other
lattice directions, we consider periodic boundary conditions. The spin stiffness is
then defined as
"
1 −1 "
ρs = d−2 ln Z(φ)"" , (10.24)
L β φ=0
where Z(φ) is the partition function in the presence of the twist in the boundary
condition, and β corresponds to the inverse temperature.
Under the canonical transformation
φ Bi
S i = R(e, − i · ex )S (10.25)
L
the twist may be eliminated from the boundary condition

φ # i+Lex
S i+Lex = R e, − (i + Lex ) · ex S
L

φ #i
= R e, − (i + Lex ) · ex R(e, φ)S
L

φ # i = Si
= R e, − i · ex S (10.26)
L
to appear explicitly in the Hamiltonian

φ

φ

H =J R(e, − i · ex )S i · R(e, − j · ex )S j
L L
i,j

φ
=J S i · R e, (i − j) · ex S j
L
i,j
φa
=J S i · R(e, − )S i+ax + J S i · S i+a . (10.27)
L
i i,a=ax
Setting the rotation axis e to ez such that

⎛ ⎞
cos(φa/L) sin(φa/L) 0
φa
R e, − = ⎝− sin(φa/L) cos(φa/L) 0⎠ (10.28)
L
0 0 1
the Hamiltonian may be written as

1 iφa/L + − !
H=J Siz Si+a
z
+ e +
Si Si+ax + e−iφa/L Si− Si+a
x
2 x
i
1 + − !
+J Siz Si+a
z
+ +
Si Si+a + Si− Si+a . (10.29)
2
i,a=ax
In the spirit of the world-line algorithm, we write the partition function as
0
Z(φ) = W (Sp (w), φ) .
w p (10.30)

Ω(w,φ)
The sum runs over all world-line configurations w and the weight of the world-line
configuration, Ω(w), is given by the product of the individual plaquette weights
W (Sp (w), φ) in the space-time lattice. Sp (w) denotes the spin configuration on
plaquette p in the world-line configuration w.
Since at φ = 0 time reversal symmetry holds, the spin current
"
1 ∂ "
js = − ln Z(φ)"" (10.31)
β ∂φ φ=0
vanishes and the spin stiffness reads

1
ρs = Ω(w)ρs (w) (10.32)
Z w
where
1 ∂2
"
"
1 ∂φ2 W (Sp (w), φ) φ=0
ρs (w) = − d−2
βL p
W (Sp (w))
" " 2
∂
∂φ W (Sp (w), φ)"φ=0 ∂φ
∂
W (Sq (w), φ)"φ=0
+ (10.33)
W (Sp (w)) W (Sq (w))
p=q
It is instructive to compute the spin stiffness in the limit ∆τ → 0 since in this

limit ρs is nothing but the average of the square of the total spatial winding number
of the world lines. Let σ1,p , σ2,p , σ3,p and σ4,p correspond to the spin configuration
Sp and ip , j p to the two real space points associated to the plaquette p such that
"
∂2 "
∂φ 2 W (S p (w), φ)"
φ=0
lim
∆τ →0 W (Sp (w))
2 + − − +
∆τ J iex · (j p − ip ) σ1,p , σ2,p |Sip Sj p + Sip Sj p |σ3,p , σ4,p
= lim −
∆τ →0 2 L σ1,p , σ2,p |1 − ∆τ Hip ,j p |σ3,p , σ4,p
2
iex · (j p − ip ) + − − +
= σ1,p , σ2,p |Sip Sj p + Sip Sj p |σ3,p , σ4,p . (10.34)
L
In the last line have used the fact that σ1,p , σ2,p |Si+p Sj−p + Si−p Sj+p |σ3,p , σ4,p = 1
if there is a spin-flip process on plaquette p and zero otherwise. Similarly, we have:
"
∂ "
∂φ W (S p (w), φ)"
φ=0
lim
∆τ →0 W (Sp (w))
+ − − +
∆τ J iex · (j p − ip ) σ1,p , σ2,p |(Sip Sj p − Sip Sj p )|σ3,p , σ4,p
= lim −
∆τ →0 2 L σ1,p , σ2,p |1 − ∆τ Hip ,j p |σ3,p , σ4,p
iex · (j p − ip )
= σ1,p , σ2,p |Si+p Sj−p − Si−p Sj+p |σ3,p , σ4,p . (10.35)
L
Since σ1,p , σ2,p |Si+p Sj−p − Si−p Sj+p |σ3,p , σ4,p = ±1 if there is a spin-flip process
on plaquette p and zero otherwise the identity
" ⎛ " ⎞2
∂2 " ∂ "
∂φ2 W (Sp (w), φ)" φ=0 ⎜ ∂φ W (Sp (w), φ)"φ=0 ⎟
lim = ⎝ lim ⎠ (10.36)
∆τ →0 W (Sp (w)) ∆τ →0 W (Sp (w))
holds. Hence, one can rewrite the spin stiffness as

1
ρs (w) = (Wx (w))2 , (10.37)
βLd
where the winding number along the x-lattice direction Wx is given by

Wx (w) = ex · (j p − ip )σ1,p , σ2,p |Si+p Sj−p − Si−p Sj+p |σ3,p , σ4,p . (10.38)
p
10.2.3 Updating Schemes
The problem is now cast into one which may be solved with classical Monte Carlo
methods where we need to generate a Markov chain through the space of world-line
configurations. Along the chain the world-line configuration w, occurs on average
with normalized probability Ω(w). There are many ways of generating the Markov
chain. Here we will first discuss a local updating scheme and its limitations. We will
then turn our attention to a more powerful updating scheme which is known under
the name of loop algorithm.
10.2.3.1 Local Updates
Local updates deform a world-line configuration locally. As shown in Fig. 10.2 one
randomly chooses a shaded plaquette and, if possible, shifts a world line from one
side of the shaded plaquette to the other. This move is local and only involves the
four plaquettes surrounding the shaded one. It is then easy to calculate the ratio of
weights of the new to old world-line configurations and accept the move according
to a Metropolis criterion. As it stands, the above described local move is not ergodic.
For example, the z-component of spin is conserved. This problem can be circum-
vented by considering a move which changes a single down world line into an up
one and vice-versa. However, such a global move will have very low acceptance
probability at large β.
Combined, both types of moves are ergodic but only in the case of open bound-
ary conditions in space. The algorithm is not ergodic if periodic or anti-periodic
boundary conditions are chosen. Consider a starting configuration with zero wind-
ing (i.e. Wx (w) = 0). The reader will readily convince himself that with local up-
dates, it will never be possible to generate a configuration with Wx (w) = 0. Hence,
for example, a spin stiffness may not be measured within the world-line algorithm
with local updates. However, one should note that violation of ergodicity lies in
Fig. 10.2. Local updates. A shaded plaquette is chosen randomly and a Word Line is shifted
from left to right or vice versa across the shaded plaquette
the choice of the boundary condition. Since bulk properties are boundary indepen-
dent in the thermodynamic limit, the algorithm will yield the correct results in the
thermodynamic limit [20].
Different local updates without such problems have been invented in recent
years, namely worms and directed loops. They work by allowing a partial world
line, and iteratively changing the position of its ends until it closes again. They will
be discussed in Sect. 10.4.5.
10.2.3.2 Loop Updates
To introduce loop updates, it is useful to first map the XXZ model onto the six vertex
model of statistical mechanics.
10.2.3.2.1 Equivalence to the Six Vertex Model
That the XXZ quantum spin chain is equivalent to the classical 2D six vertex model
follows from a one to one mapping of a world-line configuration to one of the six
vertex model. The identification of single plaquettes is shown in Fig. 10.3(a). The
world-line configuration of Fig. 10.1 is plotted in the language of the six vertex mode
in Fig. 10.3(b). The vertex model lies on a 45 degrees rotated lattice denoted by
bullets in Fig. 10.3(b). At each vertex (bullets in Fig. 10.3) the number of incoming
arrows equals the number of outgoing arrows. In the case of the XYZ chain, source
and drain terms have to be added, yielding the eight vertex model.
The identification of the XXZ model to the six vertex model gives us an intuitive
picture of loop updates [3]. Consider the world-line configuration in Fig. 10.4(a) and
its corresponding vertex formulation (Fig. 10.4(b)). One can pick a site at random
and follow the arrows of the vertex configuration. At each plaquette there are two
possible arrow paths to follow. One is chosen, appropriately, and one follows the
arrows to arrive to the next plaquette. The procedure is then repeated until one re-
turns to the starting point. Such a loop is shown in Fig. 10.4(c). Along the loop,
(a) (b)
Fig. 10.3. (a) Identification of world-line configurations on plaquettes with the vertices of
the six vertex model. (b) The world-line configuration of Fig. 10.1 in the language of the six
vertex model
(a) (b) (c)
(d) (e)
Fig. 10.4. Example of a loop update
changing the direction of the arrows generates another valid vertex configuration,
see Fig. 10.4(d). The corresponding world-line configuration (after flipping the loop)
is shown in Fig. 10.4(e). As apparent, this is a global update which in this example
changes the winding number. This was not achievable with local moves.
10.2.3.2.2 Loop Updates
In the previous paragraph we have seen how to build a loop. Flipping the loop has
the potential of generating large-scale changes in the world-line configuration and
hence allows us to move quickly in the space of world lines. There is however a
potential problem. If the loops were constructed at random, then the acceptance rate
for flipping a loop would be extremely small and loop updates would not lead to an
efficient algorithm. The loop algorithm sets up rules to build the loop such that it
can be flipped without any additional acceptance step for the XXZ model.
To do so, additional variables are introduced, which specify for each plaquette
the direction which a loop should take there, Fig. 10.5. These specifications, called
breakups or plaquette-graphs, are completely analogous to the Fortuin-Kasteleyn
bond-variables of the Swendsen-Wang cluster algorithm, discussed in Chap. 4. They
can also be thought of as parts of the Hamilton operator, as discussed in Sect. 10.4.
Note that when a breakup has been specified for every plaquette, this then graphi-
cally determines a complete decomposition of the vertex-lattice into a set of loops
(see also below). The loop algorithm is a cluster algorithm mapping from such sets
of loops to world-line configurations and back to new sets of loops. In contrast,
directed loops are a local method not associated with such graphs.
Which plaquette-graphs are possible? For each plaquette and associated vertex
(spin-configuration) there are several possible choices of plaquette-graphs which
WL Vertex Possible Graphs
1
1 2 3
2
2 4 3
3
1 4 3
Fig. 10.5. Possible plaquette-graphs for vertex configurations. Graph one is a vertical
breakup, graph two a horizontal one, graph four is diagonal. Plaquette-graph three is called
frozen; it corresponds to the combined flip of all four arrows
are compatible with the fact that the arrow direction may not change in the con-
struction of the loop. Figure 10.5 illustrates this. Given the vertex configurations
one in Fig. 10.5 one can follow the arrows vertically (graph one) or horizontally
(graph two). There is also the possibility to flip all the spins of the vertex. This cor-
responds to graph three in Fig. 10.5. The plaquette-graph configuration defines the
loops along which one will propose to flip the orientation of the arrows of the vertex
model.
In order to find appropriate probabilities for choosing the breakups, we need to
find weights W (S, G) for each of the combinations of spin configuration S on a
plaquette and plaquette-graph G shown in Fig. 10.5. We require that

W (S, G) = W (S) , (10.39)
G
where W (S) is the weight of the vertex S, i.e. we subdivide the weight of each spin-
configuration on a vertex onto the possible graphs, for example graphs one, four and
three if S = 3, see Fig. 10.5.
Starting from a vertex configuration S on a plaquette we choose an allowed
plaquette-graph with probability
W (S, G)
P (S → (S, G)) = . (10.40)
W (S)
for every vertex-plaquette of the lattice. We then have a configuration of vertices
and plaquette-graphs. When a plaquette-graph has been chosen for every plaquette,
the combined lines subdivide the lattice into a set of loops. To achieve a constant ac-
ceptance rate for the flip of each loop, we require that for a given plaquette-graph G
W (S, G) = W (S ′ , G) , (10.41)
where S ′ is obtained from S by flipping the arrows of the vertex configuration

according the rules of the graph G. That is for G = 1 in Fig. 10.5 we require
W (S = 1, G = 1) = W (S = 3, G = 1). This equation can be satisfied with
weights W (S, G) = V (G) when S and G are compatible and W (S, G) = 0
otherwise.
When choosing the heat-bath algorithm for flipping, the probability of flipping
the arrows along the loop is given by
W (S ′ , G)/(W (S, G)) 1
P ((S, G) → (S ′ , G)) = = . (10.42)
1 + W (S ′ , G)/(W (S, G)) 2
Thus each loop is flipped with probability 1/2. This generates a new, highly in-
dependent, world-line configuration. The previous plaquette-graphs are then dis-
carded, and another update starts with the choice of new plaquette-graphs according
to (10.40).
With (10.41) and (10.42) the detailed balance in the space of graphs and spins
W (S, G)P [(S, G) → (S ′ , G)] = W (S ′ , G)P [(S ′ , G) → (S, G)] (10.43)
is trivially satisfied. Detailed balance in the space of spins follows from:
W (S) P (S → S ′ )

= W (S) P [S → (S, G)]P [(S, G) → (S ′ , G)]
G
W (S, G)
= W (S) P [(S, G) → (S ′ , G)]
W (S)
G
W (S ′ , G)
= W (S ′ ) P [(S ′ , G) →(S, G)] = W (S ′ )P (S ′→S) . (10.44)
W (S ′ )
G
This completes the formal description of the algorithm. We will now illustrate the
algorithm in the case of the isotropic Heisenberg model (J = Jx = Jz ) since this
turns out to be a particularly simple case. Equations (10.39) and (10.41) lead to
e∆τ J/4 cosh(∆τ J/2) ≡ W1 = W1,1 + W1,2 + W1,3
e∆τ J/4 sinh(∆τ J/2) ≡ W2 = W2,2 + W2,4 + W2,3
e−∆τ J/4 ≡ W3 = W3,1 + W3,4 + W3,3 (10.45)
with W3,1 = W1,1 , W1,2 = W2,2 and W2,4 = W3,4 . Here we adopt the notation
Wi,j = W (S = i, G = j) and Wi = W (S = i). To satisfy the above equations for
the special case of the Heisenberg model, we can set W•,3 = W•,4 = 0 and thereby
consider only the graphs G = 1 and G = 2. The reader will readily verify that the
equations
e∆τ J/4 cosh(∆τ J/2) ≡ W1 = W1,1 + W1,2
e∆τ J/4 sinh(∆τ J/2) ≡ W2 = W2,2 = W1,2
e−∆τ J/4 ≡ W3 = W1,1 = W3,1 (10.46)
are satisfied. We will then only have vertical and horizontal breakups. The prob-
ability of choosing a horizontal breakup is tanh(∆τ J/2) on an antiferromagnetic
plaquette (i.e. type one), it is unity on type two, and zero on a ferromagnetic plaque-
tte (type three).
Further aspects of the loop algorithm will be discussed in Sect. 10.3.
10.2.4 The Sign Problem in the World-Line Approach
The QMC approach is often plagued by the so-called sign problem. Since the origin
of this problem is easily understood in the framework of the world-line algorithm we
will briefly discuss it in this section on a specific model. Consider spinless electrons
on an L-site linear chain
†
H = −t ci (ci+1 + ci+2 ) + H.c. (10.47)
i
with {c†i , c†j } = {ci , cj } = 0, {c†i , cj } = δi,j . Here, we consider periodic boundary
conditions, ci+L = ci and t > 0.
The world-line representation of spinless fermions is basically the same as that
of spin-1/2 degrees of freedom (which themselves are equivalent to so-called hard-
core bosons) on any lattice. For fermions, world lines stand for occupied locations
in space-time. Additional signs occur when fermion world lines wind around each
other, as we will now discuss.
For the above Hamiltonian it is convenient to split it into a set of independent
four site problems
L/4−1 L/4−1

(4n+1)
H= H + H (4n+3) (10.48)
n=0 n=0

H1 H2
with H (i) = −tc†i (ci+1 /2 + ci+2 )− tc†i+1 (ci+2 + ci+3 ) − tc†i+2 ci+3 /2 + H.c.. With
this decomposition one obtains the graphical representation of Fig. 10.6 [21].
Imaginary time.
Real space
Fig. 10.6. World-line configuration for the model of (10.47). Here m = 3. Since the two
electrons exchange their positions during the imaginary time propagation, this world-line
configuration has a negative weight
The sign problem occurs due to the fact that the weights Ω(w) are not neces-
sarily positive. An example is shown in Fig. 10.6. In this case the origin of negative
signs lies in Fermi statistics. Negative weights cannot be interpreted as probabilities.
To circumvent the problem, one decides to carry out the sampling with an auxiliary
probability distribution
|Ω(w)|
P r(ω) = , (10.49)
w |Ω(w)|
which in the limit of small values of ∆τ corresponds to the partition function of the
Hamiltonian of (10.47) but with fermions replaced by hard-core bosons. Thus, we
can now evaluate (10.17) with

P r(ω)sign(w)O(w)
O = w , (10.50)
w P r(ω)sign(w)
where both the numerator and denominator are evaluated with MC methods. Let us
first consider the denominator
) *
Tr e−βH
w Ω(w)
sign = P r(ω)sign(w) = = . (10.51)
w w |Ω(w)| Tr [e−βHB ]
Here, HB corresponds to the Hamiltonian of (10.47) but with fermions replaced by

hard-core bosons. In the limit of large inverse temperatures β the partition functions
is dominated by the ground state. Thus in this limit
B
sign ∼ e−β (E0 −E0 ) = e−βL∆ , (10.52)

where ∆ = E0 − E0B /L is an intensive, in general positive, quantity. The above
equation corresponds to the sign problem. When the temperature is small or system
size large, the average sign becomes exponentially small. Hence, the observable O
is given by the quotient of two exponentially small values which are determined
stochastically. Since sign is the average of values ±1, its variance is extremely
large. When the error-bars become comparable to the average sign, uncontrolled
fluctuations in the evaluation of O will occur. Two comments are in order:
(i) In this simple example the sign problem occurs due to Fermi statistics. How-
ever, sign problems occur equally in frustrated spin-1/2 systems which are noth-
ing but hard-core boson models. Note that replacing the fermions by hard-core
bosons in (10.47) and considering hopping matrix elements of different signs
between nearest and next-nearest neighbors will generate a sign problem in the
above formulation.
(ii) The sign problem is formulation dependent.
In the world-line algorithm, we decide to work in real space. Had we chosen Fourier
space, the Hamiltonian would have been diagonal and hence no sign problem would
have occurred. In the auxiliary field approach discussed in the next section the sign
problem would not occur for this non-interacting problem since one body operators
are treated exactly. That is, the sum over all world lines is carried out exactly in that
approach.
10.2.5 Single-Hole Dynamics in non Frustrated Quantum Magnets
In this section we describe generalizations of the loop algorithm which allow one
to investigate the physics of single-hole motion in non-frustrated quantum magnets
[22, 23, 24].
The Hamiltonian we will consider is the t-J model defined as
† 1
Ht−J = P − t ci,σ cj,σ + H.c. + J S i · S j − ni nj P . (10.53)

4
i,j,σ i,j
The t-J model lives a Hilbert space where double occupancy on a site is excluded.
In the above, this constraint is taken care of by the projection
0
P= (1 − ni,↑ ni,↓ ) , (10.54)
i
which filters out all states with double occupancy.

To access the single-hole problem, we carry out a canonical transformation to
rewrite the fermionic operators, c†i,σ , in terms of spinless fermions and spin 1/2
degrees of freedom. On a given site the product space of a spinless fermion and a
spin 1/2 degree of freedom consists of four states
|n, σ ≡ |n ⊗ |σ (10.55)
with n = 0, 1 and σ =↑, ↓, on which the fermionic

? † @ ? @ ? @
f , f = 1, f † , f † = f † , f † = 0 , (10.56)
and spin 1/2 operators,

) *
σ α , σ β = 2i ǫα,β,γ σ γ (10.57)
γ
act.
We can identify the four fermionic states on a given site to the four states in the
product space of spinless fermions and spins as:
| ↑ = c†↑ |0 ↔ |1, ↑ = |vac ,

| ↓ = c†↓ |0 ↔ |1, ↓ = σ − |vac ,
|0 ↔ |0, ↑ = f † |vac ,
| ↓↑ = c†↓ c†↑ |0 ↔ |0, ↓ = f † σ − |vac . (10.58)
Here σ − = (σ x − iσ y ) /2 and σ + = (σ x + iσ y ) /2. The fermionic operators (c†σ )

are identified as
c†↑ ↔ σ z,+ f − σ z,− f † ,

c†↓ ↔ σ − f † + f . (10.59)
with σ z,± = (1 ± σ z ) /2. Under the above canonical transformation the t-J model
reads
J #
H# t−J = P
# t [fj† fi P#i,j + H.c.] + #i,j P
(Pi,j − 1)∆ #,
2
i,j i,j
1
P#i,j = (σ i · σ j + 1) ,
2
#i ,j = 1 − f † fi − f † fj ,
∆ i j
0 †

#=
P 1 − fi fi σi− σi+ . (10.60)
i
We can check the validity of the above expression by considering the two-site
(i,j)
problem Ht−J . Applying the Hamiltonian on the four states in the projected Hilbert
space with two electrons gives
(i,j)
Ht−J | ↑i ⊗ | ↑j = 0 ,
(i,j)
Ht−J | ↓i ⊗ | ↓j = 0 ,

(i,j)
Ht−J | ↑i ⊗ | ↓j = P − t|0i ⊗ | ↑↓j − t| ↑↓i ⊗ |0j
J J
− | ↑i ⊗ | ↓j + | ↓i ⊗ | ↑j

2 2
J J
= − | ↑i ⊗ | ↓j + | ↓i ⊗ | ↑j ,
2 2
(i,j)
Ht−J | ↓i ⊗ | ↑j = P − t|0i ⊗ | ↓↑j − t| ↓↑i ⊗ |0j
J J
− | ↓i ⊗ | ↑j + | ↑i ⊗ | ↓j

2 2
J J
= − | ↓i ⊗ | ↑j + | ↑i ⊗ | ↓j . (10.61)
2 2
As apparent, starting from a state in the projected Hilbert space the kinetic energy
term generates states with double occupancy which have to be projected out. In
other words the projection operator does not commute with the kinetic energy. We
can now check that one obtains the same result in the representation in terms of
spinless fermions and spins. The above equations respectively read
# (i,j) |1, ↑i ⊗ |1, ↑j = 0 ,

H t−J
# (i,j) |1, ↓i ⊗ |1, ↓j = 0 ,
H t−J

# − J |1, ↑i ⊗ |1, ↓j + J |1, ↓i ⊗ |1, ↑j

# (i,j) |1, ↑i ⊗ |1, ↓j = P
H t−J
2 2
J J
= − |1, ↑i ⊗ |1, ↓j + |1, ↓i ⊗ |1, ↑j ,
2 2
J J
# (i,j) #
H t−J |1, ↓i ⊗ |1, ↑j = P − |1, ↓i ⊗ |1, ↑j + |1, ↑i ⊗ |1, ↓j
2 2
J J
= − |1, ↓i ⊗ |1, ↑j + |1, ↑i ⊗ |1, ↓j ,
2 2
(10.62)
# (i,j) (i,j)
which confirms that the matrix elements of H t−J are identical to those of Ht−J .
The reader can readily carry out the calculation in the one and zero particle Hilbert
(i,j) # (i,j) |#
spaces to see that: η|Ht−J |ν = # η |H t−J ν , where |ν (|η) and |# ν (|η) cor-
respond to the same states but in the two different representations. Since the t-J
model may be written as a sum of two-sites terms, the above is equivalent to
η|Ht−J |ν = # # t−J |#

η |H ν . (10.63)
In the representation of (10.61) the t-J model has two important properties
which facilitate numerical simulations:
(i) As apparent from (10.62) the application of the Hamiltonian (without projec-
tion) on a state in the projected Hilbert space does not generate states with
double occupancy. Hence, the projection operation commutes with the Hamil-
tonian in this representation. The reader can confirm that this is a statement
which holds in the full Hilbert space. This leads to the relation
† J # !
t [fj fi P#i,j + H.c.] + (Pi,j − 1)∆ #i,j , P# = 0 , (10.64)
2
i,j i,j
which states that the projection operator is a conserved quantity.

(ii) The Hamiltonian is bilinear in the spinless fermion operators. This has the con-
sequence that for a fixed spin configuration the spinless fermion may be inte-
grated out.
We now use those two properties to study the problem of single-hole dynamics
in un-frustrated quantum magnets. Single-hole dynamics is determined by the Green
function. In this section we will define it as
1 !
G(i − j, τ ) = c†i,↑ (τ )cj,↑ = Tr e−(β−τ )H c†i,↑ e−τ H cj,↑ , (10.65)
Z
where the trace runs over the Hilbert space with no holes. In the representation of
(10.61) the above equation reads
G(r, τ ) = σiz,+ (τ )fi (τ )σjz,+ fj† . (10.66)

To use the world-line formulation to the present problem, we introduce the unit
operator in the Hilbert space with no holes

1= |v, σv, σ| , |v, σ = |1, σ1 1 ⊗ |1, σ2 2 ⊗ . . . ⊗ |1, σN N , (10.67)
σ
as well as the unit operator in the Hilbert space with a single hole

1= |r, σv, r| , |r, σ = σrz,+ fr† |v, σ . (10.68)
r,σ
In the above, r denotes a lattice site and N corresponds to the number of lattice
sites. In the definition of the single hole-states, the operator σrz,+ guarantees that we
will never generate a doubly occupied state on site r (i.e. |0, ↓).
The Green function may now be written as
1 m−nτ z,+
G(i − j, τ ) = v, σ 1 | e−∆τ H1 e−∆τ H2 σi fi
Z σ
1
nτ z,+ †
× e−∆τ H1 e−∆τ H2 σj fj |v, σ 1
1
= v, σ1 |e−∆τ H1 |v, σ 2m
Z σ 1 ...σ 2m
r 2 ...r 2nτ
× v, σ 2m−1 |e−∆τ H2 |v, σ 2m−2 · · · v, σ 2nτ +1 |σiz,+ fi e−∆τ H1 |r 2nτ , σ 2nτ
× r 2nτ , σ 2nτ |xe−∆τ H2 |r 2nτ −1 , σ 2nτ −1 · · · r 2 , σ2 |e−∆τ H2 σjz,+ fj† |v, σ 1

Ω(w)Gw (i − j, τ )
= w . (10.69)
w Ω(w)
The following comments are in order:

(i) We have neglected the controlled systematic error of order (∆τ )2 .
(ii) nτ ∆τ = τ and m∆τ = β.
(iii) w denotes a world-line configuration defined by the set of spin states
|σ1 . . . |σ2m . The Boltzmann weight of this state is given by
Ω(w) = v, σ 1 |e−∆τ H1 |v, σ2m . . . v, σ 2 |e−∆τ H2 |v, σ 1 (10.70)

such that Z = w Ω(w) in the partition function of the Heisenberg model.
(iv) The Green function for a given world-line configuration (w) reads
v, σ2nτ +1 |σiz,+ fi e−∆τ H1 |r 2nτ , σ 2nτ · · ·
Gw (i − j, τ ) =
r 2nτ ...r 2
v, σ 2nτ +1 |e−∆τ H1 |v, σ 2nτ · · ·
· · · r 2 , σ2 |e−∆τ H2 σjz,+ fj† |v, σ 1

× . (10.71)
· · · v, σ 2 |e−∆τ H2 |v, σ 1
Defining
v, σ2 |fr σrz,+ e−∆τ H1 σjz,+ fj† |v, σ1

[A1 (σ2 , σ1 )]r,j = ,
v, σ2 |e−∆τ H1 |v, σ1
v, σ2 |fr σrz,+ e−∆τ H2 σjz,+ fj† |v, σ1
[A2 (σ2 , σ1 )]r,j = (10.72)
v, σ2 |e−∆τ H2 |v, σ1
and since the single-hole states are given by |r, σ = σrz,+ fr† |v, σ, the Green
function for a given world-line configuration is given by
)
Gw (i − j, τ ) = A1 (σ2nτ +1 , σ2nτ )A2 (σ2nτ , σ2nτ +1 ) · · ·
*
· · · A1 (σ3 , σ2 )A2 (σ2 , σ1 ) i,j . (10.73)
We are now left with the task of computing the matrix A. Since H2 is a sum of
commuting bond Hamiltonians (Hb ) [A1 (σ 3 , σ 2 )]i,j does not vanish only if i and
j belong to the same bond #b. In particular, denoting the two-spin configuration on
bond b by σ 1,b , σ 2,b we have
A2 (σ 2 , σ 1 )i,j
A !
b=#b v, σ 2,b |e −∆τ Hb
|v, σ 1,b v, σ 2,#b |σiz,+fi e−∆τ H#b σjz,+fj† |v, σ 1,#b
= A −∆τ Hb |v, σ
b v, σ b,2 |e b,1
v, σ 2,#b |σiz,+fi e−∆τ H#b σjz,+fj† |v, σ 1,#b

= . (10.74)
v, σ 2,#b |e−∆τ H#b |v, σ 1,#b
Omitting the bond index, the above quantity is given by

cosh(−∆τ t) sinh(−∆τ t)
A (σ 2 =↑i , ↑j , σ 1 =↑i , ↑j ) =
sinh(−∆τ t) cosh(−∆τ t) ij

00
A (σ 2 =↓i , ↓j , σ 1 =↓i , ↓j ) =
0 0 ij
1 2
0 0
A (σ 2 =↓i , ↑j , σ 1 =↓i , ↑j ) = cosh(−∆τ t)
0 e∆τ J/2 cosh(∆τ J/2) ij
1 2
cosh(−∆τ t)
∆τ J/2 0
A (σ 2 =↑i , ↓j , σ 1 =↑i , ↓j ) = e cosh(∆τ J/2)
0 0
ij
1 2
0 0
A (σ 2 =↓i , ↑j , σ 1 =↑i , ↓j ) = sinh(−∆τ t)
−e∆τ J/2 sinh(∆τ J/2)
0
ij
1 2
sinh(−∆τ t)
0 −e∆τ J/2 sinh(∆τ J/2)
A (σ 2 =↑i , ↓j , σ 1 =↓i , ↑j ) = (10.75)
0 0
ij
τ=0
Fig. 10.7. Graphical representation of the propagation of a hole in a given world-line or spin
configuration. The solid lines denotes the possible routes taken by the hole through the spin
configuration. One will notice that due to the constraint which inhibits the states |0, ↓ the
hole motion tracks the up spins
The possible paths the hole follows for a given spin configuration is shown in
Fig. 10.7. With the above construction, a loop algorithm for a given non-frustrated
spin system in arbitrary dimensions may be quickly generalized to tackle the impor-
tant problem of single-hole dynamics in quantum magnets.
10.3 World-Line Representations without Discretization Error

The Trotter discretization of imaginary time which was used in the preceding section
is conceptually easy. It was historically the first approach, but has some notable
disadvantages:
– In order to obtain reliable results, one has to perform calculations at several
different small values of ∆τ and to extrapolate to ∆τ = 0.
– In practice, this extrapolation is often skipped, and instead a small value like
∆τ = 1/32 or 1/20 (or even larger) is used, which implies unknown systematic
discretization errors.
– Small values of ∆τ imply a large number L = β/∆τ of time slices, so that the
computer time needed for each sweep through the lattice increases like 1/∆τ .
In addition, the correlation length in imaginary time, measured in time slices,
grows like 1/∆τ , so that autocorrelation times for local algorithms typically
grow with another factor of (1/∆τ )2 .
Fortunately, it has been found in recent years, independently by a number of
authors, that one can overcome the Trotter discretization error entirely. We will
describe the most common representations: Continuous imaginary time and the
stochastic series expansion.
Note that such representations of exp(−βH) are all world-line like. They are
almost independent of the algorithm used to update the world-line configurations!
That is, there are local and loop-updates both in imaginary time and in the SSE
representation.
A number of other methods without time discretization errors have been devel-
oped in recent years in different contexts. See for example [8, 9, 19, 25, 26, 27, 28,
29] and Chaps. 11 and 12.
10.3.1 Limit of Continuous Time
In the context of QMC, it was first realized by Beard and Wiese [30] that the limit
∆τ → 0 can be explicitly taken within the loop algorithm. Actually this applies
to any model with a discrete state space, see Sect. 10.3.3. Let us look again at the
isotropic Heisenberg AF, (10.1) with J = Jz = Jx . There are then only vertical and
horizontal breakups in the loop algorithm.
To lowest order in ∆τ , the probability for a horizontal breakup is J∆τ /2, pro-
portional to ∆τ , and the probability for a vertical breakup is 1 − J∆τ /2. This is like
a discrete Poisson process: The event of a horizontal breakup occurs with probability
J∆τ /2. Note that the vertical breakup does not change the world-line configuration;
it is equivalent to the identity operator, see also Sect. 10.4. In the limit ∆τ → 0 the
Poisson process becomes a Poisson distribution in continuous imaginary time, with
probability density J/2 for a horizontal breakup.
In continuous imaginary time there are no plaquettes anymore. Instead, config-
urations are specified by the space and time coordinates of the events, together with
the local spin values. On average, there will be about one event per unit of βJ on
each lattice bond. Therefore the storage requirements are reduced by O(1/∆τ )! The
events are best stored as linked lists, i.e. for each event on a bond there should be
pointers to the events closest in imaginary time, for both sites of the bond.
Monte Carlo Loop updates are implemented quite differently for the multi-loop
and for the single-loop variant, respectively. For multi-loop updates, i.e. the con-
struction and flip of loops for every space-time site of the lattice, one first constructs
a stochastic loop decomposition of the world-line configuration. To do so, horizontal
breakups are put on the lattice with constant probability density in imaginary time
for each bond, but only in time regions where they are compatible with the world-
line configuration, i.e. where the spins are antiferromagnetic. Horizontal breakups
must also be put wherever a world-line jumps to another site. The linked list has to
be updated or reconstructed. The configuration of breakups is equivalent to a con-
figuration of loops, obtained by vertically connecting the horizontal breakups (see
Sect. 10.4). These implicitly given loops then have to be flipped with some constant
probability, usually 1/2. To do so, one can for example go to each stored event
(breakup) and find, and possibly flip, the one or two loops through this breakup,
unless these loop(s) have already been treated.
In single-loop-updates only one single loop is constructed and then always
flipped. Here it is better to make the breakup-decisions during loop construction,
see also Sect. 10.4.1). One starts at a randomly chosen space-time site (i, t0 ). The
loop is constructed piece by piece. It thus has a tail and a moving head. The par-
tial loop can be called a worm (cf. Sect. 10.4.5). The loop points into the present
spin-direction, say upwards in time.
For each lattice bond ij at the present site, the smallest of the following times
is determined:
(i) The time at which the neighboring spin changes;
(ii) If the bond is antiferromagnetic, the present time t0 plus a decay time generated
with uniform probability density;
(iii) The time at which the spin at site i changes.
The loop head is moved to the smallest of all these times, t1 . Existing breakups
between t0 and t1 are removed. If t1 corresponds to case (ii) or (i), a breakup is
inserted there, and the loop head follows it, i.e. it moves to the neighboring site and
changes direction in imaginary time. Then the construction described in the present
paragraph repeats.
It finishes when the loop has closed. All spins along the loop can then be flipped.
10.3.2 Stochastic Series Expansion (SSE)
The stochastic series expansion (SSE), invented by A. Sandvik [31, 32, 33] is an-
other representation of exp (−βH) without discretization error. Note that it is not
directly connected to any particular MC-update. Most update methods can (with
some adjustments) be applied either in imaginary time or in the SSE representation.
Let the Hamiltonian be a sum of operators defined on lattice bonds
mb

H=− Hb (10.76)
b
like in the nearest-neighbor Heisenberg model. The operators Hb need to be non-

branching, in some basis, i.e. for each basis state |i, Hb |i is proportional to a single
basis state. All diagonal matrix elements of these operators need to be positive in
order to avoid a sign problem. For the XXZ Heisenberg model one can for example
use the bond operators (Si+ Sj− + Si− Sj+ )/2 and 1/4 − Siz Sjz for each bond ij.
We write the series expansion
βn
exp(−βH) = (−H)n
n
n!
βn
= (H1 + H2 + . . .) (H1 + H2 + . . .) . . .
n
n!
βn
= Hi1 Hi2 Hi3 . . . ,
n
n!
Sn

where Sn extends over all sequences (i1 , i2 , ..., in ) of indices iα ∈ {1, 2, . . .
, mb }
labelling the operators Hb . When we compute the trace Tr[exp (−βH)] = i i|
exp (−βH)|i, the initial state |i is modified in turn by each of the Hb , each
time resulting in another basis state. For the XXZ-model and spin-S z basis states,
a world-line like configuration results again, but with a discrete timelike index
α = 1, 2, . . . , n, and only one event per value of the index. The remaining ma-
trix elements can be evaluated easily. With suitable normalizations of the operators
Hb , they can usually be made to be unity. They are zero for operator configura-
tions which are not possible, e.g. not compatible with periodic world lines, which
will thus not be produced in the Monte Carlo. Spins at sites not connected by any
operator to other sites can be summed over immediately.
Note that, in contrast to imaginary time, now diagonal operators Siz Sjz occur
explicitly, since the exponential factor weighing neighboring world lines has also
been expanded in a power series. Thus, SSE needs more operators on average than
imaginary time for a given accuracy.
The average length n of the operator sequence is β times the average total
energy (as can be seen from ∂ log Z/∂β) and its variance is related to the specific
heat. Therefore in any finite length simulation, only a finite value of n of order
β−H will occur, so that we get results without discretization error, despite the
finiteness of n.
It is convenient to pad the sum in (10.77) with unit operators 1 in order to have
an operator string of constant length N . For details see [31, 32, 33].
Updates in the SSE representation usually proceed in two steps. First, a diagonal
update is performed, for which a switch between diagonal parts of the Hamiltonian,
e.g. Siz Sjz , and unit operators 1 is proposed. This kind of update does not change the
shape of world lines. Second, non-diagonal updates are proposed, e.g. local updates
analogous to the local updates of world lines in imaginary time, see Sect. 10.2. Loop
updates are somewhat different, see Sect. 10.4.
10.3.3 Unified Picture: Interaction Representation
All previous representations, namely discrete and continuous imaginary time, as

well as SSE, follow easily from the interaction representation of exp (−βH) [5, 16,
34, 35, 36, 37].
Let H = H0 − V with H0 diagonal in the chosen basis. Then the interaction
representation is
∞
β τ3 τ2
(−βH0 )
Z = Tr e dτn . . . dτ2 dτ1 V (τ1 ) . . . V (τn ) , (10.77)
n=0 0 0 0
where V (τ ) = exp(H0 τ )V exp(−H0 τ ). When the system size and β are finite, this
is a convergent expansion.
Indeed, in the form of (10.77), this is already the continuous imaginary time
representation of exp (−βH)! When the time integrals are approximated by discrete
sums, then the discrete time representation results.
The SSE representationmcan be obtained in the special case that one chooses
H0 = 0 and V = −H = b b Hb . Then H(τ ) does not depend on τ and the time
integrals can be performed
β τ2
βn
dτn . . . dτ1 = (10.78)
n!
0 0
and we end up with the ordered sequence of operators H1 . . . Hn of the SSE

representation.
This unified picture has turned out to be very useful [7], by providing a stochas-
tic mapping between SSE and continuous time. Starting with a continuous time
configuration, one can just drop the specific times of operators to get to an SSE con-
figuration. Starting with an SSE configuration of n ordered operators, one can draw
n times between zero and β uniformly at random, sort them, and assign them to
the operators, keeping their order intact. This mapping is useful in order to measure
dynamical Greens functions during a simulation that uses the SSE representation.
In SSE such a measurement is very costly [38], while in imaginary time it can be
done efficiently with FFT.
Interestingly, for the usual representation of the Heisenberg model (10.10)
1 + −
Hij = S S + Si− Sj+ + Siz Sjz , (10.79)
2 i j
the interaction representation immediately provides the continuous time limit of the
discrete time world-line representation, independently of any loops.
One can see the essence of the continuous time limit by looking at the exponen-
tial of some operator O with a finite discrete spectrum (state space)

β/∆τ
e−β(1−JO) = e(JO−1)∆τ
β/∆τ
= lim ( (1 − ∆τ )1 + ∆τ J O) (10.80)
∆τ →0
The term in brackets can be interpreted as a Poisson process: With probability ∆τ J

choose O, else choose 1. Its limit ∆τ → 0 is a Poisson distribution in continuous
imaginary time, i.e. the operator O occurs with a constant probability density J in
imaginary time.
10.4 Loop Operator Representation of the Heisenberg Model

At the root of the loop algorithm there is a representation of the model in terms of
loop-operators [4], akin to the Fortuin-Kasteleyn representation of the Ising model
[39, 40], and analogous to the Swendsen-Wang algorithm [41, 42], see also Chap. 4.
The bond operator of the spin 1/2 Heisenberg antiferromagnet, with a suitable con-
stant added, is a singlet projection operator
1 1 1
− SiSj + = √ | ↑↓ − | ↓↑ √ ↑↓ | − ↓↑ | . (10.81)
4 2 2
On a bipartite lattice, the minus signs can be removed by rotating the operators
S x,y → −S x,y on one of the two sublattices. We now denote the operator (10.81)
pictorially in terms of contributing spin-configurations, as an operator acting to-

wards a spin configuration at the bottom and producing a new spin configuration on
the top. There are four contributing configurations
These are just the configurations compatible with the horizontal breakup of the
loop algorithm. The horizontal breakup can thus be interpreted as an operator pro-
jecting onto a spin singlet. The partition function of the Heisenberg model is then
1
βJ
Z = Tr e−βH ∼ Tr e ij 2
. (10.83)
From (10.77) or (10.80) we see that exp(−βH) then corresponds to a Poisson dis-
tribution of horizontal breakups (singlet projection operators) with density J/2 in
imaginary time, on each lattice bond. One instance of such a distribution is shown
in Fig. 10.8 on the left.
Taking the trace means to sum over all spin states on the bottom, with periodic
boundary conditions in imaginary time. Between operators, the spin states cannot
change. The operators can therefore be connected by lines, on which the spin di-
rection does not change. The operator configuration, see Fig. 10.8 (left), therefore
implies a configuration of loops, Fig. 10.8 (middle left). A horizontal breakup stands
for a sum over two spin directions on each of its half-circles. On each loop the spin
direction stays constant along the lines. Thus each loop contributes two states to the
partition function. We arrive at the loop representation of the Heisenberg antiferro-
magnet [4, 43, 44]
β
Poisson distribution of horizontal
Z = 2number of loops . (10.84)
breakups with density J/2
0
When Jx = Jz , similar loop representations result [4]. The loop-algorithm

moves back and forth between the world-line representation and the operator
Trace
One instance of Loop−representation One compatible Compatible

operator distribution set of arrows Worldlines
Fig. 10.8. Loop operator representation of the Heisenberg model and of the loop algorithm
representation. From a loop (-operator) configuration we get to a compatible world-

line configuration by choosing one direction for each loop, see Fig. 10.8 (middle
right and right). We get back to a new operator configuration by choosing one with
Poisson probability, and with the constraint that it must be compatible to the cur-
rent world-line configuration (i.e. operators can only appear where world lines are
antiferromagnetic, and they must appear where a world-line jumps).
In the SSE representation, loop updates require only a so-called diagonal up-
date, namely a switch between unit operators and breakups. Once the breakups
are defined, the loops just have to be found and flipped. Since there is no second
stochastic non-diagonal update step, this has been called, somewhat misleading, a
deterministic loop update [45, 46].
10.4.1 Single Loop Updates

An alternative to the multi-loop method just sketched is to construct and flip only a
single loop at a time. This is also a valid Monte Carlo method. One could imagine
that all breakups and thus all loops were actually constructed, but only a single one
of them flipped, see also Sect. 10.3.1. For each update, one starts with a randomly
chosen space-time site and follows the spin arrow direction from there. One then
constructs just the one loop to which this spin belongs, performing the breakup-
decisions on the fly, i.e. the decisions on whether to move vertically in time or to
put a horizontal breakup on a neighboring bond and to move there. During this
construction, or afterwards, all spins on the loop are flipped. Note that the insertion
of a horizontal breakup (Heisenberg spin singlet projection operator) at some place
(plaquette in case of discrete time) already determines the path of the loop when and
if it should return to the same place again: Either it completes then, or it will take
the other half-circle of the horizontal breakup. This behavior is different from the
worms and directed loops discussed later.
On average, a single loop constructed this way will be bigger than in the multi-
loop variant, since the initial site will on average be more likely on a big loop than
on a small one. This usually results in smaller autocorrelation times.
10.4.2 Projector Monte Carlo in Valence Bond Basis

The fact that a horizontal breakup is a singlet projection operator is also at the root
of a recent efficient Projector Monte Carlo method [47] for the antiferromagnetic
Heisenberg model. Indeed, a cut through a loop configuration, see Fig. 10.8 (middle
left) at some imaginary time τ provides a spin state in which each pair of sites that
belongs to the same loop is in a spin singlet state.
In the limit of large enough projection time and on a bipartite lattice, all sites
will be in such a singlet with probability one. The state is then called an RVB state
(resonating valence bond). This is an alternative way to see the famous Lieb-Mattis
theorem, namely that the ground state of the Heisenberg antiferromagnet is a global
spin singlet.
When one wants to investigate only the ground state, it is sufficient to restrict
configurations to an RVB basis, also called valence bond basis [47].
10.4.3 Improved Estimators
The spin directions on different loops are independent. Therefore the contribution of
a given loop configuration to the spin Greens function S z (x, t) S z (x′ , t′ ) averages
to zero when (x, t) and (x′ , t′ ) are on different loops, whereas it gets four identical
contributions when they are on the same loop [4]. Thus this Greens function can be
measured within the loop representation, and it is particularly simple there. For the
Heisenberg AF and at momentum π, this Greens function only takes the values zero
and one: It is one when (x, t) and (x′ , t′ ) are on the same loop, and zero otherwise.
Thus its variance is smaller than that of S z (x, t) S z (x′ , t′ ) in spin representation,
which takes values +1 and −1. Observables in loop representation such as this
Greens function are therefore called improved estimators.
We also see that the Greens function corresponds directly to the space-time size
of the loops: These are the physically correlated objects of the model, in the same
sense that Fortuin-Kasteleyn clusters are the physically correlated objects of the
Ising model [39, 40, 42].
In the loop representation one can also easily measure the off-diagonal Greens
function S + (x, t) S − (x′ , t′ ). It is virtually inaccessible in the spin world-line rep-
resentation with standard local updates, since contributing configurations would
require partial world lines, which do not occur there. However, in loop represen-
tation, S + (x, t) S − (x′ , t′ ) does get a contribution whenever (x, t) and (x′ , t′ ) are
located on the same loop [4]. For the spin-isotropic Heisenberg model, the estima-
tor in loop representation is identical to that of the diagonal correlation function
S z (x, t) S z (x′ , t′ ).
10.4.4 Simulations on Infinite Size Lattice
One intriguing application of improved estimators is the possibility to do simula-

tions on an infinite size lattice and/or at zero temperature whenever S(x, t) S z (x′ ,
t′ ) goes to zero at infinite distance in space and/or imaginary time, i.e. in an unbro-
ken phase [48].
The idea is to perform single-loop-updates, all starting at the same space-time
site (the “origin”) instead of at a random point. The lattice of spins is assumed to be
infinite in size, but only a finite portion will be needed.
Since the correlation functions go to zero, the size of each single loop will be
finite. For a correlation length ξ and gap ∆ it will reach spatial distances r with
probability ∼ exp(−r/ξ) and temporal distances τ with probability ∼ exp(−τ ∆).
The maximum distance reached will therefore be finite for any finite number of
loops constructed. With each loop flip, the spin configuration is updated. It will
eventually equilibrate in the region of space-time that was visited by loops often
enough. The updated region is sketched schematically in Fig. 10.9. Since there is
no boundary to this region, the physics of the infinite size lattice is simulated. Its
properties can be measured in this region, especially the two-point Greens function,
which is directly available from the loops.
. J
J
Fig. 10.9. Left: Sketch of regions updated with subsequent loops on an infinite lattice. Right:
Heisenberg spin ladder with two legs
As an example, let us look at simulations of a Heisenberg spin ladder with N =

2 and with N = 4 legs, illustrated in Fig. 10.9. The behavior of the infinite size
system usually has to be extracted by finite-size scaling from results like those for
L = 10 and L = 20 in Fig. 10.10. Here they result directly, with an effort that here
amounted to a few hours on a workstation, similar to a finite lattice simulation at
L = 40. The asymptotic behavior is exponential, with a correlation length that can
directly be measured from the Greens function with high precision.
Similarly, one can measure Greens functions in imaginary time, illustrated in
Fig. 10.11, and directly extract the spin gap with high precision from a linear fit to
log G(q = π, τ ). The Greens function can be translated to real frequency with the
Maximum Entropy technique, resulting in the spectrum shown in Fig. 10.11 on the
right.
10.4.5 Worms and Directed Loops
A generalization of single loop updates is provided by worms and directed loops

[5, 14, 15, 16, 17, 35]. They are applicable to any model with a world-line like
representation. At the same time, they are not cluster algorithms, so that objects like
improved estimators are not available.
A single loop (or worm) is constructed iteratively in space-time. The worm-head
is a priori allowed to move in any direction, including back-tracking. Each proposal
for such a move is accepted or rejected with (e.g.) Metropolis probability. Thus only
local updates are needed.
In contrast to the single-loop update of the loop-algorithm, the movement of the
worm-head is not determined by previous decisions when it crosses its own track.
1 L=10 20 1 L=20 40
0.1 0.1
0.01 0.01
0.001 0.001
L=∞
1e-04 1e-04
1e-05 1e-05
1e-06 L=∞ 1e-06
0 5 10 15 20 25 30 0 5 10 15 20 25 30 35 40
Fig. 10.10. Spatial correlation function of Heisenberg ladders at β = ∞, for finite systems
of finite L and, independently, of L = ∞
30
β=2 5 10
1
25 N=2
0.1
20
0.01
15
0.001
10 N=4 (times 10)
1e-04
5
1e-05 β=∞
0 2 4 6 8 10 0
0 0.2 0.4 0.6 0.8 1 1.2
Fig. 10.11. Left: Temporal correlation function (Greens function) of Heisenberg ladders at
L = ∞, at finite inverse temperatures β = 2, 5, 10 and, independently, at β = ∞. Right:
Real frequency spectrum obtained by Maximum Entropy continuation
The worm algorithm and directed loops differ in details of the updates. Note
that, like the loop-algorithm, they also allow the measurement of off-diagonal two-
point functions and the change of topological quantum numbers like the number
of particles or the spatial winding. In a suitably chosen version of directed loops,
single-loop updates of the loop algorithm become a special case. For more informa-
tion on worms and directed loops we refer to [5, 14, 15, 16, 17, 35].
10.5 Spin-Phonon Simulations
As an example of world-line Monte Carlo calculations we shall discuss recent inves-

tigations of the spin-Peierls transition in 1D [7]. Our discussion will also include a
new way to simulate phonons which is suitable for any bare phonon dispersion ω(q).
The model consists of an 1D Heisenberg chain coupled to phonons
N
$ %
1+g xi bond phonons
H =J S i S i+1
1 + g (xi − xi+1 ) site phonons
i=1
f ({xi })
1
+ p2q + ω 2 (q) x2q . (10.85)
2 q

Hph
At T = 0 there is a quantum phase transition of the Kosterlitz-Thouless type at a
critical coupling gc to a dimerized phase. In this phase the spin-interaction S i S i+1
as well as the phonon coordinate xi (resp. xi −xi+1 ) is larger on every second lattice
bond, and a spin-gap develops, initially exponentially small [36, 37, 49].
Some of the interesting issues are, see Fig. 10.12:
(i) Does gc depend on the bare phonon dispersion ω(q)?
ω ω
ω0
ω0 ω0
0 π π π
k k
Fig. 10.12. Issues for the spin-Peierls transition. Left: Einstein (optical) and acoustical bare
phonon dispersions. Middle: Softening scenario. Right: Central peak scenario
(ii) Is the phonon spectrum beyond the transition softened (i.e. the bare phonon
spectrum moves to lower frequency, down to zero at momentum π), or does it
have a separate central peak?
10.5.1 Bond Phonons with Einstein Dispersion ω(q) = ω0
These phonons are the easiest to treat by QMC. In order to make the quantum
phonons amenable to numerical treatment, one can express them with the basic
Feynman path integral for each xi (see Chap. 11), by introducing discrete Trotter
times τj , inserting complete sets of states xi (τj ) and evaluating the resulting matrix
elements to O(∆τ ). A simple QMC for the phonon degrees of freedom can then be
done with local updates of the phonon world lines xi (τ ).
A similar approach is possible in second quantization, by inserting complete
sets of occupation number eigenstates ni (τj ) at the Trotter times τj . Again, one can
perform QMC with local updates on the occupation number states [36, 37]. The
discrete Trotter time can be avoided here, either with continuous time or with SSE
[31, 32, 33].
Such local updates suffer from the usual difficulties of long autocorrelation
times, which occur especially close to and beyond the phase transition. They can be
alleviated by using parallel tempering [50, 51] (or simulated tempering [52]) (see
Chap. 4). In this approach, simulations at many different couplings g (originally:
at many temperatures) are run in parallel. Occasionally, a swap of configurations at
neighboring g is proposed. It is accepted with Metropolis probability. The goal of
this strategy is to have approximately a random walk of configurations in the space
of couplings g. Configurations at high g can then equilibrate by first moving to low
g, where the Monte Carlo is efficient, and then back to high g. The proper choice of
couplings (and of re-weighting factors in case of simulated tempering) depends on
the physics of the system and is sometimes cumbersome. It can, however, be auto-
mated [7] efficiently by measuring the distributions of energies during an initial run.
The results discussed below were obtained using loop updates for spins and
local updates in second quantization for phonons, in SSE representation, similar to
[36, 37], with additional automated tempering. Spectra were obtained by mapping
the SSE configurations to continuous imaginary time, as explained in Sect. 10.3.3,
and measuring Greens functions there using FFT.
The location of the phase transition is best determined through the finite size
dependence of a staggered susceptibility, of spins, spin-dimers, or phonons. For
spins it reads
β
1 m
χS (π) = (−1) dτ Snz (τ )Sn+m
z
(0) . (10.86)
N n,m
0
At the phase transition, χS (π) is directly proportional to the system size N , whereas
above gc there are additional logarithmic corrections. Below gc it is proportional to
ln N for any g > 0, i.e. there is a non-extensive central peak in the phonon spectrum
for any finite spin-phonon coupling.
The phonon spectra exhibit drastic changes at the phase transition. Figure 10.13
shows that the value of ω0 determines their qualitative behavior: At ω0 = J the
central peak becomes extensive and develops a linear branch at the phase transition,
which shows the spin-wave velocity. At ω0 = 0.25 J the behavior is completely
different: The bare Einstein dispersion has softened and has joined the previously
non-extensive central peak. Thus both the central peak scenario and the softening
scenario occur, depending on the size of ω0 .
Note that large system sizes and low temperature are essential to get the cor-
rect spectra. The finite size gap of a finite system is of order 1/N . When 1/N is
larger than about ω0 /10 (!), then there are drastic finite size effects in the phonon
spectrum [7].
At very large values of g, the spin gap ∆S becomes sizeable. The system enters
an adiabatic regime when ∆S > O(ω0 ) [49]. For the couplings investigated here, it
is always diabatic.
10.5.2 Phonons with arbitrary dispersion ω(q)
Phonons other than those treated in Sect. 10.5.1 have in the past posed great diffi-
culties for QMC. Site phonons have a coupling
(1 + g(xi − xi+1 )) S i S i+1 , (10.87)
Fig. 10.13. Spectra of phonon coordinates xi above the phase transition for bond phonons.
Left: ω0 = 1 J, just above the phase transition. Right: ω0 = 0.25 J at g = 0.3 > gc ≃ 0.23.
Lattice size L = 256 and β = 512
which causes a sign problem when second phonon quantization is used. In first
quantization, phonon updates are very slow. This is even worse in case of acoustical
phonons, which have a zero mode at q = 0. Indeed, no efficient QMC method has
been available for arbitrary phonon dispersions.
Let us now discuss a new method [7] which overcomes all these difficulties. We
use the interaction representation with the pure phonon Hamiltonian as the diagonal
part and the spin interaction (10.87) as the interaction part which is expanded. The
partition function then reads
∞ β τ2 n
0 &β
Z = Trs dτn . . . dτ1 Dx f ({xl })S[l] e− 0 dτ Hph ({x(τ )})
.
n=0 S 0 0 l=0 phonon path integral

spin operator sequence
(10.88)
Here S[l] is a spin operator like S i S i+1 . The spin-phonon coupling f ({x(τ )})
is to be evaluated at the space-time location where the spin operators act.
For a given sequence of spin operators we now construct a Monte Carlo phonon
update. The effective action Seff for the phonons contains log(f ({x(τ )}). It is
therefore not bilinear and cannot be integrated directly. However, for purposes
of a Monte Carlo update, we can pretend for a moment that the coupling was
prop
f prop (x) := exp(gx) instead of f (x) = 1 + gx. Then Seff is bilinear. For a given
prop
sequence of spin operators, we can diagonalize Seff in momentum space and Mat-
subara frequencies. This results in independent Gaussian distributions of phonon
coordinates in the diagonalized basis. We can then generate a new, completely inde-
pendent phonon configuration by taking one sample from this distribution. In order
to achieve a correct Monte Carlo update for the actual model, we take this sample
as a Monte Carlo proposal and accept or reject it with Metropolis probability for the
actual model, see (10.88).
prop
The acceptance probability will depend on the difference between Seff and Seff ,
and thus on the typical phonon extensions. In order to achieve high acceptance rates
it is advantageous to change phonon configurations only in part of the complete
(q, ωn ) space for each update proposal. These parts need to be smaller close to the
physically important region (q = π, ω = 0).
Given a phonon-configuration, the effective model for the spins is a Heisenberg
antiferromagnet with couplings that vary in space-time. It can be simulated effi-
ciently with the loop-algorithm, modified for the fact that probabilities are now not
constant in imaginary time, but depend on the phonon coordinates.
The approach just sketched works for site phonons as well as for bond phonons.
Remarkably, any bare phonon dispersion ω(q) can be used, since it just appears in
the Gaussian effective phonon action. Measurements of phonon properties are easy,
since the configurations are directly available in (q, ωn ) space.
Let us now briefly discuss some recent results [7] for site phonons. Their bare
dispersion is acoustical, i.e. gapless at q = 0. In a recent letter [53] it was concluded
that for this model, the critical coupling is gc = 0, i.e. the system supposedly orders
0.25
0.2
ω
0.15
0.1
0.05
0.
0 π π 3π π
4 2 4
k
Fig. 10.14. Spectrum of phonon coordinates xi for acoustical site phonons, at the phase
transition
at any finite coupling. However, it turns out that this conclusion was based on an
incorrect scaling assumption [7].
QMC examination of the spin susceptibility χS (π) on lattices up to length 256
revealed that the critical coupling is actually finite, and almost identical to that of
dispersionless bond phonons with the same ω0 (π).
The phonon dispersion slightly above the phase transition is shown, together
with the bare dispersion, in Fig. 10.14.
One can see clearly that in this case of small ω0 (π) = 0.25J there is again
phonon softening. The spin-Peierls phase transition only affects phonons with mo-
menta close to π. The soft bare dispersion at q = 0 is not affected at all. Indeed, the
bare dispersion at small momenta has no influence on the phase transition [7].
10.6 Auxiliary Field Quantum Monte Carlo Methods

In the present and following sections, we will review the basic concepts involved in
the formulation of various forms of auxiliary field QMC algorithms for fermionic
systems. Auxiliary field methods are based on a Hubbard-Stratonovich (HS) de-
composition of the two-body interaction term thereby yielding a functional integral
expression
!
Tr e−β(H−μN ) = dΦ(i, τ )e−S[φ(i,τ )] (10.89)
for the partition function. Here, i runs over all lattice sites and τ from 0 to β. For
a fixed HS field Φ(i, τ ), one has to compute the action S[Φ(i, τ )], corresponding
to a problem of non-interacting electrons in an external space and imaginary time
dependent field. The required computational effort depends on the formulation of
the algorithm. In the Blankenbecler-Scalapino-Sugar (BSS) [6] approach for lattice
models such as the Hubbard Hamiltonian, it scales as βN 3 where N corresponds to
the number of lattice sites. In the Hirsch-Fye approach [54], appropriate for impurity
3
problems it scales as (βNimp ) where Nimp corresponds to the number of correlated
sites. Having solved for a fixed HS field, we have to sum over all possible fields.
This is done stochastically with the Monte Carlo method.
In comparison to the loop and SSE approaches, auxiliary field methods are slow.
Recall that the computational effort for loop and SSE approaches – in the absence
of a sign problem – scales as N β. However, the attractive point of the auxiliary field
approach lies in the fact that the sign problem is absent in many non-trivial cases
where the loop and SSE methods fail.
10.6.1 Basic Formulation
For simplicity, we will concentrate on the Hubbard model. Applications to different

models such as the Kondo lattice or SU (N ) Hubbard Heisenberg models can be
found in [55, 56]. The Hubbard model we consider reads
H = H t + HU (10.90)

with Ht = −t i,j,σ c†i,σ cj,σ and HU = U i (ni,↑ − 1/2) (ni,↓ − 1/2).
If one is interested in ground-state properties, it is convenient to use the projector
quantum Monte Carlo (PQMC) algorithm [57, 58, 59]. The ground-state expectation
value of an observable O is obtained by projecting a trial wave function |ΨT along
the imaginary time axis
Ψ0 |O|Ψ0 ΨT |e−ΘH Oe−ΘH |ΨT

= lim . (10.91)
Ψ0 |Ψ0 Θ→∞ ΨT |e−2ΘH |ΨT

The above equation is readily verified by writing |ΨT = n |Ψn Ψn |Ψ0 with
H|Ψn = En |Ψn . Under the assumptions that ΨT |Ψ0 = 0 and that the ground
state is non-degenerate the right hand side of the above equation reads:
−Θ(En −Em −2E0 )
n,m ΨT |Ψn Ψm |ΨT e Ψn |O|Ψm Ψ0 |O|Ψ0
lim 2 −2Θ(E −E )
= .
Θ→∞ n |Ψ T |Ψ n | e n 0 Ψ0 |Ψ0
(10.92)
Finite-temperature properties in the grand-canonical ensemble are obtained by
evaluating
) *
Tr e−β(H−μN ) O
O = ) * , (10.93)
Tr e−β(H−μN )
where the trace runs over the Fock space and μ is the chemical potential. The algo-
rithm based on (10.93) will be referred to as finite-temperature QMC (FTQMC)
method [60, 61]. Comparison of both algorithms is shown in Fig. 10.15 for the
Hubbard model. At half-filling, the ground state is insulating so that charge fluc-
tuations are absent in the low temperature limit on finite lattices. Hence, in this limit
both grand-canonical and canonical approaches yield identical results. It is however
clear that if one is interested solely in ground-state properties the PQMC is more
efficient. This lies in the choice of the trial wave function which is chosen to be a
spin singlet.
0.2 –0.7
6×6, 〈n〉 = 1, U/t = 4
T = 0 algorithm
Grand canonical
0.15 –0.75
S(π,π) / N
E / (tN)
0.1 –0.8
0.05 –0.85
(a) (b)
0 –0.9
0 5 10 15 20 0 5 10 15 20
2Θt 2Θt
Fig. 10.15. Fourier transform of the spin-spin correlation functions at Q = (π, π) (a) and
energy (b) for the half-filled Hubbard model (10.90). •: PQMC algorithm. △: FTQMC algo-
rithm at β = 2Θ
10.6.2 Formulation of the Partition Function
In the world-line approach, one uses the Trotter decomposition (see App. 10.A) to
split the Hamiltonian into a set of two-site problems. In the auxiliary field approach,
we use the Trotter decomposition to separate the single-body Hamiltonian H0 from
the two-body interaction term in the imaginary time propagation
! m !
Z = Tr e−β(H−μN ) = Tr e−∆τ HU e−∆τ Ht + O ∆2τ , (10.94)
where we have included the chemical potential in a redefinition of Ht . In the above

m∆τ = β, and the systematic error of order ∆2τ will be omitted in the follow-
ing. At each infinitesimal time step, we use the HS decomposition of (10.236) (see
App. 10.B) to decouple the Hubbard interaction

e−∆τ U i (ni,↑ −1/2)(ni,↓ −1/2) =C eα i si (ni,↑ −ni,↓ )
. (10.95)
s1 ,...,sN =±1
where cosh(α) = exp (∆τ U/2) and on an N -site lattice, the constant C =
exp (∆τ U N/4) /2N .
To simplify the notation we introduce the index x = (i, σ) to define

Ht = c†x Tx,y cy ≡ c† T c ,
x,y

α si (ni,↑ − ni,↓ ) = c†x V (s)x,y cy ≡ c† V (s)c . (10.96)
i x,y
We will furthermore define the imaginary time propagators

n2
0 †
V (sn )c −∆τ c† T c
Us (τ2 , τ1 ) = ec e ,
n=n1 +1
n2
0
Bs (τ2 , τ1 ) = eV (sn ) e−∆τ T , (10.97)
n=n1 +1
where n1 ∆τ = τ1 and n2 ∆τ = τ2 .
Using the results of App. 10.C we can now write the partition function as

Z = Cm Tr [Us (β, 0)] = C m det [1 + Bs (β, 0)] . (10.98)
s1 ,...,sm s1 ,...,sm
For the PQMC algorithm, we will require the trial wave function to be a Slater
determinant characterized by the rectangular matrix P (see App. 10.C)
Np
Np
0 0 †
|ΨT = c†x Px,y |0 = c P y |0 . (10.99)
y=1 x y=1
Hence,
) *
ΨT |e−2ΘH |ΨT = C m det P † Bs (2Θ, 0)P , (10.100)
s1 ,...,sm
where for the PQMC m∆τ = 2Θ.
10.6.3 Observables and Wick’s Theorem
One of the big advantages of the auxiliary field approach is the ability of mea-
suring arbitrary observables. This is based on the fact that for a given Hubbard-
Stratonovich field we have to solve a problem of non-interacting fermions subject
to this time and space dependent field. This leads to the validity of Wick’s theo-
rem. In this section, we will concentrate on equal-time observables, show how to
compute Green functions, and finally demonstrate the validity of Wick’s theorem.
10.6.3.1 PQMC
In the PQMC algorithm we compute
ΨT |e−ΘH Oe−ΘH |ΨT

= Ps Os + O(∆2τ ) . (10.101)
ΨT |e−2ΘH |ΨT s
For each lattice site i, time slice n, we have introduced an independent HS field
s = {si,n } and

det P † Bs (2Θ, 0)P
Ps = †
,
s det (P Bs (2Θ, 0)P )
ΨT |Us (2Θ, Θ)OUs (Θ, 0)|ΨT

Os = . (10.102)
ΨT |Us (2Θ, 0)|ΨT
We start by computing the equal-time Green function O = cx c†y = δx,y − c† A(y,x) c

(y,x)
with Ax1 ,x2 = δx1 ,y δx2 ,x . Inserting a source term, we obtain
cx c†y s
∂ † (y,x)
= δx,y − lnΨT |Us (2Θ, Θ)eηc A c
Us (Θ, 0)|ΨT |η=0
∂η
∂ (y,x)

= δx,y − ln det P † Bs (2Θ, Θ)eηA Bs (Θ, 0)P |η=0

∂η
∂ (y,x)

= δx,y − Tr ln P † Bs (2Θ, Θ)eηA Bs (Θ, 0)P |η=0

∂η
−1 † !
= δx,y − Tr P † Bs (2Θ, 0)P P Bs (2Θ, Θ)A(y,x) Bs (Θ, 0)P , (10.103)
−1 †
1 − Bs (Θ, 0)P P † Bs (2Θ, 0)P P Bs (2Θ, Θ) ≡ (Gs (Θ))x,y .

x,y
(10.104)
We have used (10.245), (10.248) to derive the third equality. The attentive reader
will have noticed that (10.245) was shown to be valid only in the case of Hermitian
or anti-Hermitian matrices which is certainly not the case of A(y,x) . However, since
only terms of order η are relevant in the calculation, we may replace exp(ηA) by
exp(η(A + A† )/2) exp(η(A − A† )/2) which is exact up to order η 2 . For the latter
form, one may use (10.245). To obtain the fourth equality we have used the relation
det A = exp(Tr ln A).
We now show that any multi-point correlation function decouples into a sum of
products of the above defined Green functions. First, we define the cumulants
On . . . O1 s
"
∂ n lnΨT |Us (2Θ, Θ)eηn On . . . eη1 O1 Us (Θ, 0)|ΨT "" (10.105)
= "
∂ηn . . . ∂η1 η1 ...ηn =0
with Oi = c† A(i) c. Differentiating the above definition we obtain
O1 s = O1 s

O2 O1 s = O2 O1 s − O2 s O1 s
O3 O2 O1 s = O3 O2 O1 s
−O3 s O2 O1 s − O2 s O3 O1 s
−O1 s O3 O2 s − O1 s O2 s O3 s . (10.106)
The following rule, which may be proven by induction, emerges

n

On . . . O1 s = On . . . O1 s + Cj . . . O1 s Oj s
On . . . O
j=1

+ Cj . . . O
On . . . O Ci . . . O1 s
j>i
Oj Oi s + . . . + On s . . . O1 s , (10.107)
where OCj means that the operator Oj has been omitted from the product [62].
The cumulant may now be computed order by order. We concentrate on the
(i)
form c†xn cyn . . . c†x1 cy1 so that Ax,y = δx,xi δy,yi . To simplify the notation we
introduce the quantities
B = Bs (Θ, 0)P ,
B = P † Bs (2Θ, Θ) . (10.108)
We have already computed O1 s , see (10.103),

O1 s = c†x1 cy1 = Tr (1 − Gs (Θ))A(1) = (1 − Gs (Θ))y1 ,x1 . (10.109)
For n = 2 we have
O2 O1 s = c†x2 cy2 c†x1 cy1 s

∂2 (2) (1)

""
= Tr ln P † Bs (2Θ, Θ)eη2 A eη1 A Bs (Θ, 0)P ""
∂η2 ∂η1 η2 ,η1 =0

−1 "
∂ (2) (2) "
= Tr B eη2 A B B eη2 A A(1) B ""
∂η2 η2 =0

−1
−1
= −Tr B B B A(2) B B B B A(1) B

−1
+ Tr B B B A(2) A(1) B

= Tr Gs (Θ)A(2) Gs (Θ)A(1)
= c†x2 cy1 s cy2 c†x1 s (10.110)
with G = 1 − G. To derive the above, we have used the cyclic properties of the
−1
trace as well as the relation G = 1 − B B B B . Note that for a matrix
A(η), (∂/∂η)A−1 (η) = −A−1 (η)[(∂/∂η)A(η)]A−1 (η). There is a simple rule to
obtain the third cumulant given the second. In the above expression for the second
cumulant, one replaces B with B exp(η3 A(3) ). This amounts in redefining the
Green function as G(η3 ) = 1 − B (B exp(η3 A(3) )B )−1 B exp(η3 A(3) ). Thus,
O3 O2 O1 s = c†x3 cy3 c†x2 cy2 c†x1 cy1 s

∂
"
"
= Tr Gs (Θ, η3 )A(2) Gs (Θ, η3 )A(1) "
∂η3 η3 =0

= Tr Gs (Θ)A(3) Gs (Θ)A(2) Gs (Θ)A(1)

−Tr Gs (Θ)A(3) Gs (Θ)A(1) Gs (Θ)A(2)
= c†x3 cy1 s cy3 c†x2 s cy2 c†x1 s
−c†x3 cy2 s cy3 c†x1 s c†x2 cy1 s (10.111)
since
∂ ∂
Gs (Θ, η3 )|η3 =0 = −Gs (Θ)A(3) Gs (Θ) = − Gs (Θ, η3 )|η3 =0 . (10.112)
∂η3 ∂η3
Clearly the same procedure may be applied to obtain the n+1th cumulant given the
nth one. It is also clear that the nth cumulant is a sum of products of Green functions.
Thus with (10.107) we have shown that any multi-point correlation function may be
reduced into a sum of products of Green functions: Wicks theorem. Useful relations
include
c†x2 cy2 c†x1 cy1 s = c†x2 cy1 s cy2 c†x1 s + c†x2 cy2 s c†x1 cy1 s . (10.113)
10.6.3.2 FTQMC
For the FTQMC we wish to evaluate

) *
Tr e−βH O
−βH
= Ps Os + O(∆2τ ) . (10.114)
Tr [e ] s
where
det (1 + Bs (β, 0))
Ps = ,
s det (1 + Bs (β, 0))
Tr [Us (β, τ )OUs (τ, 0)]

Os = . (10.115)
Tr [Us (β, 0)]
Here, we measure the observable on time slice τ . Single-body observables, O =

c† Ac are evaluated as
"
∂ ) *"
Os = ln Tr Us (β, τ )eηO Us (τ, 0) ""
∂η η=0
"
∂ ) *"
= ln det 1 + Bs (β, τ )e Bs (τ, 0) ""
ηA
∂η η=0
"
∂ ) * "
= Tr ln 1 + Bs (β, τ )eηA Bs (τ, 0) ""
∂η η=0
) *
= Tr Bs (τ, 0)(1 + Bs (β, 0))−1 Bs (β, τ )A

!
= Tr 1 − (1 + Bs (τ, 0)Bs (β, τ ))−1 A . (10.116)
In particular the Green function is given by

−1
cx c†y s = (1 + Bs (τ, 0)Bs (β, τ ))x,y . (10.117)
Defining the cumulants as

) *"
∂ n ln Tr Us (β, τ )eηn On . . . eη1 O1 Us (τ, 0) ""
On . . . O1 s = "
∂ηn . . . ∂η1 "
η1 ...ηn =0
(10.118)
† (i)
with Oi = c A c, one can derive Wicks theorem in precisely the same manner as
shown for the PQMC. Thus both in the PQMC and FTQMC, it suffices to compute
the equal-time Green functions to evaluate any equal-time observable.
10.6.4 Imaginary Time Displaced Green Functions
Imaginary time displaced correlation yield important information. On one hand they
may be used to obtain spin and charge gaps [63, 64], as well quasiparticle weights
[23]. On the other hand, with the use of the Maximum Entropy method [65, 66]
and generalizations thereof [67], dynamical properties such as spin and charge dy-
namical structure factors, optical conductivity, and single-particle spectral functions
may be computed. Those quantities offer the possibility of direct comparison with
experiments, such as photoemission, neutron scattering and optical measurements.
Since there is again a Wick’s theorem for time displaced correlation functions, it
suffices to compute the single-particle Green function for a given HS configuration.
We will first start with the FTQMC and then concentrate on the PQMC.
10.6.4.1 FTQMC
For a given HS field, we wish to evaluate

/
cx (τ1 )c†y (τ2 )s if τ1 ≥ τ2
Gs (τ1 , τ2 )x,y = T cx (τ1 )c†y (τ2 )s = ,
−c†y (τ2 )cx (τ1 )s if τ1 < τ2
(10.119)
where T corresponds to the time ordering. Thus for τ1 > τ2 Gs (τ1 , τ2 )x,y reduces to
) *
†
Tr Us (β, τ1 )cx Us (τ1 , τ2 )c†y Us (τ2 , 0)
cx (τ1 )cy (τ2 )s =
Tr [Us (β, 0)]
) *
Tr Us (β, τ2 )Us−1 (τ1 , τ2 )cx Us (τ1 , τ2 )c†y Us (τ2 , 0)
= .
Tr [Us (β, 0)]
(10.120)
Evaluating U −1 (τ1 , τ2 )cx Us (τ1 , τ2 ) boils down to the calculation of

† †
cx (τ ) = eτ c Ac
cx e−τ c Ac
, (10.121)
where A is an arbitrary matrix. Differentiating the above with respect to τ yields
∂cx (τ ) † †
= eτ c Ac [c† Ac, cx ]e−τ c Ac = − Ax,z cz (τ ) . (10.122)
∂τ z
Thus,
cx (τ ) = (e−A c)x , and similarly c†x (τ ) = (c† eA )x . (10.123)
We can use the above equation successively to obtain
Us−1 (τ1 , τ2 )cx Us (τ1 , τ2 ) = (Bs (τ1 , τ2 )c)x

Us−1 (τ1 , τ2 )c†x Us (τ1 , τ2 ) = c† Bs−1 (τ1 , τ2 ) x . (10.124)
Since B is a matrix and not a second quantized operator, we can pull it out of the
trace in (10.120) to obtain
Gs (τ1 , τ2 )x,y = cx (τ1 )c†y (τ2 )s = [Bs (τ1 , τ2 )Gs (τ2 , τ2 )]x,y (10.125)
with τ1 > τ2 , where Gs (τ2 ) is the equal-time Green function computed previously.
A similar calculation will yield for τ2 > τ1
Gs (τ1 , τ2 )x,y = −c†y (τ2 )cx (τ1 )s

) *
= − (1 − Gs (τ1 , τ1 )) Bs−1 (τ2 , τ1 ) x,y . (10.126)
The above equations imply the validity of Wick’s theorem for time displaced
Green functions. Any n-point correlation function at different imaginary times may
be mapped onto an expression containing n-point equal-time correlation functions.
The n-point equal-time correlation function may then be decomposed into a sum of
products of equal-time Green functions. For example, for τ1 > τ2 let us compute
c†x (τ1 )cx (τ1 )c†y (τ2 )cy (τ2 )

) *
Tr U (β, τ2 )U −1 (τ1 , τ2 )c†x U −1 (τ1 , τ2 )U (τ1 , τ2 )cx U (τ1 , τ2 )c†y cy U (τ2 , 0)
=
Tr [U (β, 0)]

= B (τ1 , τ2 )z,x B(τ1 , τ2 )x,z1 c†z (τ2 )cz1 (τ2 )c†y (τ2 )cy (τ2 )
−1
z,z1

= B −1 (τ1 , τ2 )z,x B(τ1 , τ2 )x,z1 (1 − G(τ2 , τ2 ))z1 ,z (1 − G(τ2 , τ2 ))y,y
z,z1
!
+ (1 − G(τ2 , τ2 ))y,z G(τ2 , τ2 )z1 ,y
) *
= B(τ1 , τ2 ) (1 − G(τ2 , τ2 )) B −1 (τ1 , τ2 ) x,x [1 − G(τ2 , τ2 )]y,y
) *
+ (1 − G(τ2 , τ2 )) B −1 (τ1 , τ2 ) y,x [B(τ1 , τ2 )G(τ2 , τ2 )]x,y
= [1 − G(τ1 , τ1 )]x,x [1 − G(τ2 , τ2 )]y,y − G(τ2 , τ1 )y,x G(τ1 , τ2 )x,y . (10.127)
In the above, we have omitted the index s, used (10.126) and (10.125), Wick’s
theorem for equal-time n-point correlation functions as well as the identity
Bs (τ1 , τ2 )Gs (τ2 , τ2 )Bs−1 (τ1 , τ2 ) = Gs (τ1 , τ1 ) . (10.128)
We conclude this Subsection, by a method proposed by Hirsch [68] to compute

imaginary time displaced Green functions. This equation provides a means to cir-
cumvent numerical instabilities which we will discuss in a subsequent chapter and
is the basis of the Hirsch-Fye [54] algorithm. Let β be a multiple of τ1 and lτ1 = β.
Using the definition τi = iτ1 with i = 1 . . . l. Let
⎛ ⎞
1 0 . 0 Bs (τ1 , 0)
⎜−Bs (τ2 , τ1 ) 1 0 . 0 ⎟
⎜ ⎟
⎜ 0 −B (τ , τ ) 1 . 0 ⎟
⎜ s 3 2 ⎟
O=⎜ ⎜ . 0 −B (τ
s 4 3 , τ ) . . ⎟ ,
⎟
⎜ . . 0 . . ⎟
⎜ ⎟
⎝ . . . . ⎠
0 . 0 −Bs (τl , τl−1 ) 1
(10.129)
and ⎛ ⎞
Gs (τ1 , τ1 ) Gs (τ1 , τ2 ) . . Gs (τ1 , τl )
⎜Gs (τ2 , τ1 ) Gs (τ2 , τ2 ) . . Gs (τ2 , τl )⎟
G=⎜ ⎝
⎟ ,
⎠ (10.130)
. . .. .
Gs (τl , τ1 ) Gs (τl , τ2 ) . . Gs (τl , τl )
then
O−1 = G . (10.131)
The above equation is readily verified by showing that OG = 1. Here, we illustrate
the validity of the above equation for the case l = 2. Using (10.126), (10.125) and
(10.128), bearing in mind that in this case τ2 = β and omitting the index s we have
G(τ1 , τ1 ) + B(τ1 , 0)G(τ2 , τ1 ) = [1 + B(τ1 , 0)B(τ2 , τ1 )] G(τ1 , τ1 ) = 1 ,

G−1 (τ1 ,τ1 )
(10.132)
G(τ1 , τ2 ) + B(τ1 , 0)G(τ2 , τ2 ) = −(1 − G(τ1 , τ1 ))B −1 (τ2 , τ1 )

+ B(τ1 , 0)B(τ2 , τ1 )G(τ1 , τ1 )B −1 (τ2 , τ1 )
!
= − G−1 (τ1 , τ1 ) + 1 + B(τ1 , 0)B(τ2 , τ1 ) G(τ1 , τ1 )B −1 (τ2 , τ1 ) = 0 ,

G−1 (τ1 ,τ1 )
(10.133)
−B(τ2 , τ1 )G(τ1 , τ1 ) + G(τ2 , τ1 ) = −G(τ2 , τ1 ) + G(τ2 , τ1 ) = 0 ,

(10.134)
and
− B(τ2 , τ1 )G(τ1 , τ2 ) + G(τ2 , τ2 )

= B(τ2 , τ1 )(1 − G(τ1 , τ1 ))B −1 (τ2 , τ1 ) + G(τ2 , τ2 ) (10.135)
= 1 − G(τ2 , τ2 ) + G(τ2 , τ2 ) = 1 ,
so that

1 B(τ1 , 0) G(τ1 , τ1 ) G(τ1 , τ2 ) 10
= . (10.136)
−B(τ2 , τ1 ) 1 G(τ2 , τ1 ) G(τ2 , τ2 ) 01
10.6.4.2 PQMC
Zero-temperature time displaced Green functions are given by
τ τ
G s Θ + ,Θ −
2 2 x,y

ΨT |Us 2Θ, Θ + τ2 cx Us Θ + τ2 , Θ − τ2 c†y Us (Θ − τ2 , 0)|ΨT
=
τ τ
τ
!
= Bs Θ + , Θ − Gs Θ − (10.137)
2 2 2 x,y
and
τ τ
G s Θ − ,Θ +
2 2 x,y
ΨT |Us (2Θ, Θ + τ2 )c†y Us (Θ + τ2 , Θ − τ2 )cx Us (Θ − τ2 , 0)|ΨT
=−
τ
−1 τ τ
!
= − 1 − Gs Θ − Bs Θ + , Θ − . (10.138)
2 2 2 x,y
Here τ > 0 and we have used (10.124), as well as the equal-time Green function of
(10.103). Two comments are in order.
(i) For a given value of τ the effective projection parameter is Θ − τ . Thus, be-
fore starting a simulation, one has to set the maximal value of τ which will be
considered, τM and the effective projection parameter Θ − τM should be large
enough to yield the ground state within the desired precision.
(ii) In a canonical ensemble, the chemical potential is meaningless. However, when
single-particle Green functions are computed it is required to set the reference
energy with regards to which a particle will be added or removed. In other
words, it is the chemical potential which delimits photoemission from inverse
photoemission.
Thus, it is useful to have an estimate of this quantity if single-particle or pairing
correlations are under investigation. For observables such as spin-spin or charge-
charge time displaced correlations this complication does not come into play since
they are in the particle-hole channel.
10.6.5 The Sign Problem

One of the big advantages of the auxiliary field method, is that one can use sym-
metries to show explicitly that the sign problem does not occur. The generic way
of showing the absence of sign problem is through the factorization of the determi-
nant. In general, particle-hole symmetry allows one to avoid the sign problem (see
for example [55] for the case of the Kondo lattice, Hubbard and Periodic Anderson
models). In this case, the weight decouples into the product of two determinants in
the spin-up and spin-down sectors. Particle-hole symmetry locks in together the sign
of both determinants such that the weight remains positive. Models with attractive
interactions which couple independently to an internal symmetry with an even num-
ber of states lead to weights, for a given HS configuration, which are an even power
of a single determinant. If the determinant itself is real (i.e. absence of magnetic
fields), the overall weight will be positive. An example is the attractive Hubbard
model. The attractive Hubbard model falls into the above class and is hence free of
the sign problem.
Here we will give more general conditions under which the sign problem is ab-
sent [69]. The proof is very similar to Kramers degeneracy for time reversal symmet-
ric Hamiltonians [70]. Let us assume the existence of an anti-unitary transformation
K with following properties (we adopt the notation of (10.96))
K† T K = T ,
K† V (s)K = V (s) ,
K† K = 1 ,
K2 = −1 . (10.139)
It then follows that the eigenvalues of the matrix 1 + Bs (β, 0) occur in complex
conjugate pairs. Hence,
0
det (1 + B(β, 0)) = |λi |2 (10.140)
i
and no sign problem occurs.

Proof. Let us first remind the reader that an anti-linear operator K satisfies the
property K (αv + βu) = α† Kv + β † Ku, where α and β are complex numbers.
An anti-unitary operator, corresponding to time reversal symmetry for example,
is an unitary anti-linear transformation so that the scalar product remains invari-
ant (Kv, Ku) = (v, u). Let us assume that v is an eigenvector of the matrix
1 + Bs (β, 0) with eigenvalue λ
(1 + Bs (β, 0))v = λv . (10.141)
From (10.139) and (10.97) follows that K† (1 + Bs (β, 0)) K = 1 + Bs (β, 0) such
that
(1 + Bs (β, 0)) Kv = λ† Kv . (10.142)
Hence, Kv is an eigenvector with eigenvalue λ† . To complete the proof, we have to
show that v and Kv are linearly independent

(v, Kv) = K† v, v = KK† v, Kv = − (v, Kv) . (10.143)
In the above, we have used the unitarity of K and the relation K2 = −1. Hence, since
v and Kv are orthogonal, we are guaranteed that λ and λ† will occur in the spectrum.
In particular, if λ is real, it occurs an even number of times in the spectrum.
It is interesting to note that models which show spin-nematic phases can be
shown to be free of sign problems due the above symmetry even though the factor-
ization of the determinant is not present [71].
Clearly, the sign problem remains the central issue in Monte Carlo simulations
of correlated electrons. It has been argued that there is no general solution to this
problem [72]. This does not exclude the possibility of finding novel algorithms
which can potentially circumvent the sign problem for a larger class of models than
at present. A very interesting novel algorithm, the Gaussian Monte Carlo approach,
has recently been introduced by Corney and Drummond [18, 73] and is claimed
to solve the negative sign problem for a rather general class of models containing
the Hubbard model on arbitrary lattices and at arbitrary dopings. As it stands, this
method does not produce accurate results and the interested reader is referred to [19]
for a detailed discussion of those problems.
10.6.6 Summary
In principle, we now have all the elements required to carry out a QMC simulation.
The space we have to sample is that of N m Ising spins. Here N is the number of
lattice sites and m the number of imaginary time slices. For each configuration of
Ising spins s, we can associate a weight. For the PQMC it reads
) *
Ws = C m det P † Bs (2Θ, 0)P (10.144)
and for the FTQMC

Ws = C m det [1 + Bs (β, 0)] . (10.145)

Here we will assume that the weight is positive. A Monte Carlo simulation may now
be carried out as follows.
– To generate a Markov chain we can adopt a sequential, or random, single spin
flip upgrading scheme. We accept the proposed change from s to s′ with proba-
bility max (1, Ws′ /Ws ) corresponding to a Metropolis algorithm. Since we can
in principle compute the weight Ws at the expense of a set of matrix multipli-
cations and estimation of a determinant we can compute the quotient Ws′ /Ws .
This procedure will be repeated until an independent Ising spin configuration is
obtained. That is after the autocorrelation time.
– For a given Ising spin configuration, and with the help of the formulas given
in the preceding section, we can compute the time displaced Green functions.
Since a Wick’s theorem holds for a given Hubbard Stratonovich configuration
of Ising spins, we have access to all observables.
– After having measured an observable, we will return to step one so as to generate
a new, independent configuration of Ising spins.
The implementation of the above program will not work due to the occurrence
of numerical instabilities at low temperatures. It also leads to a very inefficient code.
In the next two sections will show first to implement efficiently the algorithm. We
will first concentrate on simulations for lattice models and then on the Hirsch-Fye
approach which is triggered at solving impurity models.
10.7 Numerical Stabilization Schemes for Lattice Models

This section is organized as follows. We will first show how to compute the equal-
time Green functions both in the finite (FTQMC) and projective (PQMC) for-
malisms. The equal-time Green function is the fundamental quantity on which the
whole algorithm relies. On one hand and in conjunction with Wick’s theorem, it
allows to compute any equal-time observable. On the other hand, it determines the
Monte Carlo dynamics, since the ratio of statistical weights under a single spin flip
is determined by the equal-time Green function (see Sect. 10.7.2). In Sect. 10.7.3 we
will show how to compute imaginary time displaced Green functions in an efficient
and numerically stable manner.
10.7.1 Numerical Stabilization and Calculation of the Equal-Time

Green Function
The fundamental quantity on which the entire algorithm relies is the equal-time
Green function. For a given HS configuration of auxiliary fields, this quantity is
given by
−1 †
cx c†y s = 1 − Bs (Θ, 0)P P † Bs (2Θ, 0)P P Bs (2Θ, Θ) (10.146)

x,y
for the PQMC, see (10.103), and by

−1
cx c†y s = (1 + Bs (τ, 0)Bs (β, τ ))x,y (10.147)
for the FTQMC, see (10.117). On finite precision machines a straightforward cal-
culation of the Green function leads to numerical instabilities at large values of β
or projection parameter Θ. To understand the sources of numerical instabilities, it is
convenient to consider the PQMC. The rectangular matrix P accounting for the trial
wave function is just a set of column orthonormal vectors. Typically for a Hubbard
model, at weak couplings, the extremal scales in the matrix Bs (2Θ, 0) are deter-
mined by the kinetic energy and range from exp(8tΘ) to exp(−8tΘ) in the 2D
case. When the set of orthonormal vectors in P are propagated, the large scales will
wash out the small scales yielding a numerically ill defined inversion of the matrix
P † Bs (2Θ, 0)P . To be more precise consider a two-electron problem. The matrix
P then consists of two column orthonormal vectors v(0)1 and v(0)2 , which after
propagation along the imaginary time axis will be dominated by the largest scales in
Bs (2Θ, 0) so that v(2Θ)1 = v(2Θ)2 + ǫ, where v(2Θ)1 = Bs (2Θ, 0)v 1 . It is the
information contained in ǫ which renders the matrix P † Bs (2Θ, 0)P non-singular.
For large values of Θ this information is lost in round-off errors.
To circumvent this problem a set of matrix decomposition techniques were de-
veloped [58, 59, 61]. Those matrix decomposition techniques are best introduced
with the Gram-Schmidt orthonormalization method of Np linearly independent vec-
tors. At imaginary time τ , Bs (τ, 0)P ≡ B is given by the Np vectors v 1 . . . v Np .
Orthogonalizing those vectors yields
v ′1 = v 1
v 2 · v ′1 ′
v ′2 = v 2 − v
v ′1 · v ′1 1
..
.
Np −1
v Np · v ′i
v ′Np = v Np − ′
′ · v′ vi . (10.148)
i=1
v i i
Since v ′n depends only on the vectors v n . . . v 1 we can write

′
v 1 , . . . , v ′Np = v 1 , . . . , v Np VR−1 , (10.149)
where VR is an upper unit triangular Np × Np matrix, that is the diagonal matrix

elements are equal to unity. One can furthermore normalize the vectors v ′1 , . . . , v ′Np
to obtain
1 2

v ′1 v ′Np
B ≡ v 1 , . . . , v Np = ,..., ′ DR VR , (10.150)
|v ′1 | |v Np |

≡U
where D is a diagonal matrix containing the scales. One can repeat the procedure to
obtain: B ≡ P † Bs (2Θ, τ ) = VL DL U . The Green function for the PQMC is now
particularly easy to compute:

−1
1 − Gs (τ ) = B B B B

−1
= U DR VR VL DL U U DR VR VL DL U

−1
−1 −1
= U DR VR (DR VR ) U U (VL DL ) VL DL U

−1
= U U U U . (10.151)
Thus, in the PQMC, all scales which are at the origin of the numerical instabilities
disappear from the problem when computing Green functions. Since the entire algo-
rithm relies solely on the knowledge of the Green function, the above stabilization
procedure leaves the physical results invariant. Note that although appealing, the
Gram-Schmidt orthonormalization is itself unstable, and hence it is more appropri-
ate to use singular value decompositions based on Housholder’s method to obtain
the above U DV -form for the B matrices [74]. In practice the frequency at which the
stabilization is carried out is problem dependent. Typically, for the Hubbard model
with ∆τ t = 0.125 stabilization at every 10th time slice produces excellent accuracy.
The stabilization procedure for the finite-temperature algorithm is more subtle
since scales do not drop out in the calculation of the Green function. Below, we
provide two ways of computing the Green function.
The first approach relies on the identity
−1 1 −1 −1 2
AB A − BD−1 C C − DB −1 A
= −1 −1 , (10.152)
CD B − AC −1 D D − CA−1 B
where A, B, C and D are matrices. Using the above, we obtain
−1
1 Bs (β, τ ) Gs (0) −(1 − Gs (0))Bs−1 (τ, 0)
= .
−Bs (τ, 0) 1 Bs (τ, 0)Gs (0) Gs (τ )
(10.153)
The diagonal terms on the right hand side of the above equation correspond to
the desired equal-time Green functions. The off-diagonal terms are nothing but the
time displaced Green functions, see (10.125) and (10.126) . To evaluate the left hand
side of the above equation, we first have to bring Bs (τ, 0) and Bs (β, τ ) in U DV -
forms. This has to be done step by step so as to avoid mixing large and small scales.
Consider the propagation Bs (τ, 0), and a time interval τ1 , with nτ1 = τ , for which
the different scales in Bs (nτ1 , (n − 1)τ1 ) do not exceed machine precision. Since
Bs (τ, 0) = Bs (nτ1 , (n − 1)τ1 ) . . . Bs (τ1 , 0) we can evaluate Bs (τ, 0) for n = 2
with
Bs (2τ1 , τ1 ) Bs (τ1 , 0) = ((Bs (2τ1 , τ1 )U1 )D1 ) V1 = U2 D2 V2 , (10.154)

U1 D1 V1 U2 D2 V
where V2 = V V1 . The parenthesis determine the order in which the matrix mul-
tiplication are to be done. In all operations, mixing of scales is avoided. After the
multiplication with diagonal matrix D1 scales are again separated with the use of
the singular value decomposition.
Thus, for Bs (τ, 0) = UR DR VR and Bs (β, τ ) = VL DL UL we have to invert
−1
I VL DL UL
−UR DR VR I
−1
VL 0 (VR VL )−1 DL VR 0
=
0 UR −DR (UL UR )−1 0 UL

UDV
−1
−1
VR 0 −1 −1 −1 VL 0
= V D U . (10.155)
0 UL−1 0 UR−1
In the above, all matrix multiplications are well defined. In particular, the matrix
−1 −1
D contains only large scales since the matrices (VR VL ) and (UL UR ) act as
a cutoff to the exponentially small scales in DL and DR . This method to compute
Green functions is very stable and has the advantage of producing time displaced
Green functions. However, it is numerically expensive since the matrices involved
are twice as big as the B matrices.
Alternative methods to compute Gs (τ ) which involve matrix manipulations only
of the size of B include
(1 + Bs (τ, 0)Bs (β, τ ))−1

= (1 + UR DR VR VL DL UL )−1
= UL−1 ((UL UR )−1 + DR (VR VL )DL )−1 UR−1

UDV
= (V UL )−1 D−1 (UR U −1 ) . (10.156)
Again, (UL UR )−1 acts as a cutoff to the small scales in DR (VR VL )DL so that
D contains only large scales.
The accuracy of both presented methods may be tested by in the following way.
Given the Green function at time τ we can upgrade and wrap, see (10.128), this
Green function to time slice τ + τ1 . Of course, for the time interval τ1 the involved
scales should lie within the accuracy of the computer ∼ 10−12 for double precision
numbers. The Green function at time τ + τ1 obtained thereby may be compared
to the one computed from scratch using (10.155) or (10.156). For a 4 × 4 half-
filled Hubbard model at U/t = 4, βt = 20, ∆τ t = 0.1 and τ1 = 10 ∆τ we
obtain an average (maximal) difference between the matrix elements of both Green
functions of 10−10 ( 10−6 ) which is orders of magnitude smaller than the statistical
uncertainty. Had we chosen τ1 = 50 ∆τ the accuracy drops to 0.01 and 100.0 for
the average and maximal differences.
10.7.2 The Monte Carlo Sampling
The Monte Carlo sampling used in the auxiliary field approach is based on a single
spin-flip algorithm. Acceptance or rejection of this spin flip requires the knowledge
of the ratio
Ps′
R= , (10.157)
Ps
where s and s′ differ only at one point in space i, and imaginary time n. For the
Ising field required to decouple the Hubbard interaction, (10.236) and (10.239)
/
si′ ,n′ if i′ = i and n′ = n
s′i′ ,n′ = . (10.158)
−si,n if i′ = i and n′ = n
The calculation of R boils down to computing the ratio of two determinants
⎧
⎪ det [1 + Bs′ (β, 0)]
⎪
⎪ det [1 + B (β, 0)] for the FTQMC
⎨ s
R= ) * . (10.159)
⎪
⎪ det P † Bs′ (2Θ, 0)P
⎪
⎩ for the PQMC
det [P † Bs (2Θ, 0)P ]
For the Hubbard interaction with HS transformation of (10.236) only the matrix
V (sn ) will be effected by the move. Hence, with
′
′

!
eV (s n ) = 1 + eV (s n ) e−V (sn ) − 1 eV (sn ) (10.160)

∆
we have
Bs′ (•, 0) = Bs (•, τ ) (1 + ∆) Bs (τ, 0) , (10.161)
where the • stands for 2Θ or β and τ = n∆τ .
For the FTQMC, the ratio is given by
det [1 + Bs (β, τ )(1 + ∆)Bs (τ, 0)]

det [1 + Bs (β, 0)]
!
= det 1 + ∆Bs (τ, 0) (1 + Bs (β, 0))−1 Bs (β, τ )

!
−1
= det 1 + ∆ 1 − (1 + Bs (τ, 0)Bs (β, τ ))
= det [1 + ∆ (1 − Gs (τ ))] . (10.162)
Where the last line follows from the fact that the equal-time Green function reads
−1
Gs (τ ) = (1 + Bs (τ, 0)Bs (β, τ )) . Hence the ratio is uniquely determined from
the knowledge of the equal-time Green function.

Let us now compute the ratio for the PQMC. Introducing the notation Bs =

P † Bs (2Θ, τ ) and Bs = Bs (τ, 0)P , again we have to evaluate
!
det Bs 1 + ∆(i) Bs

−1
! = det Bs 1 + ∆(i) Bs Bs Bs

det Bs Bs

−1
= det 1 + Bs ∆(i) Bs Bs Bs

−1
(i)
= det 1 + ∆ Bs Bs Bs Bs , (10.163)
where the last equation follows from the identity det [1 + AB] = det [1 + BA] for
arbitrary rectangular matrices3 . We can recognize the Green function of the PQMC

Bs (Bs Bs )−1 Bs = 1 − Gs (τ ). The result is thus identical to that of the FTQMC
provided that we replace the finite-temperature equal-time Green function with the
zero-temperature one. Hence, in both algorithms, the ratio is essentially given by
the equal-time Green function which, at this point, we know how to compute in a
numerically stable manner.
Having calculated the ratio R for a single spin flip one may now decide stochas-
tically within, for example, a Metropolis scheme if the move is accepted or not.
In case of acceptance, we have to update the Green function since this quantity is
required at the next step.
Since in general the matrix ∆ has only a few non-zero entries, it is convenient
to use the Sherman-Morrison formula [74] which states that
(A + u ⊗ v)−1 = (1 + A−1 u ⊗ v)−1 A−1
= [1 − A−1 u ⊗ v + A−1 u ⊗ vA −1 −1 2
u ⊗v + A u ⊗ λ v − . . .]A
−1
≡λ
) *
= 1 − A u ⊗ v 1 − λ + λ2 − . . . A−1
−1
−1 −1
−1 A u ⊗ vA
=A − , (10.164)
1 + v • A−1 u
where A is an N × N matrix, u, v N -dimensional vectors with tensor product
defined as (u ⊗ v)x,y = ux v y .
To show how to use this formula for the updating of the Green function, let us
′
first assume that matrix ∆ has only one non-vanishing entry ∆x,y = δx,z δy,z′ η (z,z ) .
In the case of the FTQMC we will then have to compute
Gs′ (τ ) = [1 + (1 + ∆)Bs (τ, 0)Bs (β, τ )]−1
−1
= Bs−1 (β, τ ) [1 + Bs (β, τ )(1 + ∆)Bs (τ, 0)] Bs (β, τ )
−1
= Bs−1 (β, τ ) [1 + Bs (β, τ )Bs (τ, 0) + u ⊗ v] Bs (β, τ )
(10.165)
′
where ux = [Bs (β, τ )]x,z η (z,z ) and v x = [Bs (τ, 0)]z′ ,x .
3
This identity may be formally proven by using the relation det(1 + AB) =
exp(Tr log(1 + AB)), expanding the logarithm and using the cyclic properties of the
trace.
Using the Sherman-Morrison formula for inverting 1+Bs (β, τ )Bs (τ, 0)+u⊗v
yields
′
[Gs (τ )]x,z η (z,z ) [1 − Gs (τ )]z′ ,y
[Gs′ (τ )]x,y = [Gs (τ )]x,y − . (10.166)
1 + η (z,z′ ) [1 − Gs (τ )]z′ ,z
Precisely the same equation holds for the PQMC provided that one replaces the
finite-temperature Green function by the zero-temperature one. To show this, one
will first compute

−1
−1

(Bs′ Bs′ )−1 = Bs (1 + ∆)Bs = Bs Bs + u ⊗ v

(Bs Bs )−1 u ⊗ v(Bs Bs )−1
= (Bs Bs )−1 − (10.167)
1 + η (z,z′ ) [1 − G0s (τ )]z′ ,z
′
with ux = [Bs ]x,z η (z,z ) and v x = [Bs ]z′ ,x . Here x runs from 1 . . . Np where Np
corresponds to the number of particles contained in the trial wave function and the

zero-temperature Green function reads G0s (τ ) = 1 − Bs (Bs Bs )−1 Bs . After some
straightforward algebra, one obtains
) 0 * !
Gs′ (τ ) x,y = 1 − (1 + ∆)Bs (Bs (1 + ∆)Bs )−1 Bs
x,y
) 0 * (z,z ′ )
) *
) 0 * Gs (τ ) x,z η 1 − G0s (τ ) z′ ,y
= Gs (τ ) x,y − .(10.168)
1 + η (z,z′ ) [1 − G0s (τ )]z′ ,z
In the above, we have assumed that the matrix ∆ has only a single non-zero
entry. In general, it is convenient to work in a basis where ∆ is diagonal with n non-
vanishing eigenvalues. One will then iterate the above procedure n-times to upgrade
the Green function.
10.7.3 Numerical Calculation of Imaginary Time Displaced Green Functions
In Sect. 10.6.4 we introduced the time displaced Green functions both within the
ground-state and finite-temperature formulations. Our aim here is to show how to
compute them in a numerically stable manner. We will first start with the FTQMC
and then concentrate on the PQMC.
10.7.3.1 FTQMC
For a given HS field, we wish to evaluate
Gs (τ1 , τ2 )x,y = cx (τ1 )c†y (τ2 )s = Bs (τ1 , τ2 )Gs (τ2 ) τ1 > τ2 , (10.169)
where Gs (τ1 ) is the equal-time Green function computed previously and

Gs (τ1 , τ2 )x,y = −c†y (τ2 )cx (τ1 )s

= − (1 − Gs (τ1 )) Bs−1 (τ2 , τ1 ) τ2 > τ1 , (10.170)
see (10.126) and (10.125).

Returning to (10.153) we see that we have already computed the time displaced
Green functions Gs (0, τ ) and Gs (τ, 0) when discussing a stabilization scheme for
the equal-time Green functions. However, this calculation is expensive and is done
only at times τ = nτ1 where τ1 is time scale on which all energy scales fit well
on finite precision machines. To obtain the Green functions for arbitrary values of τ
one uses the relations
Gs (0, τ + τ2 ) = Gs (0, τ )Bs−1 (τ2 , τ ) ,

Gs (τ + τ2 , 0) = Bs (τ2 , τ )Gs (τ, 0) , (10.171)
where τ2 < τ1 .
With the above method, we have access to all time displaced Green functions
Gs (0, τ ) and Gs (τ, 0). However, we do not use translation invariance in imaginary
time. Clearly, using this symmetry in the calculation of time displaced quantities will
reduce the fluctuations which may sometimes be desirable. A numerically expensive
but elegant way of producing all time displaced Green functions relies on the inver-
sion of the matrix O given in (10.129). Here, provided the τ1 is small enough so
that the scales involved in Bs (τ + τ1 , τ ) fit on finite precision machines, the matrix
inversion of O−1 is numerically stable and and yields the Green functions between
arbitrary time slices nτ1 and mτ1 . For β/τ1 = l, the matrix to inverse has the di-
mension l times the size of the B matrices, and is hence expensive to compute. It is
worth noting that on vector machines the performance grows with growing vector
size so that the above method can become attractive. Having computed the Green
functions Gs (nτ1 , mτ1 ) we can obtain Green functions on any two time slices by
using equations of the type (10.171).
10.7.3.2 PQMC
Zero-temperature time displaced Green functions are given by

τ τ
τ τ
τ
!
Gs Θ + , Θ − = Bs Θ + , Θ − Gs Θ −
2 2 x,y 2 2 2 x,y
τ τ
τ
−1 τ τ
!
Gs Θ − , Θ + = − 1 − Gs Θ − Bs Θ + , Θ −
2 2 x,y 2 2 2 x,y
(10.172)
with τ > 0, see (10.138).

Before showing who to compute imaginary time displaced Green functions, we
first note that a direct multiplication of the equal-time Green function with B ma-
trices is unstable for larger values of τ . This can be understood in the framework of
free electrons on a 2D square lattice

H = −t c†i cj , (10.173)
<i,j>
where the sum runs over nearest neighbors. For this Hamiltonian one has
Ψ0 |c†k (τ )ck |Ψ0 = eτ (ǫk −μ) Ψ0 |c†k ck |Ψ0 , (10.174)
where ǫk = −2t(cos(kax ) + cos(kay )), ax , ay being the lattice constants. We will

assume |Ψ0 to be non-degenerate. In a numerical calculation the eigenvalues and
eigenvectors of the above Hamiltonian will be known up to machine precision ǫ. In
the case ǫk −μ > 0 is Ψ0 |c†k ck |Ψ0 ≡ 0. However, on a finite precision machine the
later quantity will take a value of the order of ǫ. When calculating Ψ0 |c†k (τ )ck |Ψ0
this roundoff error will be blown up exponentially and the result for large values of τ
will be unreliable. In (10.138) the B matrices play the role of the exponential factor
exp (τ (ǫk − μ)) and the equal-time Green functions correspond to Ψ0 |c†k ck |Ψ0 . In
the PQMC, the stability problem is much more severe than for free electrons since
the presence of the time dependent HS field mixes different scales.
An elegant and efficient method [75] to alleviate this problem rests on the obser-
vation that in the PQMC the Green function is a projector. Consider again the free
electron case. For a non-degenerate ground state Ψ0 |c†k ck |Ψ0 = 0, 1 so that

τ
Ψ0 |c†k (τ )ck |Ψ0 = Ψ0 |c†k ck |Ψ0 eǫk −μ . (10.175)
The above involves only well defined numerical manipulations even in the large
τ limit provided that all scales fit onto finite precision machines for a unit time
interval.
The implementation of this idea in the QMC algorithm is as follows. First, one
has to notice that the Green function Gs (τ ) is a projector
Gs (τ )2 = Gs (τ ) . (10.176)
We have already seen that for P † Bs (2Θ, τ ) = VL DL U and Bs (τ, 0) = U DR UR ,

) *2
Gs (τ ) = 1 − U (U U )−1 U . Since U (U U )−1 U = U (U U )−1 U we
have
G2s (τ ) = Gs (τ ) ,
(1 − Gs (τ ))2 = 1 − Gs (τ ) . (10.177)
This property implies that Gs (τ1 , τ3 ) obeys a simple composition identity
Gs (τ1 , τ3 ) = Gs (τ1 , τ2 )Gs (τ2 , τ1 ) . (10.178)
In particular for τ1 > τ2 > τ3
Gs (τ1 , τ3 ) = Bs (τ1 , τ3 )G2s (τ3 ) = Gs (τ1 , τ3 )Gs (τ3 )

= Gs (τ1 , τ3 )Bs−1 (τ2 , τ3 ) Bs (τ2 , τ3 )Gs (τ3 ) . (10.179)

Gs (τ1 ,τ2 ) Gs (τ2 ,τ3 )
A similar proof is valid for τ3 > τ2 > τ1 .

Using this composition property (10.178) we can break up a large τ interval into
a set of smaller intervals of length τ = N τ1 so that
τ τ
N
0 −1 τ τ
Gs Θ + , Θ − = Gs Θ − + [n + 1] τ1 , Θ − + nτ1 .
2 2 n=0
2 2
(10.180)
The above equation is the generalization of (10.175). If τ1 is small enough each
Green function in the above product is accurate and has matrix elements bounded
by order unity. The matrix multiplication is then numerically well defined.
We conclude this section by comparing with a different approach to computed
imaginary time correlation functions in the framework of the PQMC [63]. We con-
sider the special case of the Kondo lattice model (see Fig. 10.16). As apparent the re-
sults are identical within error-bars. The important point however, is that the method
based on (10.180) is for the considered case an order of magnitude quicker in CPU
time than the method of [63].
10.7.4 Practical Implementation
In this section we first describe in detail a possible efficient implementation of the

finite-temperature algorithm and then comment on the differences required for the
0.0 →
1n 〈ψ0⏐S†i,σ (τ) Si,σ (0)⏐ψ0〉
–0.5
–1.0
–1.5
–2.0
(a)
–2.5
0.0
1n 〈ψ0⏐Σσ c†i,σ (τ) ci,σ (0)⏐ψ0〉
–1.0
–2.0
–3.0
–4.0
–5.0
–6.0
(b)
–7.0
0.00 2.00 4.00 6.00 8.00 10.00 12.00
τt
Fig. 10.16. Imaginary time displaced on-site spin-spin correlation function (a) and Green
function (b). We consider a 6 × 6 lattice at half-filling and J/t = 1.2. In both (a) and (b)
results obtained from (10.180) (△) and from an alternative approach presented in [63] (▽)
are plotted
implementation of the projector formalism. It is convenient to split the total imagi-

nary time propagation β, into intervals of length τ1 such that nτ1 = β. We require
τ1 to be small enough such that all scales in the matrices Bs (τ1 , 0) fit into say 64
bit reals. The organization of the time slices is shown schematically in Fig. 10.17.
To save computer time, we will need enough memory to store n + 1 orthogonal
matrices U , n + 1 triangular matrices V and n + 1 diagonal matrices D.
At the onset, we start from a randomly chosen Hubbard-Stratonovich config-
uration of fields s. We then compute Bs (τ1 , 0) carry out a singular value decom-
position and store the result in U1 , D1 and V1 . Given the U DV -decomposition
of Bs (nτ τ1 , 0), where (1 ≤ nτ < n), we compute the U DV -decomposition
of Bs [(nτ + 1)τ1 , 0] using (10.154) and store the results in Unτ +1 , Dnτ +1 and
Dnτ +1 . Hence, our storage now contains
Unτ Dnτ Vnτ = Bs (nτ τ1 , 0) (10.181)
with 1 ≤ nτ ≤ n.
At this stage we can sequentially upgrade the Hubbard Stratonovich fields from
τ = β to τ = ∆τ . In doing so, we will take care of storing information to subse-
quently carry out a sweep from τ = ∆τ to τ = β.
10.7.4.1 From τ = β to τ = Δτ
From the U DV -decomposition of Bs (β = nτ1 , 0) which we read out of the storage

(Un , Dn , Vn ), we compute in a numerically stable way the equal-time Green func-
tion on time slice τ = β. Having freed the arrays Un , Dn and Vn we set them to
unity such that Bs (β, nτ1 = β) ≡ 1 = Vn Dn Un . We can now sweep down from
time slice τ = β to time slice τ = ∆τ .
Given the Green function at time τ = nτ τ1 we sequentially upgrade all the
Hubbard Stratonovich fields on this time slice. Each time a move is accepted, we
will have to update the equal-time Green function. To move to the next time slice
τ − ∆τ , we make use of the equation
Gs (τ − ∆τ ) = Bs−1 (τ, τ − ∆τ )Gs (τ )Bs (τ, τ − ∆τ ) . (10.182)
nτ1 = β (n−1)τ1 τ1 1
Fig. 10.17. Each line (solid or dashed) denotes a time slice separated by an imaginary
time propagation ∆τ . The solid lines correspond to time slices where we store the U DV -
decomposition of the matrices Bs (β, nτ τ1 ) or Bs (nτ τ1 , 0) depending upon the direction of
the propagation ( 1 ≤ nτ ≤ n)
We will repeat the above procedure till we arrive at time slice τ = (nτ − 1)τ1 .
At this stage, we have to recompute the equal-time Green function due to the ac-
cumulation of round-off errors and hence loss of precision. To do so, we read
from the storage UR = Unτ −1 , DR = Unτ −1 and VR = Unτ −1 such that
Bs ((nτ − 1)τ1 , 0) = UR DR VR . Note that we have not yet upgraded the Hubbard
Stratonovich fields involved in Bs ((nτ − 1)τ1 , 0) so that this storage slot is still
up to date. We then compute the matrix Bs (nτ τ1 , (nτ − 1)τ1 ) and read from the
storage V#L = Vnτ , D# L = Vnτ and U #L = Vnτ such that Bs (β, nτ τ1 ) = V#L D #L .
# LU
With this information and the computed matrix Bs (nτ τ1 , (nτ − 1)τ1 ) we will cal-
culate Bs (β, (nτ − 1)τ1 ) = VL DL UL , see (10.154). We now store this result as
Vnτ −1 = VL , Dnτ −1 = DL and Unτ −1 = UL , and recompute the Green function.
Note that as a cross check, one can compare both Green functions to test the numer-
ical accuracy. Hence, we now have a fresh estimate of the Green function at time
slice τ = (nτ − 1)τ1 and we can iterate the procedure till we arrive at time slice ∆τ .
Hence, in this manner, we sweep down from time slice β to time slice ∆τ ,
upgrade sequentially all the Hubbard Stratonovich fields and have stored
Bs (β, nτ τ1 ) = Vnτ Dnτ Unτ (10.183)
with 0 ≤ nτ ≤ n. We can now carry out a sweep from ∆τ to β and take care of
storing the information required for the sweep from β to ∆τ .
10.7.4.2 From τ = Δτ to β
We initially set nτ = 0, read out from the storage Bs (β, 0) = V0 D0 U0 and compute
the Green function on time slice τ = 0. This storage slot is then set to unity such
that Bs (0, 0) = U0 D0 V0 ≡ 1.
Assuming that we are on time slice τ = nτ τ1 , we propagate the Green function
to time slice τ + ∆τ with
Gs (τ + ∆τ ) = Bs (τ + ∆τ , τ )Gs (τ )Bs−1 (τ + ∆τ , τ ) (10.184)
and upgrade the Hubbard Stratonovich fields on time slice τ + ∆τ . The above pro-
cedure is repeated till we reach time slice (nτ + 1)τ1 , where we have to recompute
the Green function. To do so, we read from the storage VL = Vnτ +1 DL = Dnτ +1
and UL = nτ + 1 such that Bs (β, (nτ + 1)τ1 ) = VL DL UL . We then compute
Bs ((nτ + 1)τ1 , nτ τ1 ) and from the U DV -form of Bs (nτ τ1 , 0) which we obtain
from the storage slot nτ , we calculate Bs ((nτ + 1)τ1 , 0) = UR DR VR . The result of
the calculation is stored in slot nτ +1, and we recompute the Green function on time
slice (nτ + 1)τ1 . We can now proceed till we reach time slice β and we will have
accumulated all the information required for carrying out a sweep from β to ∆τ .
This completes a possible implementation of the finite-temperature method. The
zero-temperature method follows exactly the same logic. However, it turns out that
it is more efficient to keep track of (P † Bs (2Θ, 0)P )−1 since (i) it is of dimension
Np × Np in contrast to the Green function which is a N × N matrix, and (ii) it is τ
independent. When Green functions are required they are computed from scratch.
10.8 The Hirsch-Fye Impurity Algorithm

As its name suggests, this algorithm is triggered at solving impurity problems such
as the Kondo and Anderson models. The strong point of the algorithm is that the
CPU time is independent on the volume of the system thus allowing one to carry out
simulations directly in the thermodynamic limit. The price however is a β 3 scaling
of the CPU time where β is the inverse temperature. Diagrammatic determinantal
methods, provide an alternative approach [8, 9] to solve impurity problems. Those
algorithms are formulated in continuous time and hence do not suffer from Trotter
errors. The computational effort equally scales as β 3 , but there is a prefactor which
renders them more efficient. We will nevertheless concentrate here on the Hirsch-
Fye algorithm since it is extensively used in the framework of dynamical mean-field
theories [76, 77], see Chap. 16.
We will concentrate on the Anderson model defined as
H − μN = H0 + HU (10.185)
with
V †
H0 = (ǫ(k) − μ) c†k,σ ck,σ + √ ck,σ fσ + fσ† ck,σ

k,σ
N k,σ

+ǫf fσ† fσ ,
σ
HU = U (f↑† f↑ − 1/2)(f↓† f↓ − 1/2) . (10.186)
For an extensive overview of the Anderson and related Kondo model, we refer
the reader to [78].
In the next section, we will review the finite-temperature formalism. Since the
CPU time scales as β 3 it is expensive to obtain ground state properties, and projec-
tive formulations of Hirsch-Fye algorithm become attractive. This corresponds to
the topic of Sect. 10.8.2.
10.8.1 The Finite-Temperature Hirsch-Fye Method
In Sect. 10.6 we have shown that the grand-canonical partition function may be writ-
ten as

! 0 ) *
−β(H−μN ) σ σ σ
Z ≡ Tr e = det 1 + Bm Bm−1 . . . B1 (10.187)
s σ
with m∆τ = β.
To define the matrices Bnσ , we will label all the orbitals (conduction and im-
purity) with the index i and use the convention that i = 0 denotes the f -orbital
and i = 1 . . . N the conduction orbitals. We will furthermore define the fermionic
operators
/
fσ† if i = 0
a†i,σ = , (10.188)
c†i,σ otherwise
such that the non-interacting term of the Anderson takes the form
†
H0 = H0σ , H0σ = ai,σ (h0 )i,j aj,σ . (10.189)
σ i,j
Using the HS transformation of (10.236), the B matrices read

σ
Bnσ = eVn e−∆τ h0 ,
(Vnσ )i,j = δi,j δi,0 ασsn ,
cosh(α) = e∆τ U/2 . (10.190)
The determinant in a given spin sector may be written as

) σ σ
*
det 1 + Bm Bm−1 . . . B1σ = det Oσ (10.191)
with
⎛ ⎞
1 0 . . 0 B1σ
⎜ −B2σ 1 0 . . 0 ⎟
⎜ ⎟
⎜ 0 −B3σ 1 . . 0 ⎟
⎜ ⎟
O =⎜
σ
⎜ . 0 −B4σ . . . ⎟⎟ . (10.192)
⎜ . . 0 . . . ⎟
⎜ ⎟
⎝ . . . . . . ⎠
σ
0 . . 0 −Bm 1
The above identity, follows by considering – omitting spin indices – the matrix
A = O − 1. Since
r(m+1) r
Tr [An ] = δn,rm (−1) mTr [(Bm . . . B1 ) ] (10.193)
r
we obtain:
∞ (−1)n+1
Tr[An ]
det O = eTr ln(1+A) = e n=1 n
∞ (−1)r+1
Tr[(Bm ...B1 )r ]
=e r=1 r
= eTr ln(1+Bm ...B1 ) = det (1 + Bm . . . B1 ) . (10.194)
From (10.129) we identify

⎛ ⎞
Gσ (1, 1) Gσ (1, 2) . . . Gσ (1, m)
⎜ Gσ (2, 1) Gσ (2, 2) . . . Gσ (2, m) ⎟
⎜ ⎟
(Oσ )−1 σ
≡g =⎜ .. .. .. ⎟ , (10.195)
⎝ . . ... . ⎠
σ σ σ
G (m, 1) G (m, 2) . . . G (m, m)
where Gσ (n1 , n2 ) are the time displaced Green functions

⎧
⎪ Tr[Bm σ σ
...Bn a B σ ...Bn σ
a† B σ ...B1σ ]
⎪
⎨ 1 +1 i,σ n1 2 +1 j,σ n2
if n1 ≥ n2
Tr[Bm ...B1 ]
σ σ
[Gσ (n1 , n2 )]i,j =

⎪
⎪ Tr[Bm ...Bn2 +1 a†j,σ Bn
σ σ σ
...Bn σ
a B σ ...B1σ ]
1 +1 i,σ n1
⎩− 2
if n1 < n2
Tr[Bmσ ...B σ
1]
(10.196)
(see (10.125) and (10.126)). The operators Bnσ are given by
† σ
Bnσ = eασsn fσ fσ e−∆τ H0 . (10.197)
Given an HS configuration s and s′ and associated matrices

⎛ σ ⎞
V1 0 . . . 0
⎜ 0 V2σ 0 . . 0 ⎟
⎜ ⎟
V =⎜
σ σ
⎜ 0 0 V3 0 . 0 ⎟
⎟ (10.198)
⎝ . . . . . . ⎠
0 . . . 0 Vmσ
and V ′σ the Green functions g σ and g ′σ satisfy the following Dyson equation
′σ σ
g σ = g ′σ + g ′σ ∆(1 − g σ ) with ∆σ = (eV e−V − 1) . (10.199)
To demonstrate the above, we consider

# σ = e−V σ Oσ
O
⎛ −V σ ⎞
e 1 0 . . 0 e−∆τ h0
⎜ −e−∆τ h0 e−V2σ 0 . . 0 ⎟
⎜ σ ⎟
⎜ 0 − e−∆τ h0 e−V3 . . 0 ⎟
⎜ ⎟ (10.200)
=⎜⎜ . 0 − e−∆τ h0 . . . ⎟ ,
⎟
⎜ . . 0 . . . ⎟
⎜ ⎟
⎝ . . . . . . ⎠
σ
−∆τ h0 −Vm
0 . . 0 −e e
so that (omitting the spin index σ)

#−1 = [O
g# ≡ O B′ + O
#−O B′ ]−1 = g#′ − g#′ e−V − e−V ′ g# . (10.201)

≡e−V −e−V ′
The above equation follows from the identity

1 1 1 1
= − B . (10.202)
(A + B) A A A+B
Substitution, #
g = g exp(V ), leads to the Dyson equation (10.199).
The above Dyson equation is the central identity in the Hirsch-Fye algorithm:
All quantities required for the algorithm may be derived directly from this equality.
An implementation of the algorithm involves two steps:
10.8.1.0.1 Calculation of the impurity Green function for a given HS configuration
The starting point of the algorithm is to compute the green function for a random
HS configuration of Ising spins s′ . We will only need the Green function for the
impurity f -site. Let x = (τx , ix ) with Trotter index τx and orbital ix . Since
′ ′
(eV e−V − 1)x,y = (eV e−V − 1)x,x δx,y δix ,0 (10.203)
we can use the Dyson equation only for the impurity Green function

σ ′σ ′σ σ σ
gf,f ′ = gf,f ′ + gf,f ′′ ∆f ′′ ,f ′′ (1 − g )f ′′ ,f ′ (10.204)
f ′′
with indices f ≡ (τ, 0) running from 1 . . . m. Hence, the m × m impurity Green

function matrix,
I,σ σ
gf,f ′ = gf,f ′ (10.205)
satisfies the Dyson equation
g I,σ = g ′I,σ + g ′I,σ ∆I,σ (1 − g I,σ ) with ∆I,σ σ

f,f ′ = ∆f,f ′ . (10.206)
For V = 0, g I is nothing but the impurity Green function of the non-interacting

Anderson model which may readily be computed. Thus using the Dyson equation,
I
we can compute the Green function g ′ for an arbitrary HS configuration s′ at the
cost of an m × m matrix inversion. This involves a CPU cost scaling as m3 or
equivalently β 3 .
10.8.1.0.2 Upgrading
At this point we have computed the impurity Green function for a given HS config-
uration s. Adopting a single spin flip algorithm we will propose the configuration
/
′ −sf if f = f1
sf = (10.207)
sf otherwise
and accept it with probability 0

R= Rσ (10.208)
σ
with
) ′σ ′σ
*
σ det 1 + Bm Bm−1 . . . B1′σ ) *
R = ) σ σ
* = det g σ (g ′σ )−1
σ
det 1 + Bm Bm−1 . . . B1
= det [1 + ∆σ (1 − g σ )] . (10.209)
The last identity follows from the Dyson equation to express g σ as g σ = g ′σ [1 +

∆ (1 − g σ )]. Since s and s′ differ only by one entry the matrix ∆σ has one non-
σ
zero matrix element: ∆σf1 ,f1 . Hence, Rσ = 1+∆σf1 ,f1 (1−gfσ1 ,f1 ). Since the impurity
Green function g I,σ is at hand, we can readily compute R.
If the move (spin flip) is accepted, we will have to recalculate (upgrade) the
impurity Green function. From the Dyson equation (10.206), we have
) *−1
g ′I,σ = g I,σ 1 + ∆I,σ 1 − g I,σ . (10.210)

To compute [1 + ∆I,σ 1 − g I,σ ]−1 we can use the Sherman-Morrison formula of
(10.164). Setting A = 1, uf = ∆I,σ f1 ,f1 δf1 ,f and v f = (1 − g
I,σ
)f1 ,f we obtain
I,σ
′I,σ I,σ gf,f1
∆σf1 ,f1 (g I,σ − 1)f1 ,f ′
gf,f ′ = gf,f ′ + . (10.211)
1 + (1 − g I,σ )f1 ,f1 ∆σf1 ,f1
Thus, the upgrading of the Green function under a single spin flip is an operation
which scales as m2 . Since for a single sweep we have to visit all spins, the compu-
tational cost of a single sweep scales as m3 .
By construction, the Hirsch-Fye algorithm is free from numerical stabilization
problems. For the here considered Anderson model, it has recently been shown that
there is no sign problem irrespective of the conduction band electron density [79].
Clearly the attractive feature of the Hirsch-Fye impurity algorithm is that the algo-
rithm may be formulated directly in the thermodynamic limit. This is not possible
within the lattice formulation of the auxiliary field QMC method. Within this ap-
proach the dimension of the matrices scale as the total number of orbitals N , and
the CPU time for a single sweep as N 3 β. The Hirsch-Fye algorithm is not limited
to impurity models. However, when applied to lattice models, such as the Hubbard
3
model, it is not efficient since the CPU time will scale as (βN ) .
To conclude this section we show a typical example of the use of the Hirsch-Fye
algorithm for the Kondo model

H= ε(k)c†k,σ ck,σ + JS Ic · S If . (10.212)
k,σ
For the Monte Carlo formulation, the same ideas as for the lattice problem may
be used for the HS decoupling of the interaction as well as to impose the constraint
of no charge fluctuations on the f -sites. Figure 10.18 plots the impurity spin suscep-
tibility
β
χ = dτ S If (τ ) · S If
I
(10.213)
0
for various values of J/t for a half-filled conduction band.

As apparent, at low
energies the data collapse to the universal form χI = f T /TKI
/T where TK I
is
the Kondo temperature [78].
Single impurity
0.5
0.4
: J/t = 2.0, TKI/t = 0.21
0.3
TχI : J/t = 1.6, TKI/t = 0.12
0.2
: J/t = 1.2, TKI/t = 0.06
0.1
0
0.1 1 10 100
T/Tk
Fig. 10.18. Impurity spin susceptibility of the Kondo model as computed with the Hirsch-Fye
impurity algorithm [80]
10.8.2 Ground-State Formulation
In the above finite-temperature formulation of the Hirsch-Fye algorithm, the CPU

time scales as β 3 thus rendering it hard to reach the low temperature limit. Here we
show how to formulate a projector version of the Hirsch-Fye algorithm. Although
the CPU time will still scale as β 3 a good choice of the trial wave function may pro-
vide quicker convergence to the ground state than the finite temperature algorithm.
In the projector approach, the trial wave function |ΨT is required to be a Slater
determinant non-orthogonal to the ground state wave function. Hence, we can find
an one body Hamiltonian
†
HT = ai,σ (hT )i,j aj,σ , (10.214)
i,j,σ
which has |ΨT as a non-degenerate ground state. In the above, and in the context
of the Anderson model, aj,σ denotes c- or f -fermionic operators. Our aim is to
compute
Θ Θ
!
Θ Θ
ΨT |e− 2 H Oe− 2 H |ΨT Tr e− 2 H Oe− 2 H e−βHT
≡ lim (10.215)
ΨT |e−ΘH |ΨT β→∞ Tr [e−ΘH e−βHT ]
and subsequently take the limit Θ → ∞. As apparent, the above equation provides a
link between the finite temperature and projection approaches. To proceed, we will
consider the right hand side of the above equation and retrace the steps carried out
for the standard finite-temperature formulation of the Hirsch-Fye algorithm. After
Trotter decomposition and discrete Hubbard Stratonovich transformation we obtain

0 ) *
−ΘH σ σ σ −βhT
ΨT |e |ΨT = lim det 1 + Bm Bm−1 . . . B1 e (10.216)
β→∞
s σ
with m∆τ = Θ. Replacing B1σ by B1σ exp(−βhT ) in (10.192) and following the
steps described for the finite-temperature version, we derive a Dyson equation (omit-
ting spin indices) for the ground-state Green function matrix g0
′σ σ
g0σ = g0′σ + g0′σ ∆(1 − g0σ ) , ∆σ = (eV e−V − 1) , (10.217)
with ⎛ ⎞
G0 (1, 1) G0 (1, 2) . . . G0 (1, m)
⎜ G0 (2, 1) G0 (2, 2) . . . G0 (2, m) ⎟
g0 = ⎜
⎝
⎟
⎠ (10.218)
. . ... .
G0 (m, 1) G0 (m, 2) . . . G0 (m, m)
and
[G0 (n1 , n2 )]i,j

⎧
⎪ Tr[Bm ...Bn1 +1 ai,σ Bn1 ...Bn2 +1 a†j,σ Bn2 ...B1 e−βHT ]
⎪
⎨ if n1 ≥ n2
Tr[Bm ...B1 e−βHT ]
= lim
β→∞ ⎪ a† B ...B +1 ai,σ Bn1 ...B1 e−βHT ]
⎩− [ m n2 +1 j,σ n2 n1−βH
⎪ Tr B ...B
Tr[Bm ...B1 e T]
if n1 < n2
⎧
ΨT |Bm ...Bn1 +1 ai,σ Bn1 ...Bn2 +1 a†j,σ Bn2 ...B1 |ΨT
⎪
⎨ if n1 ≥ n2
ΨT |Bm ...B1 |ΨT
= .
⎪
⎩ ΨT |Bm ...Bn2 +1 a†j,σ Bn2 ...Bn1 +1 ai,σ Bn1 ...B1 |ΨT
− ΨT |Bm ...B1 |ΨT if n1 < n2
(10.219)
As shown for the finite-temperature formulation, the simulation is entirely based

on the Dyson equation. Since this equation also holds for the zero-temperature for-
mulation precisely the same algorithm as in the finite-temperature case can be used.
In Fig. 10.19 we compare both algorithms and consider the double occupancy on
the impurity site. As apparent, the ground-state formulation converges more quickly
to the ground-state expectation value than the finite-temperature formulation.
The projector formulation of the Hirsch-Fye algorithm has been efficiently in-
corporated in the DMFT self-consistent cycle thus offering a route to compute
T = 0 quantities within this framework [81]. Finally we note that diagrammatic
determinantal methods can be extended very easily to projective schemes [82].
Anderson model U/t = 2, V/t = 0.75.
0.12 : T=0
〈 f↑f↑f↓ f↓〉
0.11 : Finite T
†
0.1
†
0.09
0.08
0.001 0.01 0.1 1
1/βt
Fig. 10.19. Comparison between the zero and finite-temperature Hirsch-Fye algorithms for
the symmetric Anderson model, with an 1D density of states
10.9 Selected Applications of the Auxiliary Field Method

The applications of the auxiliary field algorithms to correlated electron systems are
numerous. Here we will only mention a few.
Let us start with the attractive attractive Hubbard model. This model essentially
describes the electron-phonon problem in terms of the Holstein model which in the
anti-adiabatic limit maps onto the attractive Hubbard model [83]. Both models are
free of sign problems in arbitrary dimensions and on arbitrary lattice topologies.
The salient features of those models have been investigated in detail. For instance,
the crossover from long coherence length (BCS) to short coherence length super-
conductors. In the short coherence length limit, a liquid of preformed pairs with
non-Fermi liquid character is apparent above the transition temperature [84, 85].
Furthermore, the disorder driven superfluid to insulator transition has been studied
in the framework of the attractive Hubbard model [86].
Recently, a new class of models of correlated electron models showing no sign
problem has been investigated [69, 87, 88, 89]. Those models have exotic ground
states including phases with circulating currents [56, 89], striped phases [87] as well
as possible realizations of gapless spin liquid phases [56].
A lot of the work using the BSS algorithm is centered around the repulsive
Hubbard model in two dimensions, as well as the three-band Hubbard model of
the CuO2 planes in the cuprates. On the basis of Monte Carlo simulations, it is
now accepted that at half band-filling those models are Mott (charge transfer for the
three-band model) insulators with long-range antiferromagnetic order [61, 90, 91].
In the case of the three band Hubbard model, a minimal set of parameters were
found so as to reproduce experimental findings [92]. The issue of superconductivity
at low doping away from half-filling is still open. General concepts – independent on
the symmetry of the pair wave function and including possible retardation effects –
such as flux quantization and superfluid density have been used to attempt to answer
the above question [93, 94]. Within the algorithmic limitations, no convincing sign
of superconductivity has been found to date.
The nature of the doping induced metal-insulator transition in the 2D Hubbard
model, has attracted considerable interest [95, 96, 97]. In particular it has been ar-
gued that the transition is driven by the divergence of the effective mass rather than
by the vanishing of the number of charge carriers. The origin of such a metal in-
sulator transition is to be found in a very flat dispersion relation around the (π, 0)
and (0, π) points in the Brillouin zone [98, 99]. An extensive review of this topic as
well as a consistent interpretation of the numerical data in terms of a hyper-scaling
Ansatz may be found in [100].
Aspects of the physics of heavy fermion systems have been investigated in the
framework of the 2D periodic Anderson model (PAM) [101] and of the Kondo lat-
tice model (KLM) [55]. It is only recently that a sign free formulation of the KLM
for particle-hole symmetric conduction bands has been put forward [64]. Extensive
calculations both at T = 0 and at finite T allow to investigate the magnetic order-
disorder transition triggered by the competition between the RKKY interaction and
the Kondo effect [55]. Across this quantum phase transition single-hole dynamics
as well as spin excitations were investigated in detail. One can show numerically
that the quasiparticle residue in the vicinity of k = (π, π) tracks the Kondo scale
of the corresponding single impurity problem. This statement is valid both in the
magnetically ordered and disordered phases [102]. This suggest that the coherence
temperature tracks the Kondo scale. Furthermore, the effect of a magnetic field on
the Kondo insulating state was investigated. For the particle-hole symmetric con-
duction band, results show a transition from the Kondo insulator to a canted antifer-
romagnet [103, 104]. Finally, models with regular depletion of localized spins can
be investigated [80]. Within the framework of those models, the typical form of the
resistivity versus temperature can be reproduced.
The most common application of the Hirsch-Fye algorithm is in the framework
of dynamical mean-field theories [77] which map the Hubbard model onto an An-
derson impurity problem supplemented by a self-consistency loop. At each iteration,
the Hirsch-Fye algorithm is used to solve the impurity problem at finite tempera-
ture [76] or at T = 0 [81]. For this particular problem, many competing methods
such as DMRG [105] and NRG [106] are available. In the dynamical mean-field
approximation spatial fluctuations are frozen out. To reintroduce them, one has to
generalize to cluster methods such as the dynamical cluster approximation (DCA)
[107] or cellular-DMFT (CDMFT) [108]. Within those approaches, the complexity
of the problem to solve at each iteration is that of an N -impurity Anderson model
(N corresponds to the cluster size). Generalizations of DMRG and NRG to solve
this problem are difficult. On the other hand, as a function of cluster size the sign
problem in the Hirsch-Fye approach becomes more and more severe but is, in many
instances, still tractable. It however proves to be one of the limiting factors in achiev-
ing large cluster sizes.
10.10 Conclusion
We have discussed in details a variety of algorithms which can broadly be classified
as world-line based or determinantal algorithms. For fermionic models, such as the
Hubbard model, the determinantal QMC algorithm should be employed because of
the reduced sign problem in this formulation. For purely 1D fermion systems and
for spin models the world-line algorithms are available, which have lower autocor-
relations, and better scaling because of their almost linear scaling with system size,
in contrast to the cubic scaling of the determinantal algorithms.
Appendix 10.A The Trotter Decomposition

Given a Hamiltonian of the form
H = H1 + H 2 , (10.220)
the Trotter decomposition states that the imaginary time propagator can be split into
a product of infinitesimal time propagations such that
) *m
e−βH = lim e−∆τ H1 e−∆τ H2 , (10.221)
∆τ →0
where m∆τ = β. For [H1 , H2 ] = 0 and finite values of the time step ∆τ this
introduces a systematic error. In many QMC algorithms we will not take the limit
∆τ → 0, and it is important to understand the order of the systematic error produced
by the above decomposition4. A priori, it is of the order ∆τ . However, in many non-
trivial cases, the prefactor of the error of order ∆τ vanishes [109].
For a time step ∆τ
∆τ 2
e−∆τ (H1 +H2 ) = e−∆τ H1 e−∆τ H2 − [H1 , H2 ] + O(∆τ 3 ) , (10.222)
2
such that
e−∆τ (H−∆τ /2[H1 ,H2 ]) = e−∆τ H1 e−∆τ H2 + O(∆τ 3 ) . (10.223)
We can now exponentiate both sides of the former equation to the power m
) *m
e−β(H−∆τ /2[H1 ,H2 ]) = e−∆τ H1 e−∆τ H2 + O(∆τ 2 ) . (10.224)
The systematic error is now of order ∆τ 2 since in the exponentiation, the systematic
error of order ∆τ 3 occurs m times and m∆τ = β.
To evaluate the left hand side of the above equation we use time dependent
perturbation theory. Let h = h0 + h1 , where h1 is small in comparison to h0 . The
imaginary time propagation in the interacting picture reads
UI (τ ) = eτ h0 e−τ h (10.225)
such that
∂
UI (τ ) = eτ h0 (h0 − h)e−τ h = − eτ h0 h1 e−τ h0 UI (τ )
∂τ
≡hI1 (τ )
= −hI1 (τ )UI (τ ) . (10.226)

Since UI (0) = 1 we can transform the differential equation to an integral one
τ τ
UI (τ ) = 1 − dτ ′ hI1 (τ ′ )UI (τ ′ ) =1− dτ ′ hI1 (τ ′ ) + O(h21 ) . (10.227)
0 0
Returning to (10.224) we can set h0 = H, h1 = −∆τ [H1 , H2 ] /2 and τ = β

to obtain
−∆τ H1 −∆τ H2 m
e e = e−β(H−∆τ [H1 ,H2 ]/2) + O(∆τ 2 )
β
−βH ∆τ
=e + dτ e−(β−τ )H [H1 , H2 ]e−τ H +O(∆τ 2 ) . (10.228)
2
0

≡A
4
For cases where a continuous time formulation is possible see Sect. 10.3.
In the QMC approaches with finite time steps we will compute:

) m * ) *
Tr e−∆τ H1 e−∆τ H2 O Tr e−βH O + ∆τ 2 Tr [AO]
) m * = ∆τ
+ O(∆τ 2 ) , (10.229)
Tr (e−∆τ H1 e−∆τ H2 ) Tr [e −βH ] + 2 Tr [A]
where O = O† is an observable. We now show that A is an anti-Hermitian operator
β
†
A =− dτ e−τ H [H1 , H2 ]e−(β−τ )H
0
0
′ ′
= dτ ′ e−(β−τ )H
[H1 , H2 ]e−τ H
= −A , (10.230)
β
′
) † * τ = β − τ Since A is an anti-Hermitian
where we have carried out the substitution
operator it follows that Tr [A] = Tr A = −Tr [A] as well as Tr [AO] = −Tr [AO].
Recall that the observable O is a Hermitian operator. Thus, if O, H1 and H2 are
simultaneously real representable in a given basis, the systematic error proportional
to ∆τ vanishes since in this case the trace is real. Hence the systematic error is of
order ∆τ 2 .
Clearly there are other choices of the Trotter decomposition which irrespective
of the properties of H1 , H2 and O yield systematic errors of the order ∆τ 2 . For
example we mention the symmetric decomposition
e−∆τ (H1 +H2 ) = e−∆τ H1 /2 e−∆τ H1 e−∆τ H2 /2 + O∆τ 3 . (10.231)
However, in many cases higher order decompositions are cumbersome and numeri-
cally expensive to implement.
Appendix 10.B The Hubbard-Stratonovich Decomposition
Auxiliary field QMC methods are based on various forms of the Hubbard-Stratono-
vich (HS) decomposition. This transformation is not unique. The efficiency of the
algorithm as well as of the sampling scheme depends substantially on the type of
HS transformation one uses. In this appendix we will review some aspects of the HS
transformation with emphasis on its application to the auxiliary field QMC method.
The generic HS transformation is based on the Gaussian integral

+∞
√
2
dφe−(φ+A) /2 = 2π , (10.232)
−∞
which may be rewritten as


+∞
A2 /2 1 2
e = √ dφe−φ /2−φA . (10.233)
2π
−∞
Hence, if A is a one-body operator, the two-body operator exp(A2 /2), can be trans-
formed into the integral of single-body operators interacting with a bosonic field φ.
The importance of this identity in the Monte Carlo approach lies in the fact that for
a fixed field φ the one-body problem is exactly solvable. The integral over the field
φ can then be carried out with Monte Carlo methods. However, the Monte Carlo
integration over a continuous field is much more cumbersome than the sum over a
discrete field.
Let us consider for example the Hubbard interaction for a single site
HU = U (n↑ − 12 )(n↓ − 21 ) . (10.234)
Here, nσ = c†σ cσ where c†σ are spin 1/2 fermionic operators. In the Monte Carlo
approach after Trotter decomposition of the kinetic and interaction term, we will
have to compute exp(−∆τ HU ). Since,
U U
HU = − (n↑ − n↓ )2 + (10.235)
2 4
2
we can set A2 = ∆τ U (n↑ − n↓ ) and use (10.233) to compute exp(−∆τ HU ).
There are, however, more efficient ways of carrying out the transformation which
are based on the fact that the Hilbert space for a single site consists of four states
|0, | ↑, | ↓ and | ↑, ↓. Let us propose the identity

e−∆τ HU = γ eαs(n↑ −n↓ ) (10.236)
s=±1
and see if it is possible to find values of α and γ to satisfy it on the single site Hilbert
space. Applying each state vector on both sides of the equation yields
e−∆τ U/4 |0 = 2γ|0

e−∆τ U/4 | ↑↓ = 2γ| ↑↓
e∆τ U/4 | ↑ = 2γ cosh(α)| ↑
e∆τ U/4 | ↓ = 2γ cosh(α)| ↓ . (10.237)
Hence (10.236) is satisfied provided that

1 −∆τ U/4
γ= e ,
2
cosh(α) = e∆τ U/2 . (10.238)
This choice of HS transformation leads to an efficient Monte Carlo algorithm for

Hubbard type models. However, as apparent it breaks SU (2) spin symmetry. Since
the HS field s couples to the z-component of the magnetization the spin symmetry
is broken for a fixed value of the field and is restored only after summation over
the field. To avoid this symmetry breaking, one can consider alternative HS trans-
formations which couple to the density. In the same manner as above, we can show
that
e−∆τ HU = #γ ei#αs(n↑ +n↓ −1) , (10.239)
s=±1
where cos(# α) = exp(−∆τ U/2) and γ # = exp(∆τ U/4)/2. Clearly, this choice of
the HS transformation conserves the SU (2) spin symmetry for each realization of
the field. However, this comes at the price that one needs to work with complex
numbers. It turns out that when the sign problem is absent, the above choice of the
HS transformation yields in general more efficient codes.
We conclude this appendix with a general discrete HS transformation which
replaces (10.233). For small time steps ∆τ we have the identity
2 √
e∆τ λA = γ(l)e ∆τ λη(l)O + O(∆τ 4 ) , (10.240)
l=±1,±2
where the fields η and γ take the values

√
γ(±1) = 1 + 6/3 ,
√
γ(±2) = 1 − 6/3 ,
4
√
η(±1) = ± 2 3 − 6 ,
4
√
η(±2) = ± 2 3 + 6 . (10.241)
This transformation is not exact and produces an overall systematic error pro-
portional to ∆τ 3 in the Monte Carlo estimate of an observable. However, since we
already have a systematic error proportional to ∆τ 2 from the Trotter decomposi-
tion, the transformation is as good as exact. It also has the great advantage of being
discrete thus allowing efficient sampling.
Appendix 10.C Slater Determinants and their Properties

In this appendix, we review the properties of Slater determinants required for the
formulation of auxiliary field QMC algorithms. Consider a single-particle Hamilto-
nian of the form
H0 = c†x [h0 ]x,y cy , (10.242)
x,y
where h0 is a Hermitian matrix, {c†x , cy } = δx,y , {c†x , c†y } = 0, and x runs over the
Ns single-particle states. Since h0 is Hermitian, we can find an unitary matrix U
such that U † h0 U = λ, where λ is a diagonal matrix. Hence,

H0 = λx,x γx† γx ,
x

†
γx = Ux,y cy ,
y

γx† = c†y Uy,x . (10.243)
y
? U is an
Since @ the γ operators satisfy the commutation re-
@ unitary transformation
?
lations γx† , γy = δx,y , and γx† , γy† = 0. An Np -particle eigenstate of the Hamil-
tonian H0 is characterized by the occupation of Np single-particle levels, α1 . . . αNp
and is given by
Np
Np
†
0 0 †
γα† 1 γα† 2 . . . γN p
|0 = c†x Ux,αn |0 = c P n |0 . (10.244)
n=1 x n=1
In the last equation P denotes an rectangular matrix with Ns rows and Np

columns. The last equation defines the Slater determinant. The Slater determinant is
a solution of a single-particle Hamiltonian, and is completely characterized by the
rectangular matrix P .
We will now concentrate on the properties of Slater determinants. The first im-
portant property is that
Np Np
† 0 † 0 † T
Tc
ec c P n |0 = c e P n |0 . (10.245)
n=1 n=1
The propagation of a Slater determinant with a single-particle propagator

exp[c† T c] is a Slater determinant. We will show the above under the assumption
that T is a Hermitian or anti-Hermitian matrix. It is useful to go into a basis where
T is diagonal U † T U = λ. U is an unitary matrix and λ a real (purely imaginary)
diagonal matrix provided that T is Hermitian (anti-Hermitian). Thus we can define
the fermionic operators γ † = c† U to obtain
Np Np
0 † 0 †
c† T c γ † λγ
e c P n |0 = e γ U P n |0
n=1 n=1

λx,x γ †x γ x †
= e x γy1 . . . γy†Np |0 (U P )y1 ,1 . . . (U P )yNp ,Np
y1 ,...,yNp
λyN
= eλy1 ,y1 γy†1 . . . e p
,yN
p γy†Np |0 (U P )y1 ,1 . . . (U P )yNp ,Np
y1 ,...,yNp
Np Np Np
0 † λ 0 † † λ 0 † T
= γ e U P n |0 = c U e U P n |0 = c e P n |0 .
n=1 n=1 n=1
(10.246)
The second property we will need, is the overlap of two slater determinants. Let
Np
0 †
|Ψ = c P n |0 ,
n=1
Np
0
|Ψ# = c† P# |0 , (10.247)
n
n=1
then
!
Ψ |Ψ# = det P † P# . (10.248)
The above follows from

1 Np
0 † 0
Ψ |Ψ# = 0| P c n c† P# |0
n
#
n=Np n
# =1

= PN† p ,yNp. . . P1,y
†
P##1 ,1 . . . P#y#Np ,Np 0|cyNp . . . cy1 c†y#1 . . . c†y#N |0 .
1 y p
y1 ,...yNp
y
#1 ...#yNp
(10.249)
The matrix element in the above equation does not vanish provided that all the
yi , i : 1 . . . Np take different values and that there is a permutation π , of Np numbers
such that
y#i = yπ(i) . (10.250)
Under those conditions, the matrix element is nothing but the sign of the permu-
tation (−1)π . Hence,

Ψ |Ψ# = |c†y1 . . . c†yNp |0|2
y1 ,...yNp
π
× (−1) PN† p ,yNp . . . P1,y
†
P#
1 yπ(1) ,1
. . . P#yπ(Np ) ,Np .
πǫSNp
(10.251)
In the above, we have explicitly included the matrix element |c†y1 . . . c†yNp |0|2 to
insure that terms in the sum with yi = yj do not contribute since under this as-
sumption the matrix element vanishes due to the Pauli principle. We can however
omit this term since the sum over permutations will guarantee that if yi = yj
π
for any i = j then πǫSNp (−1) PN† p ,yNp . . . P1,y
†
P#
1 yπ(1) ,1
. . . P#yπ(Np ) ,Np van-
ishes. Consider for example Np = 2 and y1 = y2 = x then the sum reduces to
† † # π
P2,x P1,x Px,1 P#x,2 πǫS2 (−1) = 0 since the sum over the sign of the permuta-
tions vanishes.
With the above observation

Ψ |Ψ# = (−1)π PN† p ,yNp . . . P1,y
†
P#
1 yπ(1) ,1
. . . P#yπ(Np ) ,Np
y1 ,...yNp
πǫSNp
−1
= (−1)π PN† p ,yNp . . . P1,y
†
P# −1 (1) . . . P#yNp ,π−1 (Np )
1 y1 ,π
y1 ,...yNp
πǫSNp

!
π
= (−1) P † P# . . . P † P# = det P † P# .
1,π(1) Np ,π(Np )
πǫSNp
(10.252)
Finally, we will need to establish the relation
† † †
! ) *
Tr ec T1 c ec T2 c . . . ec Tn c = det 1 + eT1 eT2 . . . eTn , (10.253)
where the trace is over the Fock space. To verify the validity of the above equation,
† † †
let us set B = eT1 eT2 . . . eTn and U = ec T1 c ec T2 c . . . ec Tn c .
det (1 + B)

= (−1)π 1 + Bπ(1),1 . . . 1 + Bπ(Ns ),Ns
πǫSNs

= (−1)π δ1,π(1) . . . δNs ,π(Ns )
πǫSNs

+ (−1)π Bπ(x),x δ1,π(1) . . . δ
x,π(x) . . . δNs ,π(Ns )
x πǫSNs

+ (−1)π Bπ(x),x Bπ(y),y
y>x πǫSNs
×δ1,π(1) . . . δ
x,π(x) . . . δy,π(y) . . . δNs ,π(Ns )

+ (−1)π Bπ(x),x Bπ(y),y Bπ(z),z
y>x>z πǫSNs
×δ1,π(1) . . . δ
x,π(x) . . . δy,π(y) . . . δz,π(z) . . . δNs ,π(Ns ) + . . . . (10.254)
ANs
Here, δy,π(y) means that this term is omitted in the product δx,π(x) . To
x=1
proceed, let us consider in more details the second term starting with y>x in the
last equality. Due to the δ-functions the sum over the permutation of Ns numbers
reduces to two terms, namely the unit permutation and the transposition π(x) = x
and π(y) = y. Let us define the P (x,y) as a rectangular matrix of dimension Ns × 2,
with entries of the first (second) column set to one at row x (y) and zero otherwise.
Hence, we can write

(−1)π Bπ(x),x Bπ(y),y δ1,π(1) . . . δ
x,π(x) . . . δy,π(y) . . . δNs ,π(Ns )
πǫSNs
!
= det P (x,y),† BP (x,y) = 0|cx cy U c†y c†x |0 , (10.255)
where in the last equation we have used the properties of (10.248) and (10.245).
Repeating the same argument for different terms we obtain
det (1 + B)

=1+ 0|cx U c†x |0 + 0|cx cy U c†y c†x |0
x y>x

+ 0|cx cy cz U c†z c†y c†x |0 + . . . = Tr [U ] . (10.256)
y>x>z
This concludes the demonstration of (10.253).
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11 Autocorrelations in Quantum Monte Carlo
Simulations of Electron-Phonon Models
Martin Hohenadler1 and Thomas C. Lang2

1
Theory of Condensed Matter, Cavendish Laboratory, University of Cambridge,
Cambridge CB3 0HE, United Kingdom
2
Institut für Theoretische Physik und Astrophysik, Universität Würzburg, 97074
Würzburg, Germany
The problem of autocorrelations in quantum Monte Carlo simulations of electron-

phonon models is analysed for different algorithms in the framework of the Holstein
model. By revisiting several cases found in the literature, it is demonstrated that
neglecting autocorrelations can lead to an underestimation of statistical errors by
orders of magnitude and hence to incorrect results. A modified algorithm for certain
Holstein-type models, free of any autocorrelations, is discussed.
11.1 Introduction
The interaction of electrons with lattice degrees of freedom plays an important role
in many materials, including conventional and high-temperature superconductors,
colossal-magnetoresistance manganites, and low-dimensional nanostructures. Over
more than two decades, lattice and continuum quantum Monte Carlo (QMC) sim-
ulations have proved to be a highly valuable tool to investigate the properties of
coupled fermion-boson models in condensed matter theory.
Despite the recent development of other numerical methods (e.g., the density
matrix renormalization group, see Part IX, QMC approaches remain in the focus
of research due to their versatility. Especially in the early days of computational
physics, they outperformed alternative memory-consumptive methods, and this of-
ten remains true today, e.g., in more than one dimension or at finite temperature.
Apart from stand-alone applications, QMC algorithms also serve as solvers in the
context of cluster methods (see Chap. 16). Finally, they represent the most reliable
techniques for several classes of problems, e.g., three-dimensional (3D) spin sys-
tems (see Chap. 10).
A general introduction to the concepts common to many QMC methods has
been given in Chap. 10. In this chapter, we focus on the issue of autocorrelations,
which turns out to be of particular importance in the case of coupled fermion-boson
models due to the different physical time scales involved, and the resulting problems
in finding appropriate updating schemes. Quite disturbingly, some recent as well as
early work seems to be unaware of the problem. To illustrate this point, we re-
enact some specific QMC studies from the literature using the same methods, and
demonstrate that statistical errors are severely underestimated if autocorrelations are
neglected.
M. Hohenadler and T. C. Lang: Autocorrelations in Quantum Monte Carlo Simulations of Electron-Phonon Models,
Lect. Notes Phys. 739, 357–366 (2008)
358 M. Hohenadler and T. C. Lang
This chapter is organized as follows. In Sect. 11.2, we introduce the model con-
sidered, and Sect. 11.3 gives a brief description of the algorithms used. Numerical
evidence for the problem of autocorrelations is presented in Sect. 11.4, whereas
their origin and a possible solution are the topic of Sect. 11.5. We end with our
conclusions in Sect. 11.6.
11.2 Holstein Model
We consider the Holstein model which is defined by the Hamiltonian

† ω0 2
H = −t ci,σ cj,σ + ( 2i ) − α
pi + x n
i,σ x
i . (11.1)
2 i i,σ
i,jσ

Here c†i,σ creates an electron with spin σ at site i, and n
i = σ n i,σ with n
i,σ =
c†i,σ ci,σ . The phonon degrees of freedom at site i are described by the momentum
pi and coordinate (displacement) x i of a harmonic oscillator. The model parameters
are the nearest-neighbor hopping amplitude t, the Einstein phonon frequency ω0 and
the electron-phonon coupling α. We shall also refer to the spinless Holstein model,
which can be obtained from (11.1) by dropping spin indices and sums over σ. We
consider D-dimensional lattices with V = N D sites and periodic boundary con-
ditions. A useful dimensionless coupling constant is λ = α2 /(ω0 W ) = 2EP /W ,
where W = 4tD and EP denote the free bandwidth and the polaron binding energy,
respectively.
The Holstein model provides a framework to study numerous problems associ-
ated with electron-phonon interaction, such as polaron formation, superconductivity
or charge-density-wave formation. Besides, more complicated models such as the
Holstein-Hubbard model share the same structure of the phonon degrees of freedom
and the electron-phonon interaction, so that the following discussion in principle
applies to a wider range of problems.
11.3 Numerical Methods
To set the stage for the discussion of autocorrelations, we provide here a brief sum-
mary of the most important details of the different QMC algorithms employed. For
details we refer the reader to [1, 2] and Chap. 10.
11.3.1 One-Electron Method
For the one-electron case (the polaron problem), we make use of the world-
line method originally proposed in [3, 4]. Dividing the imaginary-time axis [0, β]
(β = (kB T )−1 is the inverse temperature) into intervals of length ∆τ = β/L ≪ 1
11 Autocorrelations in QMC Simulations of Electron-Phonon Models 359
according to the Suzuki-Trotter approximation (see Chap. 10), the result for the
fermionic3 partition function reads
L L
0
F (τ −τ ′ )δrτ ,r
Zf,L = wf ({r τ }) , wf ({rτ }) = e τ,τ ′ =1 τ′ I(r τ +1 − r τ ) ,
{r τ } τ =1
(11.2)
with the fermionic weight wf . The fermion world-lines, specified by a position vec-
tor r τ on each time slice,4 are subject to periodic boundary conditions both in real
space and imaginary time, and the sum in (11.2) is over all allowed configurations.
The retarded electron (self-)interaction due to electron-phonon coupling is de-
scribed by the memory function
L−1
ω0 ∆τ 3 α2 cos(2πτ ν/L)
F (τ ) = , (11.3)
4L ν=0
1 − cos(2πν/L) + (ω0 ∆τ )2 /2
whereas electron hopping is manifest in the Fourier-transformed lattice propagator

1 D
I(r) = cos(k · r) e2∆τ t ζ=1 cos kζ . (11.4)
V
k
The system described by the partition function (11.2) is characterized by an

additional dimension (imaginary time), as well as by a complicated retarded (i.e.,
non-local in imaginary time) interaction. As first shown in [3], it may be simulated
by means of Markov Chain MC in combination with the Metropolis algorithm [5].
The updating consists in choosing a random time slice τ0 ∈ [1, L] and a random
spatial component ζ0 ∈ [1, D], and proposing a local change rτ′ 0 ,ζ0 = rτ0 ,ζ0 ± 1,
which is to be accepted with probability min[1, wf (r ′τ )/wf (r τ )].
11.3.2 Many-Electron Method
A frequently used method for simulations of many-electron systems is the grand-

canonical determinant QMC method [2], introduced for interacting fermions in
Chap. 10. The corresponding grand-canonical Hamiltonian reads H − μ i,σ n i,σ ,
where μ denotes the chemical potential. For the Holstein model, the integration over
the fermionic degrees of freedom can be done exactly, whereas for the Holstein-
Hubbard model with electron-electron interaction it is done by means of MC sam-
pling over Hubbard-Stratonovitch fields (see Chap. 10).
In the original approach of [2], the Trotter approximation to the partition func-
tion reads
3
The bosonic part can be calculated exactly [4] and is therefore not considered.
4
We use bold symbols to indicate the vector character of a quantity. The exact definition of
the components should be clear from the context.
0 L
0
σ σ
ZL = const. Dx det (1 + e−∆τ K e−∆τ I ({xτ }) e−∆τ Sb ({xτ }) ,
σ τ =1

wf ({xτ }) wb ({xτ })
(11.5)
σ σ
with K , I denoting the matrix representations of the spin-σ component of the
first respectively last term (including the minus signs) in Hamiltonian (11.1).
The bosonic action is given by
L
V
L
ω0 1 2
Sb ({xτ }) = x2i,τ + (xi,τ − xi,τ +1 ) = xTi A xi .
i=1 τ =1
2 2ω0 ∆τ 2 i=1
(11.6)
Here the sampling is over all possible phonon configurations {xτ } of the bosonic
degrees of freedom. In the simplest approach, we select a random time slice
τ0 ∈ [1, L] and a random lattice site i0 ∈ [1, V ], and propose a modified phonon
configuration x′i0 ,τ0 = xi0 ,τ0 ± δx. The latter is then accepted with probability
min[1, wf ({x′τ })wb ({x′τ })/wf ({xτ })wb ({xτ })]. The change δx is determined by
requiring a reasonable acceptance rate. An improved (global) updating scheme will
be discussed below.
11.4 Problem of Autocorrelations

We now come to a discussion of autocorrelations, which are analyzed using the
binning and Jackknife methods introduced in Chap. 4. As shown in there, the inte-
grated autocorrelation time τO,int associated with an observable O can be estimated
by plotting the statistical error as obtained from a binning/Jackknife analysis as a
function of binsize k, and deducing the binsize required for “saturation”. The in-
crease of the error with increasing k demonstrates the fact that unjustified neglect of
autocorrelations leads to an underestimation of errors and hence to incorrect results.
Explicitly, the statistical error ∆O for a given number of (correlated) measurements
Nmeas increases with τO,int as (∆O)2 ∝ 2τO,int /Nmeas .
11.4.1 One-Electron Case
As a specific case, we consider world-line simulations of the Holstein polaron, i.e.,

the Hamiltonian (11.1) with a single electron. This problem has first been studied
by means of QMC in [3]. The same method has also been used in [6] as well as
in [7], and its generalizations represent a versatile tool for studies of more general
systems with one or two fermions. In [3, 6], the authors skipped L (the number of
time slices) steps between successive measurements.
We take λ = 1, close to the critical coupling where the small-polaron crossover
occurs in the adiabatic regime [8], leading to the occurrence of critical slowing down
0.8
ΔEf(k) / ΔEf(kmax)
0.6
0.4
1D,ω0/t = 1.0, Δτ = 0.16, Nskip = 32
0.2 3D,ω0/t = 1.0, Δτ = 0.16, Nskip = 32
2D,ω0/t = 0.1, Δτ = 0.05, Nskip = 300
0
11 0 100 1000 10000
binsize k
Fig. 11.1. Statistical error of the fermionic total energy Ef as a function of binsize k, normal-
ized to the result for the maximum binsize, obtained with the world-line method [4]. Results
are for the Holstein model with one electron, N = 32 and λ = 1
for ω0 /t 1 [7]. To compare with [4], we choose the same parameters βt = 5,

L = 32, N = 32 and ω0 /t = 1.
In Fig. 11.1, we show results for the statistical error of the fermionic contribution
to the total energy5 as obtained from a binning analysis with variable binsize k.
The uncertainty of the binning error increases with decreasing binsize, leading to
fluctuations. Note the logarithmic scale on the abscissa.
Skipping Nskip = L = 32 steps between measurements, we find for the 1D case
that the statistical error increases roughly by a factor of 7, i.e., it is substantially
larger than the estimate obtained from binning with k = 1, which corresponds to
the usual procedure to calculate statistical errors from uncorrelated data.
The situation is slightly worse in three dimensions, with the real error being
again about an order of magnitude larger. This may be related to the local updating,
as the relative difference between two entire successive world-line configurations is
smaller in higher dimensions if only a single coordinate rτ0 ,ζ0 is changed.
Finally, we also consider the more demanding 2D case of low temperature βt =
15 and small phonon frequency ω0 /t = 0.1, which has been studied using the same
method in [6, 7]. As discussed below, the smaller values of ω0 and ∆τ give rise
to substantially longer autocorrelation times. Indeed, despite the larger number of
skipped steps Nskip = L = 300, convergence of the statistical error is slower as a
function of k.
An alternative algorithm free of autocorrelations, which can also be applied to
the many-electron case, has been proposed in [9] and will be discussed in Sect. 11.5.
11.4.2 Many-Electron Case

It is important to point out that the occurrence of long autocorrelation times is
not restricted to the one-electron case. The problem is at least as serious for the
5
Autocorrelation times are similar for other observables.
two-electron model [7], and accurate simulations in the many-electron case turn out
to be unfeasible in many cases [10] due to autocorrelations times exceeding 104 MC
steps.
To illustrate this point, we consider two parameter sets for the Holstein model at
half filling (one electron per lattice site), representative of the work in [11] and [12].
We use the finite-temperature determinant QMC method, although the results of [11]
have been obtained using the projector method (see Chap. 10; autocorrelation times
are usually comparable). Owing to the substantially larger computational effort as
compared to one-electron calculations, we were not able to obtain converged results.
Therefore, and to compare different parameters, we show in Fig. 11.2 the statistical
error of the bosonic energy Eb = (ω0 /2) i ( p2i + x2i ), normalized to the error
for binsize k = 1. The definition of λ in terms of the coupling constant g used in
[11, 12] reads λ = 2g 2 /(ω0 W ), and we have used Nskip = 1.
The strong increase of statistical errors as a function of binsize in Fig. 11.2 illus-
trates the substantial autocorrelations in such simulations. No saturation can be seen
in our data even for the largest binsize k > 104 shown (cf Fig. 11.1) and, in contrast
to the world-line method of Sect. 11.3, skipping thousands of steps is usually not
practicable in the many-electron case. In our opinion, this suggests that reliable re-
sults for the Holstein model in the many-electron case are extremely challenging to
obtain using the determinant QMC method, and the situation becomes even worse
for ω0 /t < 1. Similar conclusions can be drawn about the spinless Holstein model,
models with phonon modes of different symmetry [10], as well as Holstein-Hubbard
models with local and/or non-local Coulomb interaction [13].
Despite these difficulties, some early work [12] as well as more recent pa-
pers, e.g., [11, 14], seem to be unaware of this problem. This issue becomes even
more critical if dynamical quantities such as the one-electron spectral function are
1D, N = 38, λ = 0.50, Δτ = 0.1

4 2D, N = 4 , λ = 0.25, Δτ = 0.125
ΔEb(k) / ΔEb(1)
1
1 0 100 1000 10000
binsize k
Fig. 11.2. Statistical error of the bosonic energy Eb as a function of binsize k, normalized
to the result for k = 1, obtained with the determinant QMC method [2]. Results are for the
Holstein model at half filling n = 1, βt = 10 and ω0 /t = 1. Errorbars are not shown
calculated. The reason lies in the necessity to perform an analytical continuation to

real frequencies, which turns out to be an extremely ill-conditioned problem (see
Chap. 12) whose solution – obtained for example by the Maximum Entropy method
[15, 16] – depends crucially on the statistical noise of the input data (the imaginary-
time Green function). Any underestimation of errors, or the neglect of significant
autocorrelations between measurements on different time slices can lead to incor-
rect results. Furthermore, meaningful statistical errors for dynamical properties are
difficult to obtain, and are often not reported at all.
11.5 Origin of Autocorrelations and Principal Components

To understand the problem and to find solutions, it is instructive to look at the physi-
cal origin of autocorrelations in more detail [9]. To this end, let us consider
& the non-
interacting limit (t = α = 0), in which the partition function ZL ∼ Dx e−∆τ Sb .
As discussed in [17], the difficulties encountered in QMC simulations, even for
the simple case of a single (N = 1) quantum-mechanical harmonic oscillator, re-
sult from the large condition number (the ratio of largest to smallest eigenvalue)
of the matrix A in the bosonic action Sb (11.6). For ∆τ ≪ 1, this number scales
as (ω0 ∆τ )−2 [17], causing autocorrelation times to grow quadratically with de-
creasing phonon frequency or increasing number of Trotter slices L. This is very
unfortunate, as small phonon frequencies are frequently encountered in materials of
interest, and small values of ∆τ are desirable to control the Trotter error.
The physical reason for these correlations becomes obvious if we look at the
free bosonic action (11.6), which is proportional to the energy of a given phonon
configuration. The first term of Sb corresponds to the kinetic energy of the oscilla-
tors, and the second term describes a coupling in imaginary time – a pure quantum-
mechanical effect. Due to this interaction, a large change of a single phonon de-
gree of freedom, xi0 ,τ0 say, is very unlikely to be accepted due to the associated
large energy change ∼ (ω0 ∆τ )−1 . However, using only small changes ∆x, suc-
cessive phonon configurations will be highly correlated. This behavior carries over
to the interacting case with one or many electrons, as well as to more general
models.
The situation is not completely obvious for the world-line algorithm, because
the phonon degrees of freedom are integrated out analytically. However, the retarded
self-interaction entering simulations in terms of F (τ ) (11.3) gives rise to the same
problem. Moreover, for large α (strong coupling), electronic hopping becomes very
unlikely (F (τ ) ∼ α2 ), causing the acceptance rate to approach zero and thus again
giving rise to autocorrelations.6 The situation is expected to be slightly better for the
continuous-time variant of the algorithm [18] because hopping events may occur at
arbitrary points in imaginary time.
6
In the world-line algorithm, the discrete step size used for updates cannot be reduced
below one lattice constant.
We now discuss a solution for the problem of autocorrelations in simulations of

certain Holstein-type models. It is based on a transformation of the bosonic action
to a so-called principal-component representation [9], which is obtained by writing
V
V
V

Sb = xTi A xi = xTi A1/2 A1/2 xi = ξTi · ξ i , ξ i = A1/2 xi , (11.7)
i=1 i=1 i=1
with the aforementioned L×L matrix A, and the principal components ξ, in terms of
which Sb becomes diagonal. Using this representation,
the bosonic weight reduces
to a Gaussian distribution, wb = exp(−∆τ i ξ Ti · ξi ). For α = 0, sampling can be
done exactly in terms of the new variables ξi,τ using the Box-Muller method [19].
To further illustrate the origin of autocorrelations, as well as the transformation
to principal components, we show in Fig. 11.3(a) a schematic representation of the
distribution of values for a pair (p, p′ ) of two phonon momenta (shaded area). The
elongated shape originates from the strong correlations mediated by Sb , and requires
a transition A → B between two points in phase space to be performed in many
small steps, leading in turn to long autocorrelation times.
In contrast, the axes of the principal components ξ, ξ ′ in Fig. 11.3(b) lie along
the axes of the ellipse, and a single MC update of ξ ′ is sufficient to get from A to B.
Although we have sketched the more general case, the distribution after the exact
transformation (11.7) – under which wb becomes a Gaussian – is actually circular
in the new variables ξ, ξ ′ (dashed line in Fig. 11.3(b)).
Whereas exact sampling without autocorrelations is straightforward in the non-
interacting case α = 0, the dependence of wf on the phonon coordinates xi,τ for
α > 0 does not permit a simple separation of bosonic and fermionic contributions
in the updating process. Therefore, it has been proposed [9] to base the QMC algo-
rithm on the Lang-Firsov transformed Hamiltonian, which has no explicit coupling
of x to electronic degrees of freedom. To this end, it is advantageous to sample the
phonon momenta p instead of x, as the former depend only weakly on the elec-
tronic degrees of freedom [9], which enables us to treat the fermionic weight wf
(a) p (b)
ξ B
B ξ’
p’
A
A
Fig. 11.3. Schematic illustration of the transformation from phonon momenta p, p′ to princi-
pal components ξ, ξ ′ (see text)
as a part of the observables, and renders the MC sampling exact and rejection-free
(every new configuration is accepted). Consequently, we avoid a warm-up phase,
autocorrelations and the computationally expensive evaluation of wf in the updating
process.
The method outlined here has been successfully applied to the polaron [9, 20],
bipolaron [21], and the (spinless) many-polaron problem [22]. Unfortunately, at-
tempts to generalize this approach to the Holstein-Hubbard model, or the spinful
Holstein model, have not been successful [13]. Although the Lang-Firsov transfor-
mation improves the sampling of phonon configurations via principal components,
the complex phase in the transformed hopping term [9] induces a severe sign prob-
lem [13, 22]. Despite encouraging acceptance rates, this global updating scheme
does not permit reliable statements concerning a possible decrease of autocorrela-
tion times.
11.6 Conclusions
By revisiting several QMC studies of Holstein models carried out in the past we
have illustrated the severe problem of autocorrelations in simulations of electron-
phonon models, in accordance with [10]. In particular, we have shown that statisti-
cal errors can be underestimated by orders of magnitude if autocorrelations are ne-
glected. This is particularly dangerous when calculating dynamic properties using,
e.g., Maximum Entropy methods, where meaningful errorbars can usually not be
obtained, introducing substantial uncertainties into the results. Long autocorrelation
times can also lead to critical slowing down as well as non-ergodic sampling during
finite-time MC runs – both phenomena being additional sources for underestimated
statistical errors – thereby also affecting the expectation values of observables.
Similar to the infamous minus-sign problem (see Chap. 10), autocorrelations
in QMC simulations seem to result from the fact that one is dealing with an ill-
conditioned physical problem. As a consequence, their appearance is not restricted
to the Holstein-type models considered here (see Chap. 10), or the particular QMC
methods employed. Besides, autocorrelations even occur in simulations of classical
systems (Chap. 4), although the problem is usually not as substantial as for coupled
fermion-boson systems. This general observation strongly suggests that great care
has to be taken when performing any MC simulations in order to avoid incorrect
results.
Significant advances in terms of efficiency and applicability can be achieved by
constructing a physically motivated global updating scheme. One such possibility
has been presented here in terms of a transformation to principal components. How-
ever, a general solution to overcome the problem of autocorrelations in simulations
of electron-phonon models is not yet known.
Acknowledgements
MH acknowledges financial support by the Austrian Science Fund (FWF) through

the Erwin-Schrödinger Grant No J2583. We thank Pavel Kornilovitch for useful
discussion.
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12 Diagrammatic Monte Carlo and Stochastic
Optimization Methods for Complex Composite
Objects in Macroscopic Baths
A. S. Mishchenko
CREST, Japan Science and Technology Agency, AIST, 1-1-1, Higashi, Tsukuba
305-8562, Japan
Russian Research Center Kurchatov Institute, 123182 Moscow, Russia
We give an introduction to the Diagrammatic Monte Carlo method, which provides

an efficient numerical scheme for the approximation-free calculation of Matsubara
Green functions and correlation functions in imaginary time. The analytic contin-
uation from imaginary times to real frequencies is performed by a stochastic opti-
mization procedure.
12.1 Introduction
Many physical problems can be reduced to a system of one or a few complex objects
(CO) interacting with each other and with a macroscopic bosonic bath. The state of
such a CO, in general, is defined by a diverse set of quantum numbers, which change
when excitations of the bosonic bath are emitted and annihilated, or when two COs
interact. Despite the varying physical meaning of the COs quantum numbers in dif-
ferent physical systems the typical Hamiltonians for a broad range of problems look
very similar, and, thus, similar methods can be applied for their solution.
Historically, the most famous problem treated in the above framework is that of
a polaron, i.e. of an electron coupled to phonons (see [1, 2] for an introduction).
In the initial formulation a bare quasi particle (QP)1 has no internal structure, i.e.
internal quantum numbers, and it is characterized only by the translational quan-
tum number – the momentum – which changes due to the interaction of the QP with
phonons [3, 4]. Hence, in terms of the above definition, the polaron is not a CO since
the quasimomentum completely defines its quantum state and there are no other
quantum numbers determining the internal state of the QP. However, the polaron
concept can be generalized to include additional internal degrees of freedom, which
change their quantum numbers due to the interaction with the environment. Exam-
ples are the Jahn-Teller polaron, where the electron-phonon interaction changes the
quantum numbers of degenerate electronic states [5, 6], and the pseudo Jahn-Teller
(PJT) polaron, where electron-phonon interaction leads to transitions between elec-
tronic levels that are close in energy [7, 8]. Note, that for a CO, in addition to the
quasimomentum, some internal quantum numbers are required to define the state
1
In general, a QP is defined as an elementary excitation whose energy separation from the
ground state is larger than the energy broadening due to decay.
A. S. Mishchenko: Diagrammatic Monte Carlo and Stochastic Optimization Methods for Complex Composite Objects
in Macroscopic Baths, Lect. Notes Phys. 739, 367–395 (2008)
368 A. S. Mishchenko
of the system. A further generalization is a system of several COs interacting both

with each other and the environment. For example, the effective interaction of two
electrons through exchange by phonons can overcome the Coulomb repulsion and
lead to the formation of a bound state, the bipolaron [9, 10, 11, 12]. Furthermore the
attraction of a hole and an electron, both additionally coupled to lattice vibrations
[13, 14, 15], may result in a variety of qualitatively different objects: Localized ex-
citons, weakly bound pairs of a localized hole and a localized electron, etc. [16, 17].
Extending the meaning of what is called the particle and the environment and
how they interact with each other, later on the polaron concept was applied to a
broad variety of other phenomena. An example is the problem of a hole moving in
an antiferromagnet background. Here the hole movement is accompanied by spin
flips which, within spin wave approximation, are equivalent to the creation and an-
nihilation of bosonic excitations – the magnons [18, 19]. Finally, let us consider a
complex system which, in contrast to all previous examples, is not derived from a
translationally invariant QP: The physics of the decoherence of a qubit, which is so
notorious in the race to implement a quantum computer, can be formulated in terms
of a two-level system coupled to a spectrum of bosonic excitations [20, 21]. Even
though the problem has a completely different physical meaning its Hamiltonian is
similar to those encountered in the examples above. Hence, the problem can solved
with the same methods.
A particularly challenging class of problems are the strongly correlated systems.
Here a bare CO and a bosonic bath are seldom well defined. Experimentally the re-
sponse to a given momentum transfer is a broad distribution of the energy transfers,
and a proper dispersion relation of the elementary excitations is hard to define or
may not exist at all. One of the possible reasons for the ambiguity of the dispersion
relation is the interaction of the COs with the bosonic bath, which is explicitly in-
cluded in the Hamiltonian that defines the main interactions of a strongly correlated
system. In practice, however, even the simplest Hamiltonians of strongly correlated
systems turn out to be too complicated for a complete solution and many important
interactions need to be neglected. Many studies [22, 23] of the single band Holstein-
Hubbard model, for instance, neglect the influence of the other bands and the decay
of phonons due to anharmonicity. On the other hand, it often happens that these
neglected broadenings of the CO and the bosonic bath are known from the begin-
ning, e.g., from perturbation theory. In this case the QPs defined by the unperturbed
Hamiltonian are damped from the onset and one faces the challenge how to for-
mulate the interactions, e.g. the coupling to the bosonic bath, in terms of damped
objects.
This chapter is organized as follows: In Sect. 12.1.1 the advantages of the di-
agrammatic Monte Carlo method (DMC) are discussed. Sect. 12.1.2 presents the
basic models for COs in correlated systems. The quantities and functions of inter-
est, which are relevant to these models, are introduced in Sect. 12.2. The basics of
the DMC method, which is capable of providing an exact numerical solutions for
the problems formulated in the introduction [24, 25, 26, 27, 28, 29, 30, 31, 32, 33,
34, 35, 36, 37, 38, 39], are presented in Sect. 12.3. This section also contains tutorial
12 DMC and SO Methods for Complex Composite Objects in Macroscopic Baths 369
algorithms for simple analytically solvable models. A novel stochastic optimization

(SO) method for the analytic continuation of imaginary time functions to real fre-
quencies [26, 31, 32], which avoids the difficulties of the popular maximum entropy
method (MEM), is briefly reviewed in Sect. 12.4. Sect. 12.5 contains conclusions
and perspectives.
12.1.1 Need for new Numerical Methods
Hardly any numerical method, not to speak of analytical approaches, can give
approximation-free results for measurable spectral quantities of a CO, such as the
optical conductivity, the angle resolved photoemission spectrum of a polaron or the
damping of a qubit. There are plenty of effective methods which are either restricted
to finite systems or applicable only to specific cases of macroscopic systems, such
as low dimensional systems, etc. What we need is a general strategy for the whole
class of problems formulated above, i.e. for a few COs in a macroscopic system of
arbitrary dimension interacting with an arbitrary bath in the most general form. This
implies arbitrary momentum dependence of the coupling constant of the CO to the
bosonic bath which, in turn, has an arbitrary dispersion of bosonic excitations. In
addition, it is important to treat the information on the damping of the CO and of
the bosonic bath on the same (approximation-free) level as the interactions. Most of
the standard numerical methods are based on the solution of an eigenvalue problem
where all bare eigenstates have well defined energies. Therefore, any information
which is not explicitly encoded in the Hamiltonian cannot be incorporated in the
solution, in particular, it is not possible to describe damped QPs.
The DMC method provides an elegant way to handle all these difficulties. It re-
lies on an exact numerical summation of the Feynman expansion for the considered
correlation function, and is independent of the analytic expression for the initial
bare Green functions (GFs). Hence, additional information, e.g. damping, which is
not included in the bare Hamiltonian, can easily be incorporated afterwards using
standard rules [40]. Note also, that there are no restrictions on the bosonic bath.
12.1.2 Models of few Interacting Complex Objects
Formulating models suitable for the DMC-SO approach I start from general polaron
models. The simplest problem of a complex polaronic object, where the center-of-
mass motion does not separate from the other degrees of freedom, is given by a
system of two QPs,

H0par = εa (k)a†k ak + εh (k)hk h†k . (12.1)
k k
Here ak and hk are annihilation operators, and εa (k) and εh (k) are the dispersions
of the QPs, which interact with each other through the instantaneous Coulomb po-
tential U,
1
Ha-h = − Uk (p, p′ ) a†k+p h†k−p hk−p′ ak+p′ , (12.2)
N ′
kpp
where N is the number of lattice sites. The QPs are scattered by Q different branches
of bosons,
Q

Hpar-bos = i (b†q,κ − b−q,κ ) γaa,κ (k, q)a†k−q ak
κ=1 k,q
!
+γhh,κ (k, q)h†k−q hk + γah,κ (k, q)h†k−q ak + h.c. (12.3)
with γ[aa,ah,hh],κ are the interaction constants, which are described by the
Hamiltonian
Q
Hbos = ωq,κ b†q,κ bq,κ . (12.4)
κ=1 q
In general, each QP can be a composite object with an internal degree of freedom

represented by R different states
R

H0PJT = ǫi (k)a†i,k ai,k , (12.5)
k i=1
with quantum numbers that can also be affected by the non-diagonal part of the
particle-boson interaction
Q
R
Hpar-bos = i γij,κ (k, q)(b†q,κ − b−q,κ )a†i,k−q aj,k + h.c. . (12.6)
κ k,q i,j=1
The complicated model (12.1)–(12.6) is still insufficient to describe a number of

strongly correlated systems. Due to the coupling of the QPs (12.1) or (12.5) and the
bosonic fields (12.4) to external degrees of freedom, which are missing in (12.1)–
(12.6), these excitations may not be well defined. Frequently, the dispersion rela-
tion ǫ(k) of the QP measured, e.g., in angle resolved photoemission is subject to a
substantial broadening, and the linewidth can become larger or comparable to the
energy transfer corresponding to the peak position of the signal [41].
Theoretically this situation can be modelled with the Lehmann function of the
QP [40, 42, 43],
" "2
" "
Lk (ω) = δ (ω − Eν (k)) "ν|a†k |vac" , (12.7)
ν
& +∞
which is normalized to unity 0 dωLk (ω) = 1 and describes the probability that
a QP with momentum k has energy ω. Here {|ν} is a complete set of eigenstates
of the Hamiltonian H in a sector of given momentum k: H|ν(k) = Eν (k)|ν(k)
(Eν (k) ≥ 0). Only for a non-interacting system the Lehmann function reduces to
(0)
a delta function Lk (ω) = δ(ω − ǫ(k)) and thus sets up the dispersion relation
ω = ǫ(k). Note that the Lehmann function is the measurable quantity observed in
angle resolved photoemission experiments [41].
Specifying the parameters of the model (12.1)–(12.6) we can study an enormous
variety of physical problems: In the case of an attractive potential U(p, k, k′ ) > 0,
(12.1) and (12.2) account for an exciton with static screening [44, 45]. Besides, ex-
pressions (12.1)–(12.4) describe a bipolaron for repulsive interaction [9, 10, 11, 12]
U(p, k, k′ ) < 0 and an exciton-polaron otherwise [13, 14, 15]. The simplest model
for exciton-phonon interaction, where only two (R = 2) lowest states of the relative
electron-hole motion are relevant, e.g., for the one-dimensional charge-transfer ex-
citon [46, 47, 48], is defined by the Hamiltonians (12.4)–(12.6). The same relations
(12.4)–(12.6) describe the Jahn-Teller (all ǫi in Hamiltonian (12.5) are the same)
and PJT polarons. The problem of a hole in an antiferromagnet within spin-wave
approximation is expressed in terms of the Hamiltonians (12.4)–(12.6) with Q = 1
and R = 1 [18]. When the hole also interacts with phonons, one has to take into
account one more bosonic branch and set Q = 2 in (12.4) and (12.6). Finally, the
simplest nontrivial problem of a polaron, i.e. of a bare QP without internal structure,
interacting with one phonon branch is described by the noninteracting Hamiltonian

H0 = ǫ(k)a†k ak + ωq b†q bq , (12.8)
k q
and the interaction term

Hint = V (k, q)(b†q − b−q )a†k−q ak + h.c. . (12.9)
k,q
The simplest polaron problem, in turn, can be subdivided into continuous and lattice
polaron models.
The dynamics of a dissipative two-state system, which we need to understand
when operating real quantum computers [20], can be reduced to the so-called spin-
boson Hamiltonian [21], where a two-level system interacts with a bosonic bath.
The properties of the two-level system are determined by the tunneling matrix el-
ement ∆ and the bias ǫ. The bosonic bath and the interaction are described by a
set of oscillator frequencies {ωα } and coupling constants {γα }. It is convenient to
consider the two biased levels and the bosonic bath as the unperturbed system
1 !
H0 = ǫ c†1 c1 − c†2 c2 + ωα b†α bα , (12.10)
2 α
and treat the tunneling !

(1)
Hint = ∆ c†1 c2 + c†2 c1 (12.11)
and the coupling to the bosonic bath
2

(2) ) *
Hint = γα c†δ cδ b†α + bα (12.12)
α δ=1
as a perturbation. Analytically solvable cases, where the spectral function

J(ω) = π γα2 δ (ω − ωα ) (12.13)
α
can be approximated as J(ω) ∼ ω s , have been thoroughly studied [21]. However,

as yet there is no method to obtain an answer for a general form of J(ω).
12.2 Physical Properties of Interest

In this section I discuss properties of the exciton-polaron which can be evaluated by
DMC and SO methods. To obtain information on QPs it is necessary to calculate the
Matsubara GFs in imaginary time representation and afterwards make an analytic
continuation to real frequencies [40]. For the two-particle problem (12.1)–(12.4) the
relevant quantity is the two-particle GF [27, 28]
′
† †
Gpp
k (τ ) = vac|ak+p′ (τ )hk−p′ (τ )hk−p ak+p |vac , (12.14)
where hk−p (τ ) = exp(Hτ )hk−p exp(−Hτ ), τ > 0. In the case of the exciton-
polaron the vacuum state |vac is the state with filled valence and empty conduction
bands. For the bipolaron problem it is a system without particles. In the simpler case
of a QP with internal two-level structure described by (12.4)–(12.6) the relevant
quantity is the one-particle matrix GF [28, 34]
Gk,ij (τ ) = vac|ai,k (τ )a†j,k |vac , (12.15)
with i, j = 1, 2. For a polaron composed of a bare QP without internal structure the

matrix (12.15) reduces to the one-particle scalar GF
Gk (τ ) = vac|ak (τ )a†k |vac . (12.16)
Information about the response to a weak external perturbation, e.g. optical absorp-
tion, is contained in the current-current correlation function Jβ (τ )Jδ , where β,δ
are Cartesian indices.
The Lehmann spectral representation [40, 43] of Gk (τ ) (12.14)–(12.16) at zero
temperature reads
∞
Gk (τ ) = dωLk (ω)e−ωτ , (12.17)
0
where the Lehmann function Lk (ω) given in (12.7) reveals information on the
ground state and the excited states. Lk (ω) has poles (sharp peaks) at the energies
of stable (metastable) states of the particle. For example, if there is a stable state
at energy E(k), the Lehmann function reads Lk (ω) = Z (k) δ(ω − E(k)) + . . . ,
and the state with the lowest energy Egs (k) in a sector of a given momentum k is
characterized by the asymptotic behavior of the GF

1
Gk τ ≫ −→ Z (k) e−Egs (k)τ , (12.18)
Eex (k) − Egs (k)
where Z (k) is the weight of the ground state and Eex (k) the energy of the first
excited state of the system. Then, the ground state properties are obtained from the
logarithmic plot of the GF (see Fig. 12.1).
Note that the energy and Z-factors of the lowest state in the sector of given
momentum are not the only properties which can be extracted from the asymptotic
behavior. For example, the analysis of the asymptotic behavior of the two-particle
GF (12.14) of an exciton [27]
′
Gp=p
k (τ → ∞) = |ξkp,gs |2 e−Egs (k)τ (12.19)
yields absolute values for the coefficients ξkp,gs of the wave function of the relative
electron-hole motion for an exciton in the lowest state of the given momentum

Ψgs (k) = ξkp,gs a†k+p h†k-p |vac . (12.20)
p
Another example is the GF of a polaron. From the asymptotic behavior of the

n-phonon GFs [26, 34]
Gk (n, τ ; q 1 , . . . , q n ) = vac|bqn (τ ) · · · bq1 (τ )ap (τ )a†p b†q1 · · · b†qn |vac , (12.21)

n
where p = k − j=1 q j , we obtain detailed information about the lowest state,
R
∞
Ψgs (k) = θi (k; q 1 , . . . , q n )c†i,k−q1 ...−qn b†q1 . . . b†qn |vac , (12.22)
i=1 n=0 q 1 ...qn
like the partial n-phonon contributions

R

Z (k) (n) = |θi (k; q 1 , . . . , q n )|2 , (12.23)
i=1 q1 ...q n
0.0
–0.5
In (Z(k)) – Eg.s.(k) τ
In [G(τ)]
–1.0
–1.5
–2.0
0 20 40 60
τ
Fig. 12.1. Typical behavior of the GF of a polaron and determination of Z (k) -factor and
energy of the ground state from the fit of the linear asymptotics
∞
which are normalized to unity n=0 Z (k) (n) ≡ 1, and the average number of
phonons
∞

N ≡ Ψgs (k)| b†q bq |Ψgs (k) = nZ (k) (n) (12.24)
q n=1
in the polaronic cloud.

Information on excited states can be obtained by analytic continuation of the
imaginary time GF to real frequencies, which requires the solution of the Fredholm
equation Gk (τ ) = F [Lk (ω)] (12.17),
Lk (ω) = Fω−1 [Gk (τ )] . (12.25)
Equation (12.17) is a rather general relation between the imaginary time GF or cor-
relator and the spectral properties of the system. The solution of
⎡ ⎤
pp′
I(ω) = Fω−1 ⎣ Gk=0 (τ )⎦ , (12.26)
pp′
for instance, yields the light absorption of excitons I(ω). Moreover, the real part of
the optical conductivity σβδ (ω) can be expressed [29] in terms of the current-current
correlation function Jβ (τ )Jδ as
π −1
σβδ (ω) = F [Jβ (τ )Jδ ] . (12.27)
ω ω
12.3 The Diagrammatic Monte Carlo Method

Diagrammatic Monte Carlo is an algorithm for the calculation of the GF of a QP, e.g.
(12.14)–(12.16), which is free of any systematic errors. Although DMC is based on
a Feynman expansion of the Matsubara GF the method does not require advanced
skills in the derivation of Feynman series, since most expansions have been for-
mulated a long time ago [40, 42]. The only problem, which has not been solved,
is the actual summation of the series without truncation or other approximations.
To explain the general idea of the algorithm, below we start with the simplest tra-
ditional many-particle problem: The polaron without any internal structure [26].
Then, to give a feeling for the craft of building DMC algorithms, we proceed with
a sequence of increasingly involved problems: Beginning with the most trivial task
of simulating the bare Matsubara GF of noninteracting systems, we continue with
the trivial problem of a free particle in an attractive potential. Then we consider a
particle in non-retarded fields, turn to the notoriously difficult exciton problem, and,
finally, end up with the simplest example of a CO with an internal quantum degree
of freedom. It should be clear from this sequence that, as soon as an algorithm for
the trivial problem of a free particle in an attractive field is constructed, its adaption
to the complicated exciton problem is straightforward. We recommend the reader
to study all the simple examples up to Sect. 12.3.6, and then return to the general
formulation of the method in Sect. 12.3.1.
12.3.1 The General Concept of DMC: Green Function

of a Polaron
As noted earlier, DMC is based on the Feynman expansion of the Matsubara GF in

imaginary time using the interaction representation
" &∞
"
" ′ ′ "
Gk (τ ) = vac "Tτ ak (τ )a†k (0)e− 0 Hint (τ )dτ " vac (12.28)
con
with τ > 0. Here Tτ is the imaginary time ordering operator, |vac is a vacuum state
without particles and phonons, and Hint is the interaction Hamiltonian of (12.9).
The exponent denotes the formal summation of a Taylor series which corresponds to
multiple integrations over the internal variables {τ1′ , τ2′ , . . .}. The operators are taken
in the interaction representation A(τ ) = exp[τ (Hpar +Hph )]A exp[−τ (Hpar +Hph )],
and the index “con” denotes an expansion which contains only connected diagrams
where no integral over internal time variables {τ1′ , τ2′ , . . .} can be factorized.
Applying the Wick theorem, a matrix element of time-ordered operators can be
written as a sum of terms, each being the product of matrix elements of pairs of
operators. Then the expansion (12.28) becomes an infinite series of integrals with
an ever increasing number of integration variables
∞

Gk (τ ) = dx′1 · · · dx′m Dm
(ξm )
(τ ; {x′1 , . . . , x′m }) . (12.29)
m=0,2,4,... ξm
Here the index ξm stands for different Feynman diagrams (FDs) of the same order
m because for m > 2 there is more than one diagram of the same order m. The
zero-order term with m = 0 is the bare GF of the QP.
The aim of DMC is the evaluation of the series (12.29) with the help of im-
portance sampling. Hence, we need to find a positive weight function and an up-
date procedure to formulate something similar to the well known Metropolis al-
gorithm [49, 50, 51]. In statistical physics the latter is used to calculate the ex-
pectation value of an observable Q, which is defined as a sum over all states μ
of the system with
−1
energies Eμ , each term weighted with the Boltzmann probabil-
ity, Q
= Z μ Qμ exp[−βEμ ]. Here β = 1/T is inverse temperature and
Z = μ exp[−βEμ ] the partition function. Since it is impossible to sum over all
possible states μ of the macroscopic system {μ} the classical MC uses the con-
cept of importance sampling, where the sum is approximated by adding only the
contributions of a small but typical set of states. These states are selected such that
the probability of a particular state ν equals Dν = Z −1 exp[−βEν ]. This can be
achieved through a Markov chain ν → ν ′ → ν ′′ → . . . with appropriate transition
probabilities between subsequent states. Within the Metropolis scheme the system
is offered a new configuration ν ′ , and the move ν → ν ′ is accepted with probability
M = Dν ′ /Dν , if M < 1, or one otherwise. After N steps of such a stochastic
(Markov) process the estimator for the observable Q reads
N
1
QN = Qν , (12.30)
N i=1
where Qν is the value of Q in the state ν.
In close analogy to the weight function of classical MC, Dν , the DMC method
(ξ )
uses the weight function Dmm (τ ; {x′1 , . . . , x′m }), which depends on the internal
integration variables {x1 , . . . , x′m } and the external variable τ . The term with m =
′
(0)
0 is the GF of the noninteracting QP, Gk (τ ).
(ξm )
For orders m > 0, Dm (τ ; {x1 , . . . , x′m }) can be expressed as a product of
′
GFs of noninteracting QPs, GFs of phonons, and of interaction vertices V (k, q).
For the simplest case of a Hamiltonian system the expressions for the GFs are well
(0)
known: They read Gk (τ2 −τ1 ) = exp [−ǫ(k)(τ2 − τ1 )] with (τ2 > τ1 ) for the QPs
(0)
and Dq (τ2 − τ1 ) = exp [−ωq (τ2 − τ1 )] with (τ2 > τ1 ) for the phonons [42, 40].
An important feature, which distinguishes the DMC method from other exact
numerical approaches, is the possibility to explicitly include renormalized GFs into
an exact expansion without any change of the algorithm. If we know the damping of
the QP caused by interactions that are not included in the Hamiltonian, we can use
the renormalized GF
∞
# (0) (τ ) = 1
G dωe−ωτ
ImΣret (k, ω)
k 2 2
π (ω − ǫ(k) − ReΣret (k, ω)) + (ImΣret (k, ω))
−∞
(12.31)
(0)
for our calculation, instead of bare the GF Gk (τ ).
To avoid double counting the
retarded self energy Σret (k, ω) should contain only those interactions which are
not included in the Hamiltonian treated by the DMC procedure. The rules for the
(ξ )
evaluation of Dmm do not depend on the order and topology of the FDs. In Fig. 12.2
(0)
we show examples of typical diagrams. Here GFs of noninteracting QPs Gk (τ2 −
(0)
# (τ2 − τ1 ), correspond to horizontal lines, whereas noninteracting GFs
τ1 ), or Gk
(0)
of phonons Dq (τ2 − τ1 ), multiplied by the prefactor of the appropriate vertices
(ξ )
V (k′ , q)V ∗ (k′′ , q), are denoted by semi-circles. Dmm then is the product of all
GSs occuring in a given diagram. For example, the weight of the second order term
in Fig. 12.2(b) is
(a) (b) (c)

q q
q′
k k–q k k ′
k–q–q k–q k
0 τ1′ τ2′ τ τ1′ τ3′ τ4′ τ2′
Fig. 12.2. (a) Typical FD contributing into expansion (12.29). (b) FD of the second order and
(c) forth order
2 (0)
D2 (τ ; {τ2′ , τ1′ , q}) = |V (k, q)| Dq(0) (τ2′ − τ1′ )Gk (τ1′ )
(0) (0)
× Gk−q (τ2′ − τ1′ )Gk (τ − τ2′ ) . (12.32)
The DMC process is a numerical procedure which, based on the Metropolis princi-
(ξ )
ple [49, 50, 51] and the weight function Dmm (τ ; {x′1 , . . . , x′m }), samples different
FDs in the parameter space (τ, m, ξm , {x′m }). In parallel, it collects the statistics of
the external variable τ such that the result converges to the exact GF Gk (τ ). Hence,
within DMC the Markov process involves changes of both the internal variables and
the external variable τ , as well as a switching between different orders and topolo-
gies of the FDs. The statistics of the variable τ is measured, e.g. by a histogram
method.
12.3.1.1 Sampling of a Single Term of the Expansion
Even though the Markov process combines the sampling of the internal parame-
ters of a diagram and the switching between different diagrams, it is instructive to
explain these two update mechanisms separately. Let us start with the sampling of
(ξ )
one particular diagram of weight Dmm (τ ; {x′1 , . . . , x′m }), which has much in com-
(old) (new)
mon with classical MC. Given a set {τ ; {x′1 , . . . , x′m }}, an update xl → xl
of an arbitrarily chosen parameter is suggested. This update is accepted or rejected
according to the Metropolis principle. After many steps, altering all variables, the
statistics of the external variable converges to the exact dependence of the term on
(new)
τ . The suggestion for the new value of the parameter xl = S −1 (R) is generated
−1
from a random number R ∈ [0, 1], where S (R) is the root of the integral equation
(new)
x l
dx′ W (x′ ) = R . (12.33)

(min)
xl
Here W (x′ ) is a normalized distribution function W (xl ) defined in the range

(min) (max)
xl < x′ < xl . There are only two restrictions for this otherwise arbi-
trary function. First, the new parameters x(new) l must not violate the FD topology,
i.e., for example, internal time τ1′ in Fig. 12.2(c) has to be in the range [x(min) =
0, x(max) = τ3′ ]. Second, the distribution should be nonzero for the whole domain,
allowed by the FD topology. This ergodicity property is crucial for the convergence
(old) (new)
of the algorithm. At each step, the update xl → xl is accepted with proba-
bility Pacc = M (if M < 1) and always accepted otherwise. The ratio M has the
following form

(ξ ) (new) (new)
Dmm τ ; {x′1 , . . . , xl , . . . , x′m } /W xl
M=
. (12.34)
(ξ ) (old) (old)
Dmm τ ; {x′1 , . . . , xl , . . . , x′m } /W (xl )
(max) (min)
For the uniform distribution W = const. = (xl − xl )−1 , the probability of
any combination of parameters is proportional to the weight function D. However,
for better convergence the distribution W (xnewl ) should be as close as possible to
(ξ ) (new)
the actual distribution given by the function Dmm ({. . . , xl , . . . , }). If these two
distributions coincide, M ≡ 1 for every update. Hence, all updates are accepted and
the sampling is most effective. For example, if the distribution
′ (new) ′
∆Ee−([τ4 ] −τ3 )∆E
W ([τ4′ ](new) ) = ′ ′ (12.35)
1 − e−(τ2 −τ3 )∆E
is used to update parameter τ4′ in the FD of Fig. 12.2(c), [τ4′ ](new) must be generated
by random numbers R ∈ [0, 1] as
′ ′

ln 1 − R(1 − e−(τ2 −τ3 )∆E )

[τ4′ ](new) = τ3′ − . (12.36)
∆E
Then, according to (12.33)–(12.35), M ≡ 1, and all updates are accepted. In
(12.35), the distribution is normalized to unity in the constrained domain [τ3′ , τ2′ ],
and ∆E = ε(k − q − q ′ ) + ωq′ − ε(k − q).
12.3.1.2 Switching between Diagrams of Different Order
The switching between diagrams of different order differs from the above process
in that it modifies a term with a given topology. Obviously this process also changes
the dimension of the parameter space. All FDs contributing to the polaron GF can
be sampled with two complimentary updates. Update A,
(ξm ) (ξ )
Dm (τ ; {x′1 , . . . , x′m }) −→ m+2
Dm+2 (τ ; {x′1 , . . . , x′m ; q ′ , τ3′ , τ4′ }) , (12.37)
A
transforms a given FD into a higher order FD with an extra phonon arch, which
connects two time points τ3′ and τ4′ by a phonon propagator of momentum q ′ , see
Fig. 12.2(c). On the opposite, update B performs the reciprocal transformation. Note
(ξm+2 ) (ξ )
that the ratio of the weights Dm+2 /Dmm is not dimensionless. The dimensionless
Metropolis ratio
(ξ )
m+2
pB Dm+2 (τ ; {x′1 , . . . , x′m ; q ′ , τ ′ , τ ′′ }) 1
M= (ξm ) ′ , τ ′ , τ ′′ )
(12.38)
pA ′
Dm (τ ; {x , . . . , xm }) ′ W (q
1
contains the normalized probability function W (q ′ , τ ′ , τ ′′ ), which is used for gen-

erating new parameters. pA and pB are the probabilities of selecting update A or
B, respectively. The context factor pB /pA ensures that the probability for the oc-
currence of a given diagram is defined only by its weight function D. Thus, the
Metropolis ratio for the process A has to be divided by pA and multiplied by pB .
The context factor, of course, depends on the way the adding and removing pro-
cedure is organized. Below we describe self-balanced add/remove processes and
derive the corresponding factors pB /pA .
Let us assume that the DMC process adds and removes lines with equal proba-
bility. To add a phonon propagator the A-procedure randomly chooses an arbitrary
electronic propagator. The value of the left end of the phonon propagator, τ3′ , is se-
lected with uniform probability dτ3′ /∆τ , where ∆τ is the length of the electronic
propagator considered. Then, the right end of the phonon propagator, τ4′ , is seeded
with (normalized) probability density ∝ dτ4′ ω̄ exp(−ω̄(τ4′ − τ3′ )), where ω̄ is an av-
erage frequency of the phonon spectrum. Hence, according to (12.33), the value of
τ4′ is given by
1
τ4′ = τ3′ − ln(R) . (12.39)
ω̄
If τ4′ is larger than the right end of the diagram, τ , the update is rejected. The mo-
mentum q ′ of the new phonon propagator is choosen from an uniform distribution
over the whole Brillouin zone, dq ′ /VBZ . Then, according to the rule (12.38)
(ξ )
m+2
pB Dm+2 dτ3′ dτ4′ dq ′ /VBZ
M= ′ ′ . (12.40)
pA Dmm (dτ3 /∆τ )dτ4′ ω̄ e−ω̄(τ4 −τ3 ) dq ′ /VBZ
(ξ ) ′
The removal step B selects an arbitrary phonon propagator and accepts the up-
date with the reciprocal M −1 of the probability, which would be used when adding
the same propagator in step A. Let us emphasize that the context factor pB /pA de-
pends on the way how the add or removal process is organized. If, for instance, the
procedure addresses these processes with equal probabilities, the naive expectation
that pB /pA = 1 is wrong. To understand this, let us consider two diagrams, Dm
and Dm+2 . The diagram Dm contains Ne electron and Nph = (Ne − 1)/2 phonon
propagators. The procedure A transforms the diagram Dm to Dm+2 with Ne + 2
electron and Nph + 1 = (Ne + 1)/2 phonon propagators. The procedure B trans-
forms the second diagram to the first one, respectively. When procedure A selects
an electron propagator for inserting the point τ3′ in Dm , we have Ne possibilities,
hence, pA = 1/Ne . On the other hand, when the procedure B selects a phonon prop-
agator for removal from Dm+2 , there are Nph + 1 = (Ne + 1)/2 possibilities and
pB = 2/(Ne + 1). Therefore, detailed balance requires a context factor of
pB Ne
= . (12.41)
pA Nph + 1
Note that this factor essentially depends on how the processes are organized. For
example, if the rule of equal add and removal probability is relaxed and the add pro-
cess is addressed f times more frequently than the removal process, the probability
of process A is pA = f /Ne and the context factor reads pB /pA = Ne /[f (Nph + 1)].
Writing expression (12.41) I intentionally do not use the relation Nph + 1 =
(Ne + 1)/2 because it is valid only in the particular case of a polaron interacting
with one phonon branch without any other terms in the interaction Hamiltonian. If
the system includes interactions with other phonon branches or external potentials,
the relation between the number of phonon and electron propagators does not hold,
while expression (12.41) is still valid.
m+2 (ξ ) (ξ )
Note that the ratio Dm+2 /Dmm depends on the topology of the higher-order
FD. When the FD in Fig. 12.2(c) is updated, e.g., from the FD in Fig. 12.2(b), the
ratio has the following form
(ξ )
m+2
Dm+2 G0 (k − q − q ′ ; τ4′ − τ3′ )
= |V (k − q, q ′ )|2 D0 (q ′ ; τ4′ − τ3′ ) . (12.42)
(ξ )
Dmm G0 (k − q; τ4′ − τ3′ )
12.3.1.3 General Features of DMC
Finally, let us add a few words about the general features of the DMC algorithm.
Note that all updates are local, i.e. do not depend on the structure of the whole FD.
Neither the rules nor the CPU time needed for the update depend on the order of the
FD. The DMC method does not imply any explicit truncation of the FD’s order due
to the finite size of computer memory. Even for strong coupling, where the typical
number of contributing phonon propagators Nph is large, the memory requirements
are marginal. In fact, according to the central limit theorem, the number of phonon
propagators obeys a Gauss distribution centered at N̄ph with a half width of the
1/2
order of N̄ph [52]. Hence, if memory for at least 2N̄ph propagators is reserved, the
diagram order hardly surpasses this limit.
12.3.2 How to Expand the Exponent
For a beginner the rules given in the previous section and thoroughly described in
[26] may seem rather complicated and not easy to understand. In what follows we
therefore apply the DMC method to a set of increasingly complex examples. We
start with the Matsubara GF of a noninteracting particle with energy ε,
G(0) (τ ) = e−(ε−μ)τ , (12.43)
where μ is an artificial chemical potential. For simplicity, we chose μ < ε, then G

decreases with increasing τ . 2
Let us now describe the calculation of the GF (12.43) being armed only with
the rules of Sect. 12.3.1. The first thing we need is the statistics3 of an external
variable τ .
To this end we introduce a histogram with cells {[ξi; ξ(i + 1)]} of width ξ in the
range 0 < τ < τmax , see Fig. 12.3. Initially the counters for all cells are set to zero.
When the process of DMC updates is running, the counter of cell i is increased by
2
This is not very important when such tricks as the guiding function [26, 53, 54, 55] are used
and the statistics of the external variable is restricted to a certain finite domain. Though, in
the simplest case considered here the condition μ < ε is important to keep the domain of
the largest probability density of τ near the value zero.
3
The simplest way to accumulate statistics is in a histogram, which leads to a number of
systematic errors. However, one can avoid the histogram mesh and generate the exact
statistics for GF [26].
(a) (b)
τ G(τ) τ1 τ2 τ3 τ4 τ G(τ)
+1 +1
0 Statistics τmax 0 Statistics τmax
Fig. 12.3. Accumulation of statistics for (a) the GF of a QP and (b) the GF of a QP in an
attractive potential
one whenever the position of the external variable τ is within the cell ξ(i) < τ <
ξ(i + 1), see Fig. 12.3(a).
Next, we need to initialize τ with an arbitrary value from the domain [0, τmax ]
and set up rules for the update procedure. I suggest two methods: The “simplest”
one and the “best” one.
12.3.2.1 Simple Update Method
The new external parameter τnew is suggested as a shift τold → τnew = τold + δ(R −
1/2) of the old value τold . The new value is generated by a random number R ∈ [0, 1]
with uniform distribution W (x) = 1/δ in the range [τold − δ/2, τold + δ/2]. If τnew
is not in the range [0, τmax ], the update is rejected. Otherwise, the decision to accept
or reject the update is based on the Metropolis procedure with probability ratio
M = exp [−(ε − μ)(τnew − τold )].
12.3.2.2 Best Update Method
One generates τnew with probability
W (x) = (ε − μ)e−(ε−μ)x , (12.44)
normalized in the range [0, +∞] Then, according to the rules, one solves the equa-
tion
τnew
W (x)dx = R (12.45)
0
and obtains the generator for the new value

1
τnew = − ln R . (12.46)
ε−μ
Inserting the probability densities W (τnew ), W (τold ), and the weights D(τnew ),
D(τold ), in the general expression (12.34) one gets M ≡ 1 and, hence, all updates
are accepted. Note that this update is accepted even if τ > τmax , though there is
nothing to add to the statistics, since the external variable is out of the histogram
0.0
In [G(τ)]
–0.5
(a) (b)
–1.0
0 1 2 3 0 1 2 3
τ τ
Fig. 12.4. GFs of a QP in the logarithmic scale for ε = 0 and μ = −0.3. Solid line represents
the exact GF (12.43) of a free QP ln[G(0) (τ )] = −(ε − μ)τ . Dashed line describe the exact
GF of the QP in the attractive potential (12.48) ln[G(1) (τ )] = −(ε − V − μ)τ for V = 0.25.
Triangles and squares are the results of DMC method for small (a) and large (b) amount of
DMC updates, respectively
range4. Finally, when reasonable statistics is accumulated, the data is normalized

such that G(0) (τ = 0) ≡ 1.
In Fig. 12.4 we show the convergence of the statistics of the external variable τ
(triangles) to the exact answer (solid lines). The DMC result is very close to the exact
data after ≈ 107 DMC updates (which means at about one second of Pentium IV
CPU time) and perfectly reproduces the exact GF after ≈ 109 updates (one minute
CPU time).
12.3.3 Attractive Potential
If the Hamiltonian of a noninteracting system
H (0) = εc† c (12.47)
is supplemented by an attractive potential

(int) = −|V |c† c ,
H (12.48)
the energy is renormalized as ε → ε − |V |, and the exact Matsubara GF takes the

form
∞
|V τ |n
G(1) (τ ) = e−(ε−|V |−μ)τ ≡ e−(ε−μ)τ . (12.49)
n=0
n!
4
One can restrict the external variable τ to the range [0, τmax ] using the probability
density W (x) = [(1 − exp(−(ε − μ)τmax ))]−1 (ε − μ) exp(−(ε − μ)x), which is
normalized in the range [0, τmax ]. In this case one generates τnew as τnew = −(ε −
μ)−1 ln [1 − R[1 − exp(−(ε − μ)τmax )]]. Note the similarity of the above equation with
(12.36). It occurs because in both cases the distribution of the random variables is expo-
nential and normalized in a finite range.
To get an idea of the diagrammatic expansion of DMC let us solve the problem
by Feynman expansion. Since for the given
" problem
" the system is always in the
Hilbert space sector with one particle vac "c† c" vac = 1, we can introduce the
unity operator η and consider H (int) = −|V |η. Then, the Feynman expansion reads
" &∞
"
" ′ ′ "
G(1) (τ ) = vac "Tτ c(τ )c† (0)e|V | 0 η(τ )dτ " vac , (12.50)
con
with τ > 0, and the structure of diagrams is that of Fig. 12.3(b). According to
the general rules, the weight of the diagram is the product of particle propagators
. . . , exp[(ε−μ)(τi+1 −τi )], . . . and vertices |V |. Hence, the weight of each order-m
diagram of length τ is Dm (τ ) = |V |m exp[(ε − μ)τ ].
The GF can be calculated using three different updates: The modification of
the right diagram end τ , and a pair of self-balanced updates which add/remove the
vertex |V |, see the crosses in Fig. 12.3(b). Below I introduce the minimal set of
updates sufficient to reach the numerically exact solution. Note that this set is the
simplest one but not the most efficient.
Moving the external parameter τ : The value τ − τlast obeys the distribution
(12.44), where τlast is the position of the vertex with largest imaginary time, or τ = 0
when there is not a single vertex. Therefore we can use the recipes of Sect. 12.3.2
and obtain a rejection-free update method, if τnew is generated through
1
τnew = τlast − ln R . (12.51)
ε−μ
Add or remove an interaction vertex: To add an interaction vertex one randomly
chooses one particle propagator from the Nprop existing propagators in the FD of
Fig. 12.5(a), the dashed line, for example. Then the position of the new vertex is
suggested with uniform probability density W (x) = (τr − τl )−1 , hence, τnew is
chosen as τnew = τl + (τr − τl )R. The Metropolis ratio thus reads
Nprop
M= |V |(τr − τl ) . (12.52)
Nvert + 1
The structure of this ratio is intentionally given in a form where all factors have a
one to one correspondence with those of (12.38) and (12.40). Note the roles of the
last two factors in (12.52), (12.38) and (12.40). Nvert is the number of vertices in the
FD of Fig. 12.5(a). The first factor is the context factor pB /pA of (12.38), which is
necessary to self-balance add and removal processes, and whose form depends on
how these processes are organized. The expression Nprop /(Nvert + 1) accounts for
(a) (b)
τ1 τr τi τi+1 τi+2
Fig. 12.5. Updates adding (a)→(b) and removing (a)←(b) an interaction vertex. The circle
in (b) is an existing vertex of the present FD which is suggested for removal. The circle in (a)
is a vertex suggested for the adding procedure
a process, where one of the vertices is selected randomly and then removed, τi+1
∗
in Fig. 12.5(b), for example. Note that there are Nvert = Nvert + 1 choices in the
FD of Fig. 12.5(b). Hence, for a self-balanced MC process one has to divide the
weight by the probability to suggest the addition of a new vertex, pA = 1/Nprop ,
and multiply by the probability to suggest the removal of the same vertex, pB =
∗
1/Nvert = 1/(Nvert + 1). This explains the factor pB /pA = Nprop /(Nvert + 1) in
(12.52).
The careful reader may have noticed that the context factor is equal to unity,
since for the FDs in Figs. 12.3(b) and 12.5 we always find the relation Nprop =
Nvert + 1. However, this is correct only for the specific example of the interaction
with a single attractive potential. If, e.g., an interaction with phonons is added, the
relation between the numbers of vertices and propagators is different, though the
expression (12.52) is still correct. Hence, it seems better to stick to the correct rea-
soning even in this simple example, and introduce context factors which are valid in
more general and complicated situations. For example, in the case of several types
of interaction vertices one can introduce self-balanced updates for each type of ver-
tices. In this case Nprop is the number of all propagators and Nvert is the number of
vertices of the given type.
The Metropolis ratio for the removal procedure is constructed as the inverse of
expression (12.52), which describes the adding of that same vertex which is now
considered for removal,
∗ −1
Nprop −1
M= ∗ |V |(τi+2 − τi ) . (12.53)
Nvert
∗ ∗
Here Nprop = Nprop + 1 (Nvert = Nvert + 1) is the number of propagators (vertices)
in the FD of Fig. 12.5(b).
In conclusion, the general strategy is the following: We start from a bare
FD without interaction vertices and with the external parameter τ in the range
τmin < τ < τmax , see Fig. 12.3). Then, with some probability one of the three up-
dates, move, add, or remove is suggested. Note that with the given context factors
the probabilities to address add and removal processes must be equal. One can, of
course, address add and removal processes with different probabilities, but in this
case the context factor pB /pA need to be modified accordingly. Finally, statistics is
collected as shown in Fig. 12.3, and in the end the data is normalized implying the
condition G(1) (τ = 0) ≡ 1.
In Fig. 12.4 we show the convergence of the statistics for the external variable τ
(squares) to the exact answer (dashed line). After ≈ 107 DMC updates the data is
very close to the exact result, and perfectly reproduces the exact GF after ≈ 3 × 109
DMC updates. Note that the integration over different orders of FDs and over the
internal imaginary times of the interaction vertices requires a larger number of DMC
updates, compared to the free particle.
12.3.4 Field with Internal Degrees of Freedom
It is straightforward to adapt the algorithm of the previous section to the less trivial
case of the interaction

Hint = − |V (k, k ′ )|c† c , (12.54)
k,k′
where, for simplicity, we assume that the degrees of freedom k and k ′ are restricted
′
to finite domains: kmin < k < kmax and kmin < k ′ < kmax
′
. Then, all rules are
identical to those of the previous section, except for two modifications. First, one
changes |V | to |V (k, k ′ )| in (12.52) and (12.53). Second, in the add-procedure one
generates k and k ′ with uniform probability densities k = kmin + (kmax − kmin )R
and k ′ = kmin
′ ′
+ (kmax − kmin ′
)R.
The exact result for the GF
& kmax & kmax
′
−(ε− dk dk′ |V (k,k′ )|−μ)τ
G(2) (τ ) = e kmin k′
min (12.55)
is a trivial modification of (12.49) because the state of a QP does not depend on

the variables k and k ′ . Note that, compared to the case of a constant potential V =
& kmax & kmax
′
kmin dk kmin′ dk ′ |V (k, k ′ )|, we need more DMC updates to converge to the exact
result, because of additional integrations over the internal variables k and k ′ .
12.3.5 Exciton
The exciton problem is an example of a highly nontrivial two-body problem, where

the center of mass motion cannot be trivially separated from the relative electron-
hole motion.
However, the Feynman expansion for this two-body problem with Hamiltonian
(12.1) and (12.2) can be effectively reduced to the linear class of FDs considered
above. The upper panel in Fig. 12.6 presents the ladder diagrams for the two-particle
GF of the exciton with momentum k. The weight of each diagram is the product
0 τ1 τ2 τ3 τ
k+p k + p1 k + p2 k + p3
Uk(p,p1) Uk(p1,p2) Uk(p2,p3)
k–p k – p1 k – p2 k – p3
0 p τ1 τ2 τ3 τ
p1 p2 p3
Uk(p,p1) Uk(p1,p2) Uk(p2,p3)
Fig. 12.6. Upper panel: Ladder diagrammatic expansion for GF of an exciton with total mo-
mentum k. Lower panel: Equivalent one-line representation for the same class of diagrams
of the corresponding interaction vertices Uk (p, p′ ) (vertical dashed lines) and the
propagators of electrons and holes with corresponding momenta (horizontal solid
lines). However, for the given structure of ladder diagrams the electron and hole
propagators can be combined into single propagators for the electron-hole pair. The
propagator of the electron-hole pair is the product of hole and electron propagators
and has the form
Gk (p, τi+1 − τi ) = e−(ǫk (p)−μ)(τi+1 −τi ) . (12.56)
The energy of the electron-hole pair ǫk (p) = εc (k + p) − εv (k − p) corresponds to
the difference of the hole and electron energies with the center of mass momentum
k and the relative momentum 2p. Then, for such a kind of Feynman expansion one
can formulate an effective bare Hamiltonian

H (0) = ǫk (p)ξp† ξp (12.57)
p
and interaction term

H (int) = Uk (p1 , p2 )ξp† 2 ξp1 + h.c. , (12.58)
p1 p2
i.e. the expansion reduces to the line shown in the lower panel of Fig. 12.6.
12.3.5.1 Updates
The MC procedure for this series of FDs is a trivial modification of the techniques
presented in previous sections. Updating the external parameter τ one needs to take
into account that the distribution W (x) = (ǫk (p3 ) − μ) exp [−(ǫk (p3 ) − μ)x] de-
pends on the momentum p3 of the propagator at the end of the FD. The updates,
which add/remove an interaction vertex to/from the FD are similar to the previous
examples. One of the Nprop propagators is chosen randomly and a time τ ′ is selected
in the range [τl , τr ] with uniform probability. Then, the momentum p2 is selected
with uniform probability from the Brillouin zone and attributed to the new propa-
gator between the imaginary times τ ′ and τr , τ ′ is shown by circle in Fig. 12.7(a).
Finally, the Metropolis ratio is very similar to that obtained for the simple potential
model

Nprop Uk (p1 , p2 ) Uk (p2 , p3 ) −(ǫk (p2 )−ǫk (p1 ))(τr −τ ′ )
M= e . (12.59)
Nvert + 1 1/(τr − τl ) Uk (p1 , p3 )
(a) (b)
τ1 p1 τr p3 τi p1 τi+1 p2 τi+2 p3
Uk(p1,p3) Uk(p1,p2) Uk(p2,p3)
Fig. 12.7. Updates adding (a)→(b) and removing (a)←(b) an interaction vertex. See caption
of Fig. 12.5
The first two factors are the same as in (12.52). The exponent takes into ac-
count the change of the FD weight due to the modification of the momentum of the
electron-hole pair between τ ′ and τr , and the factor in front of the exponent appears
due to the change of momentum p1 → p2 in the vertex at τr . The ratio for the
removal procedure is a straightforward modification of (12.53).
12.3.5.2 Estimators for Physical Quantities
Having calculated the Green function, let us now extract further properties of the
exciton from the limit G(τ → ∞). An eigenstate Ψν (k) with energy Eν can be
written as

Ψν (k) ≡ ξk,p,ν e†k+p h†k−p |0 , (12.60)
p
where the amplitudes ξk,p,ν = ν; k|e†k+p h†k−p |0 describe the wave function of
the internal motion of the exciton. In terms of exciton eigenstates we have
′
Gp=p
k (τ ) = |ξk,p,ν |2 e−Eν τ . (12.61)
ν
If τ is much larger than the inverse energy difference between the ground state and
the first excited states, the GF projects to the ground state
′
Gp=p
k (τ → ∞) = |ξk,p,gs |2 e−Egs τ . (12.62)

Due to the normalization condition p |ξk,p,ν |2 ≡ 1, the asymptotic behavior of
#k = Gp=p is especially simple: G(τ
′
the sum G # ) → exp(−Egs τ ).
p k
′
By definition, in the limit τ → ∞, we have Gp=p # k = |ξk,p,gs |2 , i.e. the
/G
k
distribution over the quasimomentum p is related to the wave function of internal
′
motion, which is calculated by simulating the set of GFs Gp=pk with p = p′ .
p=p′
One can ask how to calculate the asymptotic behavior of Gk (τ ) when, ob-
viously, the first order diagram does not obey the condition p = p′ except for the
case of the Uk (p, p′ = p) vertex. Moreover, working with the function G # we en-
counter a certain formal problem: The zero- and first-order diagrams with respect to
Uk (p, p′ = p) contain macroscopically large factors N . However, since we are only
interested in the ground-state properties, we can safely omit the obstructive terms,
which in a careful analysis turn out to be irrelevant in the limit τ → ∞. There-
fore, in the simulation one simply starts from an arbitrary second order diagram and
excludes all diagrams of order less than two.
12.3.5.3 Numeric Results
The exciton problem (12.1)–(12.2) has been studied for many years, but as yet there
was no rigorous technique available for its solution. The only solvable cases are the
Frenkel small-radius limit [56] and the Wannier large-radius limit [57], but the range
of validity of these two approximations was unclear.
To study the conditions for the validity of the Frenkel and Wannier approaches
with DMC, we consider a three-dimensional (3D) system and assume an electron-
hole spectrum with symmetric valence and conduction bands of width Ec and a
direct gap Eg at zero momentum [27]. We find that for large ratio κ = Ec /Eg
(κ > 30) the exciton binding energy is in good agreement with the Wannier approx-
imation, see Fig. 12.8(a), and the probability density of the relative electron-hole
motion, see Fig. 12.8(c), corresponds to the hydrogen-like result. For smaller val-
ues of κ, however, both the binding energy and the wave function of the relative
motion, see Fig. 12.8(d) deviate noticeably from the large radius results. It is quite
100
1.0
(a) (c)
ln (Binding energy)
Binding energy
10–1
0.5
10–2
0.0
0.5 1.5 2.0
10–3 0.0 1.0
0 200 400 600 800 1000
Bandwidth
Electron−hole distance
Envelope function (a.u.)
0.25
10–4
0.0 20.0 40.0 60.0 80.0 0.2
(d)
Bandwidth
0.15
0.05
0.1
0.05
Wave function
0 0 2 4 6 8 10
Coordinate sphere
(e)
–0.05 (b)
–0.1
0 5 10 15 20 25 0 1 2 3 4
Coordinate sphere Coordinate sphere
Fig. 12.8. Panel (a): Dependence of the exciton binding energy on the bandwidth Ec = Ev
for conduction and valence bands. The dashed line corresponds to the Wannier model. The
solid line is the cubic spline, the derivatives at the right and left ends being fixed by the
Wannier limit and perturbation theory, respectively. Inset in panel (a): The initial part of the
plot. Panel (b): Wave function of internal motion in real space for the optically forbidden
monopolar exciton. Panels (c)–(e): The wave function of internal motion in real space: (c)
Wannier (Ec = Ev = 60); (d) intermediate (Ec = Ev = 10); (e) near-Frenkel (Ec =
Ev = 0.4) regimes. The solid line in the panel (c) is the Wannier model result while solid
lines in other panels are to guide the eyes only
surprising that we need such large valence and conduction bandwidths (κ > 20) for
the Wannier approximation to be applicable.
Similarly, the range of validity of the Frenkel approach is limited as well. Even
a strongly localized wave function does not guarantee good agreement between the
exact binding energy and the Frenkel approximation. For 1 < κ < 10 the wave
function is already strongly localized, but the binding energies differ considerably.
For example, at κ = 0.4, the relative motion is rather suppressed, cf. Fig. 12.8(e),
but the binding energy of the Frenkel approximation is two times larger than the
exact result, see inset in Fig. 12.8(a).
Another long-standing issue is the formation of charge transfer excitons in 3D
systems and the appropriate modelling of mixed valence semiconductors [58]. A
decade ago some of the unusual properties of SmS and SmB6 were explained on
the basis of an excitonic instability mechanism, thereby assuming a charge-transfer
nature of the optically forbidden exciton [59, 60]. Although this model explained
quantitatively the phonon spectra [61, 62], optical properties [63, 64], and mag-
netic neutron scattering data [65], its basic assumption has been criticized as being
groundless [66, 67]. We have studied the excitonic wave function of mixed valence
materials, starting from typical dispersions of the valence and conduction bands: An
almost flat valence band is separated from a broad conduction band with its maxi-
mum in the center and minimum at the border of the Brillouin zone [27]. The results
presented in Fig. 12.8(b) support the assumption of [59, 60], since the wave function
of the relative motion has an almost vanishing on-site component and its maximal
charge density at nearby neighbors.
12.3.6 Two-Level System
In this section we apply the diagrammatic expansion to a two-level system, see

(12.10) and (12.11), which is the simplest object with an internal structure. One can
generalize this example to the full problem of a two-level system in a bosonic bath
(12.10)–(12.12) or to the problem of the Jahn-Teller and PJT polaron [28, 34].
While adapting the technique developed in Sect. 12.3.3, we need to take into ac-
count that the interaction switches the quantum numbers between different states of
the QP with energies ε1,2 = ±ǫ/2. Therefore, when a new vertex is introduced into
the expansion, it has to exchange the energies ε1 ↔ ε2 in all propagators situated,
e.g., to the right of the vertex, see Fig. 12.9. For example, the particle propagator
G2 (τlast − τi+2 ) = exp(−(ε2 − μ)(τlast − τi+2 )) of type two in Fig. 12.9(a) changes
to that of type one G1 (τlast − τi+2 ) = exp(−(ε1 − μ)(τlast − τi+2 )) in Fig. 12.9(b).
Therefore, the ratio for the add-propagator update in Fig. 12.9 is
(a) (b)
0 τ1 τr τlast τ τi τi+1 τi+2 τlast τ
Fig. 12.9. Add/remove updates changing the number of interaction vertices. Solid (dashed)
lines correspond to propagators of the particle in a state with energy ε1 (ε2 )

Nprop
M= ∆(τr − τl )e−ǫδS , (12.63)
Nvert + 1
where δS = (τi+2 − τi+1 ) − (τlast − τi+2 ) + (τ − τlast ). Note that each additional
vertex switches between the GFs G11 (τ ) and G12 (τ ). The statistics for G11 (τ ) is
updated when the right end of the diagram corresponds to a propagator of type 1,
which is denoted by a solid line, i.e. when there is an even number of interaction
vertices, and a contribution to the statistics of GF G12 (τ ) is counted otherwise.
To realize the importance of the above remark one can take the code for an
attractive potential from Sect. 12.3.3, and use it for the calculation of the GF of the
degenerate two-level system. In the case of zero bias ǫ = 0 the exponential factor in
(12.63) is irrelevant and the DMC algorithms for both problems are equivalent. The
only difference is the way how the statistics for the GFs is collected, since a diagram
contributes to G11 (τ ), G12 (τ ), for even, odd, number of interaction vertices.
The analytic GFs for the two-level system (12.10)–(12.11) in the case of zero
bias can be obtained in the following way: Diagonalization of the Hamiltonian
of the two-level system (12.10)–(12.11) without coupling to bosons yields two
eigenstates with energies ±∆. Then, the GFs G11 (τ ) = vac|a1 (τ )a†1 |vac and
G12 (τ ) = vac|a1 (τ )a†2 |vac can be obtained by a canonical transformation a1,2 =
√
1/ 2[aup ± alow ] of the initial creation and annihilation operators a1,2 and a†1,2 into
the operators of the upper and lower state aup, low and a†up, low . Then, taking into ac-
count that aup, low (τ ) = exp[−(±∆ − μ)τ ] aup, low , one arrives at the following
expressions
1 −(−∆−μ)τ
G11,12 (τ ) = e ± e−(∆−μ)τ . (12.64)

2
Comparing the DMC data with the exact GFs (12.64) we observe that the suggested
strategy for the accumulation of statistics is correct, cf. Fig. 12.10.
0.0
(a) (b)
–0.5 –1.0
In[G11(τ)]
In[G12(τ)]
–1.0
–1.5
–1.5
–2.0 –2.0
0 10 20 30 0 10 20 30
τ τ
Fig. 12.10. Comparison of the DMC data (squares) for G11 (τ ) (a) and G12 (τ ) (b) with
the solid lines corresponding to the analytic expressions (12.64) for the degenerate two-level
system. The dashed line marks the asymptotics ln[G11,12 (τ )]τ →+∞ = ln(1/2)−(−∆−μ)τ
of both GFs. Calculations are done for μ = −0.2 and ∆ = 0.15
12.4 Stochastic Optimization Method
The solution of the integral equation (12.17) is known to be an ill conditioned prob-
lem. The GF Gk (τ ) is known only with statistic errors and on a finite number of
imaginary times in a finite range [0, τmax ]. Due to this incomplete and noisy infor-
mation, there is an infinite number of approximate solutions which reproduce the GF
within some range of deviation, and the problem is to choose the best one. Another
problem is the saw tooth noise instability, which remained a stumbling block for
decades. It occurs when the problem is solved naively, e.g. by using a least-squares
approach for minimizing the deviation measure

τmax" "
# k (ω) = " #k (τ )"" G−1 (τ ) dτ .
D L "Gk (τ ) − G k (12.65)
0
Here G # k (τ ) is obtained from an approximate Lehmann function L # k (ω) by apply-

# #
ing the integral operator Gk (τ ) = F (Lk (ω)) in (12.17). The saw tooth instability
corrupts the Lehmann function in regions where the actual Lehmann function is
smooth. Fast fluctuations of the solution L # k (ω) often have much larger amplitude
than the value of the actual Lehmann function Lk (ω). Standard tools for the sup-
pression of saw tooth noise are mostly based on the early idea of Fillips-Tikhonov
regularization [68, 69, 70, 71]. In these approaches a nonlinear functional, which
suppresses large derivatives of the approximate solution L # k (ω), is added to the lin-
ear deviation measure (12.65). The most popular variant of those regularization ap-
proaches is the MEM [43].
However, the typical Lehmann function of a QP in a boson field consists of
δ-function peaks and a smooth incoherent continuum with a sharp border [26, 36].
Hence, suppression of high derivatives, as the general strategy of the regularization
method, fails. Moreover, any specific implementation of the regularization method
uses a predefined mesh in ω-space, which could be completely inappropriate for the
case of sharp peaks. If the actual location of a sharp peak is between predefined
discrete points, the rest of spectral density can be distorted beyond recognition. Fi-
nally, MEM assumes a Gauss distribution of statistic errors in Gk (τ ), which might
be invalid in some cases [43].
Recently, a SO method, which circumvents the above mentioned difficulties,
was developed [26]. The SO method is based on the calculation of a large enough
number M of statistically independent non-regularized solutions {L # (s) (ω), s =
k
(s)
1, . . . , M }, whose deviation measures D are smaller than some upper limit Du ,
which depends on the statistic noise of the GF Gk (τ ). Then, using the linearity of
the expressions (12.17) and (12.65), the final solution is found as the average of
particular solutions {L # (s) (ω)}
k
M
1 # (s)
Lk (ω) = L (ω) . (12.66)
M s=1 k
(s)
# (ω) is parameterized in terms of a sum
The particular solution L k
K

# (s) (ω) =
L χ{Pt } (ω) (12.67)
k
t=1
of rectangles {Pt } = {ht , wt , ct } with height ht > 0, width wt > 0, and center ct .
The configuration
C = Pt , (12.68)
K
with t = 1, . . . , K, which satisfies the normalization condition t=1 ht wt = 1,
defines the function G # k (τ ). The generation of a particular solution starts from an
arbitrary initial configuration Csinit . Then, the deviation measure is optimized with
a random sequence of updates, until the deviation is less than Du . In addition to
the updates, which do not change the number of terms in the sum (12.67), there are
updates which increase or decrease K. Hence, since the number of elements K is
not fixed, any spectral function can be reproduced with the desired accuracy.
Although each particular solution L # (s) (ω) suffers from saw tooth noise in re-
k
gions where the Lehmann function is smooth, the statistical independence of each
solution leads to a self-averaging of this noise in the sum (12.66). Note that the
noise is suppressed without suppressing high derivatives. Hence, in contrast to reg-
ularization approaches, sharp peaks and edges are not smeared out. Moreover, the
continuous parameterization (12.67) does not need a predefined mesh in ω-space,
and, since the Hilbert space of solutions is sampled directly, no assumptions about
the distribution of statistical errors are required.
In Fig. 12.11 we present results for an averaging over an increasing number
of statistically independent particular solutions. One can notice that the spikes in
the spectral analysis data disappear with increasing M . Note, that neither the gen-
eral shape of the triangle, which is an artificial Lehmann function with infinite first
derivatives, nor the sharp low-energy edge of the spectral density are corrupted by
the SO method.
1.5
(a) (b) (c)

1.0
0.5
0.0
0 1 2 3 0 1 2 3 0 1 2 3
ω ω ω
Fig. 12.11. Comparison of the actual spectral function (dashed line) with the results of a
spectral analysis after averaging over (a) M = 4, (b) M = 28, and (c) M = 500 particular
solutions
The SO method was successfully applied to restore the Lehmann function of a

Fröhlich polaron [26], a Rashba-Pekar exciton-polaron [36], a hole-polaron in the
t-J-model [35, 30], and of a many-particle spin system [72]. The calculation of the
optical conductivity of the polaron by the SO method can be found in [29]. The SO
method is particularly helpful when the GF’s asymptotic limit, which gives infor-
mation about the ground state, cannot be reached. For example, sign fluctuations of
the terms in expansion (12.29) for a hole in the t-J-model lead to poor statistics at
large times [35]. Nevertheless, the SO method is capable of recovering the energy
and the Z-factor even when the GF is known only at small imaginary times [35].
Comparing MEM and SO, I would like to point out that SO surpasses MEM
when the statistical errors of the MC data are small enough, and has no advantages
otherwise. Moreover, the CPU time required for the SO procedure is two orders of
magnitude larger than that necessary for MEM. However, this price is worth to be
paid, since we avoid the approximations of MEM and get a result which is as close
as possible to the exact solution. Moreover, the above limitation is not essential,
because the CPU time required for accumulating good MC statistics is much larger
than that for a SO analysis.
12.5 Conclusions and Perspectives

To summarize, the combination of diagrammatic MC and stochastic optimization
methods is a powerful tool for obtaining approximation free data for few complex
objects, which interact with each other and with one or several bosonic baths in a
macroscopic system. In this contribution I have restricted myself to the description
of the methods in application to several simple examples. This might help a beginner
to write first simple DMC-SO codes. A more detailed review of the results obtained
by DMC-SO can be found in [31, 32]. The numerical approach has already been
used to obtain the Lehmann function [26] and the optical conductivity [29, 39] of
Fröhlich polarons, Lehmann functions of the Rashba-Pekar polaron [36], a hole in
an antiferromagnet [35], and a hole in an antiferromagnet interacting with optical
phonons [30, 37]. In addition, the ground state properties of the pseudo Jahn-Teller
polaron [34] and the exciton [27] have been studied.
These techniques can also be applied to a wide range of other problems. Among
the most obvious ones are the ground state properties and the excitations of the
exciton-polaron and the Holstein polaron. Particularly interesting is the case of a
3D polaron interacting with acoustic phonons, where all other numeric methods are
unable to provide an exact solution. Switching from momentum to real space, i.e.
calculating the on-site Lehmann functions of a polaron at and near the impurity
potential, one can reveal the experimental signal observed by scanning tunneling
microscopy. As yet, the interaction of a two-level system with a bosonic bath is not
studied by the DMC and SO methods.
I thank N. Nagaosa, A. Sakamoto, N.V. Prokofev, B.V. Svistunov, E.A. Burovski,
and H. Fehske for collaborations and discussions. This work is supported by Russian
Fund of Basic Researches (RFBR) grants 04-02-17363a and 07-0200067-a.
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13 Path Integral Monte Carlo Simulation of Charged
Particles in Traps
Alexei Filinov, Jens Böning, and Michael Bonitz
Institut für Theoretische Physik und Astrophysik, Christian-Albrechts-Universität, 24098

Kiel, Germany
13.1 Introduction
This chapter is devoted to the computation of equilibrium (thermodynamic) proper-
ties of quantum systems. In particular, we will be interested in the situation where
the interaction between particles is so strong that it cannot be treated as a small per-
turbation. For weakly coupled systems many efficient theoretical and computational
techniques do exist. However, for strongly interacting systems such as nonideal
gases or plasmas, strongly correlated electrons and so on, perturbation methods fail
and alternative approaches are needed. Among them, an extremely successful one
is the Path Integral Monte Carlo (PIMC) method which we are going to consider in
this chapter.
13.2 Idea of Path Integral Monte Carlo

If we perform classical simulations of a system in equilibrium, we usually start
from the Boltzmann-type probability distribution, pB ∼ exp(−βUN (R))/Z, (β =
1/kB T ) and then the Monte Carlo method (Part II and [1]) can be used to sam-
ple the particle coordinates R = (r 1 , r 2 , . . . , r N ), a 3N -dimensional vector. Now
the question arises what is the appropriate probability density in the quantum case.
The answer is provided by the density operator ρ. Consider a general expression for
thermodynamic averages in statistical thermodynamics. The N -particle density ma-
trix ρ(β) contains the complete information about the system with the observables
given by

dR R|O ρ|R ′ R′ |
dR dR′ R|O|R ρ|R
Tr[O ρ]

O(β) = = = .
Tr [
ρ]
dR R|ρ(β)|R dR R|ρ|R
(13.1)

This expression is simplified if the physical observable O is diagonal in the

coordinate representation, i.e. R′ |O|R
= R|O|R δ(R′ − R). In this case we
need only the diagonal matrix element R|ρ|R.
As in the classical case we have to perform an integration over 3N (or more)
degrees of freedom, but in contrast, now we generally do not know the analytical
A. Filinov et al.: Path Integral Monte Carlo Simulation of Charged Particles in Traps, Lect. Notes Phys. 739, 397–412
(2008)
398 A. Filinov et al.
expression for the N -particle density operator which has to be substituted in (13.1).
This problem was first overcome by Feynman [2]. The key idea was to express the
unknown density operator,

ρ(β)|R′ with
R| ρ = e−β H , (13.2)
at a given inverse temperature β by its high-temperature asymptote which is known

analytically. However, this comes at a high price: Instead of an already compli-
cated 3N -dimensional integral, now it expands to much higher dimensions (3N M ),
where M is an integer which in practice is chosen between 1 ≤ M ≤ 3000.
13.2.1 Group Property of Density Matrix
One simple and straightforward strategy is to use the group property of the density
matrix. It allows to express the density matrix at low temperatures in terms of its
values at higher temperature, i.e.

ρ(R, R′ ; β1 + β2 ) = R|e−(β1 +β2 )H |R′ = dR1 R|e−β1 H |R1 R1 |e−β2 H |R′

= dR1 ρ(R, R1 ; β1 )ρ(R1 , R′ ; β2 ). (13.3)
Using the group property M times we find the generalization

β
ρ = e−β H = e−∆β H . . . e−∆β H , ∆β = . (13.4)
M
This means that the density operator ρ is expressed as a product of M new density
operators, exp(−∆β H), each corresponding to an M times higher temperature.
Finally, using (13.4) for any fixed end-points R and R′ we can write the off-
diagonal matrix element as1

′
ρ(R, R ; β) = dR1 dR2 . . . dRM−1
ρ(R, R1 ; ∆β)ρ(R1, R2 ; ∆β) . . . ρ(RM−1 , R′ ; ∆β) , (13.5)
where M factors are connected by M − 1 intermediate integrations.
13.2.2 High-Temperature Approximation
Equations (13.4) and (13.5) are correct for any finite M as long as we use exact ex-
pressions for the high-temperature N -particle density matrices, ρ(Ri−1 , Ri ; ∆β).
Unfortunately, they are unknown, and to proceed further we need to introduce
approximations.
1
The total dimension of the integral, (M − 1) 3N , may be very large. The success of the
method relies on highly efficient Monte Carlo integration.
13 Path Integral Monte Carlo Simulation of Charged Particles 399
The approximation we employ is based on Trotter’s theorem (1959) applied to a

= T + V , which contains both kinetic and potential energy
general Hamiltonian, H
operators, i.e.
!
M
ρ = e−β(T +V ) = lim e−∆β T e−∆β V
M→∞
!
M 2
≈ e−∆β T e−∆β V + O e−∆β M[T ,V ]/2
! 1
M
≈ e−∆β T e−∆β V +O . (13.6)
M
Note that T and V do not commute giving rise to the commutator, [T, V ], which
is only the first term of a series2 . Neglecting the terms [T, V ] gives an error of the
order O [1/M ]. This error can be made arbitrarily small by choosing a sufficiently
large number of factors M .
Using the Trotter result (13.6), we immediately obtain an approximation for
high temperatures3

ρ(Ri , Ri+1 ; ∆β) ≈ Ri |e−∆β T e−∆β V |Ri+1
2
/λ2∆ −∆βV (Ri ;∆β)
= λ−3N
∆ e−π(Ri −Ri+1 ) , (13.7)

where λ∆ = 2π2 ∆β/m is the De Broglie wavelength. Substituting (13.7) in
(13.5) we get our final result for low temperatures
M−1 M−1
− π(Ri −Ri+1 )2 /λ2∆ − ∆βV (Ri )
ρ(R, R′ ; β) = dR1 . . . dRM−1 e i=0 e i=0 ,
(13.8)
with the boundary conditions: R0 = R and RM = R′ . Hence, we have con-
structed a suitable representation of the N -particle density matrix, which can be
evaluated numerically with the help of a Monte Carlo algorithm.
13.2.3 Visualization of Diagonal Elements of the Density Matrix
As we can see from (13.5) and (13.8), all N particles have their own images on M
different planes (or ‘time slices’). We can view these images (for each particle 3M
sets of coordinates) as a ‘trajectory’ or a ‘path’ in the configurational space. The
inverse temperature argument β can be considered as an imaginary time of the path.
The set of M time slices is ordered along the β-axis and separated by intervals ∆β.
In Fig. 13.1 we show typical configurations of particle trajectories which contribute
to the diagonal density matrix element (13.5) with R = R′ . The full density matrix
ρ(R, R; β) is obtained after integration over all possible path configurations with
the fixed end points (R = R′ ).
2
Double, triple and higher-order commutators have higher powers ∆β n as a prefactor and
can be dropped in the limit ∆β → 0.
3
Other more accurate high-temperature approximations are discussed in [1, 3].
2.0 XY plane 5 4 3 2 1
1 100
1.5
80
1.0
2 60
3 M
0.5
40
0.0
4 20
–0.5
5
0
5 4 3 1 2
–1.0
–1.0 –0.5 0.0 0.5 1.0 1.5 2.0 –1.0 –0.5 0.0 0.5 1.0 1.5 2.0 2.5
Y
Fig. 13.1. Snapshot of 5 particles in a two-dimensional parabolic potential. Each particle is

presented as a continuous path (obtained by a smooth interpolation through a discrete set of
M = 100 points). Right panel shows how the paths are stretched along the time (β) axis.
Particles 1 and 2 are in a pair exchange
If we look at the final analytical result for the high-temperature density matrix
(13.8), we recognize the usual Boltzmann factor with some effective action in the
exponent. This action describes two types of interaction. The first term,
M−1
N M−1 N M−1
π 2 π j j 2 k j
(Ri − Ri+1 ) = (r − r ) = (∆ri,i+1 )2 ,
i=0
λ2∆ λ2∆ j=1 i=0 i i+1
2 j=1 i=0
(13.9)
comes from the kinetic energy density matrices of free particles (j denotes sum-
mation over N particles, and i over M ‘time slices’). This energy can be interpreted
as the energy of a spring, U = k(∆r)2 /2. Changing one of the coordinates rji at
the time slice i is equivalent to a change of the spring energy of two nearest links,
j j
Ui = k(∆ri−1,i )2 /2 and Ui+1 = k(∆ri,i+1 )2 /2. These springs provide that the
nearest points on the path are usually at some average distance proportional to λ∆ .
With temperature reduction the average size of the path increases with λ∆ .
The second term ∆βV (Ri ) in (13.8) adds interactions to the system (e.g. an
external potential or inter-particle pair interaction)
M−1

N M−1
M−1

∆βV (Ri ) = ∆β Vext (r ji ) + Vpair (rji , r ki ) . (13.10)

i=0 j=1 i=0 j<k i=0
Each potential term depends only on the particle coordinates on the same time slice,
i.e. (r1i , r2i , . . . , rN
i ). As a result the number of pair interactions at each time slice,
N (N − 1)/2, is conserved.
In all expressions above we have considered the particles as distinguishable.
The generalization to quantum particles obeying Fermi/Bose statistics is considered
below, and discussed in more detail in [1, 3, 4, 5].
13.3 Basic Numerical Issues of PIMC
Having the general idea of the PIMC simulations we are ready to formulate the first
list of important issues which we need to solve.
13.3.1 How to Sample Paths
It is necessary to explore the whole coordinate space for each intermediate point.
This is very time consuming. To speed up convergence we move several slices
(points of path) at once.
The key point is to sample a path using mid-points Rm and a consequent itera-
tion (bisection), see Fig. 13.2(b).
With the definition: 0 < t < β, τ = i0 ∆β [i0 = 1, 2, 3, . . .], R ≡ R(t), R′ ≡
R(t + 2τ ), Rm ≡ R(t + τ ), the guiding rule to sample a mid-point Rm is

R|e−τ H |Rm Rm |e−τ H |R′ 2
/2στ2
P (Rm ) = ≈ (2πστ2 )−d/2 e−(Rm −R) ,
R|e−2τ H |R′
(13.11)
where d is the spatial dimension of the system. In practice, we can neglect in
the sampling distribution the potential energy and use only the ratio of the free-
particle density matrices. As a result we get a Gaussian distribution with the mean
R = (R + R′ )/2 and the variance στ2 = 2 τ /2m. This will lead to 100% ac-
ceptance of sampling for ideal systems (and close to one for a weakly interacting
system).
For strongly interacting systems the overlap of the paths sampled from the free-
particle distribution (13.11) results in large increase of the interaction energy and in
a poor acceptance probability at the last level of the bisection sampling [1, 3]. This
can be improved by using the optimized mean and the variance
2
R + R′ ∂V (R) 2 τ 2 τ
R= + στ , στ2 = + ∆V (R) , (13.12)
2 ∂R 2m m
which also accounts for interaction between nearest neighbors (gradient of the po-
tential energy).
The advantages of the bisection sampling method [1, 3] are:
– Detailed balance is satisfied at each level.
– We do not waste time on moves for which paths come close and the potential
energy increases strongly (for repulsive interaction). Such configurations are re-
jected already at early steps.
– Computer time is spent more efficiently because we consider mainly configura-
tions with high acceptance rate.
– The sampling of particle permutations is easy to perform.
13.3.2 Choice of the High-Temperature Density Matrix

From (13.8) we note, that the first free-particle terms can be considered as a weight
over all possible random walks (Brownian random walks) in the imaginary time
β with the ends points R and R′ . In the limit M → ∞ we directly obtain the
Feynman-Kac relation
&β
− dt V (R(t))
ρ(R, R′ ; β) = ρ0 (R, R′ ; β) e 0 . (13.13)
FK
In the quasi-classical limit (β → 0), only the classical path is important, R0 (t) =
(1 − t/β) R + tR′ /β, which leads to the semi-classical approximation of the high-
temperature density matrix
∆β
&
− dt V (R0 (t))
′ ′
ρ(R, R ; ∆β) = ρ0 (R, R ; ∆β)e 0 , (13.14)
which is already much better compared to (13.7) with the substitution of classical
(in many cases divergent) potentials.
For systems with pair interactions, in the limit of small ∆β, the full density
matrix (13.13) can be approximated by a product of pair density matrices
&β β
− dt V (R(t)) 0 − & dt Vpair [rj (t),rk (t)]
e 0 ≈ e 0 , (13.15)
FK j<k FK
which is known as the pair approximation. It supposes that on the small time interval
∆β the correlations of two particles become independent from the surroundings.
Different derivations of the effective pair potential (average on the r.h.s of (13.15))
have been proposed in the literature [6, 7, 8]. More accurate effective interaction
potentials, which take into account two, three and higher order correlation effects,
help to reduce the number of time slices by a factor of 10 or more.
The implementation of periodic boundary conditions leads to further modifica-
tions, see e.g. [9, 10, 11, 12, 13, 14, 15].
13.3.3 How to Calculate Physical Properties

There are different approaches for calculating expectation values of physical observ-
ables, such as the energy, momentum distribution, etc., which are called estimators.
In each particular case convergence can be improved by the choice of a proper esti-
mator. Consider, for example, the thermodynamical estimator of the internal energy

∂ 1 ∂Z 1 ∂ρ(R, R; β)
E=− (lnZ) = − =− dR . (13.16)
∂β Z ∂β Z ∂β
After direct substitution of (13.8), one obtains4
4
This is only valid for particles with Boltzmann statistics. For fermions one has to include
additional terms related to the β-derivative of the exchange determinant [1, 16, 17].
M−1 M−1

dM N Mm 1
2
E= − (Ri − Ri+1 ) + V (Ri ) .
2β i=0
22 β 2 M i=0
ρ(R;β) ρ(R;β)
(13.17)
This form of the energy estimator has a much larger statistical variance σs compared
to the virial estimator [18].
√ Since the statistical error in Monte Carlo simulations
decreases as δE ≈ σs / NMC (with NMC being the number of MC-steps), with the
direct estimator (13.17) one usually needs 2-4 times more MC runs to get the same
accuracy as given by the virial estimator.
One of the approaches to obtain the virial estimator for the energy relies on
introduction of temperature dependent coordinates [16, 17], i.e. R
the #i = R0 +
i m i
λ∆ m=1 ξ , i = 1, . . . , M − 1. Here ξ is a set of unit vectors, and R0 is a set of
particle coordinates at the zero time slice (R0 = R). Once this has been done, the
estimator takes the form [1]

dN ∂V ( # ∂R
R) #
E= + V (R)# +β . (13.18)
2β ∂R# ∂β
#
ρ(R;β)
One can note at once, that for weakly interacting systems at high temperatures,
the virial result (13.18) directly gives the classical kinetic energy (first term) and
does not depend on the chosen number of time slices M , whereas using the direct
estimator (13.17) we get this result by calculating the difference of two large terms
which are diverging as M → ∞.
13.3.4 Acceptance Ratio
When we try different kinds of moves in the Metropolis algorithm, it may happen
that some moves will be frequently rejected or accepted. In both cases, we loose
the efficiency of the algorithm. The system will be trapped in some local region of
phase space for a long time (number of MC steps), and will not explore the whole
space within reasonable computer time. In practice, the parameters of the moves
are usually chosen to get an acceptance ratio of roughly 50%, which requires the
construction of good apriori sampling distributions for the different kinds of PIMC
moves (particle displacement, path deformation, permutation sampling).
A discussion of these topics, which is beyond the scope of this lecture, can be
found in [1, 3].
13.3.5 Quantum Exchange – PIMC for Bosons and Fermions
Now we come to ‘real’ quantum particles. As we have already discussed, the prop-
erties of a system of N particles at a finite temperature T are determined by the
density operator. Due to the Fermi/Bose statistics the total density matrix should
be (anti)symmetric under arbitrary exchange of two identical particles (e.g. elec-
trons, holes, with the same spin projection), i.e. we have to replace ρ → ρA/S for
fermions/bosons. As a result the full density matrix will be a superposition of all N !
permutations of N identical particles. Let us consider the case of two types (e,h) of
particles with numbers Ne , Nh
1
ρA/S (Re , Rh , Re , Rh ; β) = (∓1)Pe (∓1)Ph ρ(Re , Rh , Pe Re , Ph Rh ; β) ,
Ne !Nh !
Pe Ph
(13.19)
where Pe(h) is the parity of a permutation (number of equivalent pair transposi-
tions) and Pe(h) the permutation operator. We directly see that for bosons all terms
have a positive sign, while for fermions the sign of the prefactor alternates depend-
ing whether the permutation is even or odd.
In the last case a severe problem arises. The Metropolis algorithm gives the
same distribution of permutations for both Fermi and Bose systems. The reason is
that, for sampling permutations, we use the modulus of the off-diagonal density ma-
trix, |ρ(R, P R; β)| (implementation of the importance sampling in the Metropolis
scheme). We find that:
– For bosons all permutations contribute with the same (positive) sign. Hence with
the increase of the permutation statistics, accuracy in the calculation of the den-
sity matrix increases proportionally.
– For fermions positive and negative terms cancel almost completely (correspond-
ing to even and odd permutations), since both are close in their absolute values.
Accurate calculation of this small difference is hampered noticeably with the
increase of quantum degeneracy (low T , high density). The consequences are
large fluctuations in the computed averages. This is known as the fermion sign
problem. It was shown [5] that the efficiency of the straightforward calculations
scales like exp(−2N β∆F ), where ∆F is the free energy difference per particle
of the same fermionic and bosonic system, and N is the particle number.
13.3.6 Numerical Sampling of Permutations
Fermi and Bose statistics require sampling of permutations, see (13.19), in addition
to the integrations in real space. From the N ! possibilities, we need to pick up a
permutation which has a non-zero probability for a given particle configuration.
To realize a permutation we pick up two end-points {Ri , Ri+i0 } along the β-
axis with i0 = 2l−1 (l = 1, 2, . . .). Although the permutation operator P in (13.19)
acts on the last time-slice, Re(h) , the permutation of the paths, {Ri , Ri+i0 } →
{Ri , P Ri+i0 } can be carried out at any time slice because the operator P commutes
with the Hamiltonian. In a permutation (k permuted particles) the path coordinates
between the fixed points Ri and Ri+i0 are removed and new paths connecting one
particle to another (new k links) or a new path connecting a particle on itself (if a
given particle undergoes the identity permutation) are sampled.
It is evident that a local permutation move consisting of a cyclic exchange of
k ≥ 2 neighboring particles will be more probable than a global exchange involving
a macroscopic number of particles, and, in general, the probability of exchange will
decrease with the increase of k. The most probable are local updates: Permutations
of only few (2, 3, 4) particles. Moreover, any of the N ! permutations can be decom-
posed in a sequence of successive pair transpositions (two particle exchange), and
we can explore the whole permutation space by making only local updates which
have a high acceptance ratio.
In MC simulations we choose as the sampling probability of permutations
ρkin (Ri , P Ri+i0 ; i0 ∆β)
T (P → P ′ ) = , (13.20)
ρkin (Ri , PRi+i0 ; i0 ∆β)
P ∈Ω(P )
where we have used the product of the k one-particle density matrices

rj
π(r ji −P 2 2
ρkin (Ri , P Ri+i0 , ; i0 ∆β) ∝ e− j∈k i+i ) /(i0 λ∆ )
0 . (13.21)
Here Ω(P ) denotes the neighborhood of the current permutation P from which the
permutation P ′ is sampled. For example, for the exchange of two particles, Ω(P )
equals the number of neighbors of the given particle in the range of several De
Broglie wavelengths, λ(t), t = i0 ∆β, because only these particles are possible
candidates for the exchange.
To satisfy the detailed balance principle, we make a final decision5 about the
sampled permutation using the acceptance probability
⎡ ⎤
ρkin (Ri , P Ri+i0 ; i0 ∆β)
⎢ P ∈Ω(P ) ⎥
A(P → P ′ ) = min ⎢ ⎣1, ⎥ , (13.22)
ρkin (Ri , P Ri+i0 ; i0 ∆β) ⎦
′
P ′ ∈Ω(P ′ )
where Ω(P ′ ) is the neighborhood of the new permutation P ′ . If the neighborhoods

of the current and new permutation are equal, the acceptance probability is one.
As an illustration, in Fig. 13.2 we show a world line picture of five particles.
Particle indices in Fig. 13.2 (a) and (c) are placed near the starting and end point
of the particle trajectories. Hence, when the sequence of indices at m = 0 and
m = 100 does not coincide the particles are permuted (see Figs. 13.2 (a) and (b)).
As we can see from Fig. 13.2(a) the paths of particles ‘1’ and ‘2’ are closed
(two identical permutations), three other particles are in one cyclic exchange, and
the whole permutation can be denoted as {1, 2, 5, 3, 4} (as we can see the end of the
path ‘3’ coincides with the beginning of path ‘5’, the end of path ‘4’ coincides with
the beginning of path ‘3’ and the path ‘5’ ends up at the starting position of path ‘4’.
Now we decide to make a transposition between particles ‘1’ and ‘4’. To do this we
choose randomly time slices where new paths will be sampled. In our case it was
m = 17 − 33. First, we exchange the edge points at the time slice m = 33, i.e.
r′33 33 ′33 33
1 ≡ r 4 and r 4 ≡ r 1 . Hence the position of the edge points is not sampled,
they are a part of the unchanged trajectories. Once the initial and final points are
chosen, we use the bisection algorithm to sample two paths connecting edge points,
see Fig. 13.2(b).
5
The sampled permutation can be rejected earlier when the new paths connecting Ri and
P Ri+i0 are sampled with the bisection algorithm [1, 3].
a) 5 1 3 4 2 34 b) c) 5 4 3 1 2
100 100
90 32 90
80 30 80
70 28 70
60 60
26
50 50
24
40 40
30 22 30
20 20 20
10 18 10
0 0
4 1 5 3 2 16 1 4 4 1 5 3 2
–1.0 –1.5 0.0 0.5 1.0 1.5 2.0 –1.0 –0.5 0.0 0.5 1.0 –1.0 –0.5 0.0 0.5 1.0 1.5 2.0
Y Y Y
Fig. 13.2. (a),(c) The Y-coordinates of N = 5 identical particles as a function of the time-
slice number m. Labels show particle indices. Thick gray and light gray lines show the paths
of the particles ‘1’ and ‘4’ which are exchanged by sampling new paths at time-slices m =
17 − 33 (these time-slices are in the region between two dashed lines). (b) Sampling of new
paths using the bisection algorithm for the particles ‘1’ and ‘4’. The new paths are constrained
at the time-slices m = 17−33. Old (new) paths are shown by lines (circles). The filled circles
show two mid-points sampled at the level l = 1 (center of the interval, m = 25) and four
other mid-points for sub-intervals [17, 25] and [25, 33] sampled at level l = 2. Open circles
show final new paths for two particles obtained with the sampling at levels l = 3, 4 and
the transposition, i.e. by exchanging the paths starting from m = 33 up to the end point,
m = 100
13.4 PIMC for Degenerate Bose Systems

Currently much experimental activity is devoted to the study of ensembles of dilute
gases of Bose atoms and optically excited indirect excitons in single/double well
nanostructures (see e.g. [19, 20, 21] and references therein). The most exciting is
certainly the possibility to observe signatures of Bose condensation and superflu-
idity. The essential point of these experiments is that the number of trapped atoms
are limited to a few ten thousand particles and one should expect significant devi-
ation (finite-size effects) from the macroscopic limit, leading e.g. to a ‘softening’
of the condensate fraction curve in the transition region and also to a shift of the
critical temperature to lower values. This is particularly important for the case of
a few hundreds of particles which become accessible to a direct theoretical inves-
tigation using quantum Monte Carlo approaches which allows to treat many-body
correlation effects from ‘first principles’.
In PIMC, as was shown by Feynman [2], the Bose statistics manifest itself
as a special topology of the particle trajectories which can form macroscopically
large permutation cycles. The free external parameters, like temperature, density,
interaction strength, have a direct influence on these cycle distributions and, hence,
on the superfluid and condensate fractions. Below we demonstrate how the latter
can be easily related to the statistics of path configurations sampled by PIMC.
To be more specific in the discussion below we consider a system of trapped
bosons with Coulomb interaction described by the Hamiltonian
N
N
=H
0 + e2 0 = 2 2 m 2 2
H , H − ∇ + ω ri , (13.23)
i<j
ε|ri − r j |2 i=1
2m ri 2
which can be also reduced to the dimensionless form (in the harmonic oscillator
units)
N N

# = H = 1
H −∇2#ri + r#i2 + λ
1
, (13.24)
ω 2 i=1 r#
i<j ij
using: r → r# = (r/l0 ), E → E # = (E/ω) with l2 = /mω. In this mesoscopic

0
trapped system the density is controlled by the harmonic trap frequency ω and is
characterized by the coupling parameter λ = (e2 /ǫl0 )/(ω) = l0 /aB ∝ ω −1/2 .
In the limit λ → ∞ the external potential vanishes, while for λ → 0 the Coulomb
interaction can be neglected (formal transition to non-interacting bosons).
13.4.1 Superfluidity
First, we consider the fraction of the superfluid (mass) density γs = ρs /ρ which,

within the Landau two-fluid model is computed from the classical and quantum
momenta of inertia, Ic and Iq , according to γs = 1 − Iq /Ic [22, 23]. The quantities
Ic and Iq (corresponding to rotation along the Z-axis) are effectively computed in
PIMC simulations [24] from the area enclosed by the particle paths A, using
N M−1
ρs 4m2 A2z 1 i
= 2 , A= rk × rik+1 ,
ρ βIc,z 2 i=1
k=0

N M−1

Ic,z = mi rik,⊥ · rik+1,⊥ , (13.25)
i=1 k=0
where N is the particle number, M the number of time slices used in the path inte-
gral presentation, and . . . denotes the thermal average with respect to the bosonic
(symmetric) N -particle diagonal density matrix

1
. . . = dr 1 dr 2 . . . dr N (. . .) ρS (r 1 , r2 , . . . , rN ; β) . (13.26)
Z
This formula has been derived [24] for finite systems by assuming that particles
are placed in an external field, e.g. in a rotating cylinder. Then one assumes that the
system is put in a permanent slow rotation with the result that the normal component
follows the imposed rotation while the superfluid part stays at rest. The effective
moment of inertia is defined as the work required to rotate the system by a unit
angle.
For macroscopic systems the path area formula (13.25) can be modified [3, 25].
Instead of a filled cylinder, one considers two cylinders with the radius R and spac-
¯ where d¯ ≪ R. Such a torus is topologically equivalent to the usual periodic
ing d,
boundary conditions. As a result we have: Ic = mN R2 and Az = W R/2, where
W is the winding number, defined as the flux of paths winding around the torus and
crossing any plane
N
β
ρs W 2 dr i (t)
γs = = , W = dt . (13.27)
ρ 2λβN i=1 0 dt
13.4.2 Off-Diagonal Long-Range Order
The magnitude of off-diagonal long-range order is, in macroscopic systems, also

directly accessible with PIMC. It is characterized by the asymptotic behavior of the
single-particle off-diagonal density matrix

V
′
ρ(r 1 , r 1 ; β) = dr 2 . . . drN ρS (r 1 , r2 , . . . , rN , r ′ 1 , r2 , . . . , r N ; β) ,
Z
(13.28)
n0 (β) = ′lim ρ(r 1 , r ′ 1 ; β) , (13.29)
r 1 →∞
where n0 is the fraction of particles in the condensate and V is the volume of the
simulation cell. For a homogeneous isotropic system, ρ(r 1 , r ′ 1 ) = ρ(|r 1 − r ′ 1 |)
and, by taking the Fourier transform of an off-diagonal element, one obtains the
momentum distribution

1 ′
ρ(k) = d
d(r 1 − r ′ 1 ) e−ik(r1 −r 1 ) ρ(|r 1 − r ′ 1 |; β) , (13.30)
(2π)
which shows a sharp increase at zero momentum when the temperature drops below
the critical temperature Tc of Bose condensation.
Obviously, a finite trapped system of particles considered in real experiments
behaves differently. The radial density is strongly inhomogeneous with the highest
value at the trap center. However, these systems do represent an analog of the homo-
geneous macroscopic system in the angular direction (for traps with angular sym-
metry as in the case (13.23)). Hence, the macroscopic formulas (13.29) and (13.30)
should be modified in an appropriate way and the corresponding momentum distri-
bution, the condensate fraction and superfluidity acquire an additional dependence
on the radial distance from the trap center.
As follows from (13.28), for the numerical evaluation of the single-particle den-
sity matrix one should allow that one of the N simulated particles has an open path,
e.g. r 1 = r ′ 1 . The paths of the other N − 1 particles can close at their beginning
(identical permutation) or at the start of another particle’s path. The coordinates

r1 , r ′ 1 are independent but their probability is given by the N -particle density ma-
trix. In simulations we record a histogram (distribution) given by
ρ(r, r ′ ; β) ∝ δ(r 1 − r)δ(r ′ 1 − r ′ )W , (13.31)
W = ρS (r 1 , r2 , . . . , rN , r ′ 1 , r2 , . . . , rN ; β)/Z ′ , (13.32)
(Z ′ is the normalization factor) which is then used to obtain the momentum distri-
bution (13.30). The probability W is sampled using the path integral representation
of ρS .
Recently a new method to sample the single-particle density matrix (13.28) has
been proposed [26, 27]. It is based on generalization of the conventional PIMC to
the grand canonical ensemble. A worm algorithm [26, 27] allows for a simultaneous
sampling of both diagonal configurations contributing to the partition function and
off-diagonal ones which contribute to the one-particle Matsubara Green function.
The method has been recently applied to study of Bose condensation in crystalline
4
He and superfluidity in para-hydrogen droplets [28, 29], where high efficiency in
sampling of long permutation cycles (practically unaffected by system size) and
significantly improved convergence in the calculation of superfluid properties has
been demonstrated.
(a) λ = 10
1,0
(b)
0,8
Superfluid fraction, γs
(a) T = 0.01 (b) T = 0.1 (c) T = 0.2
0,6
N = 5 interacting bosons
Coupling strength:
(c) ideal
0,4 λ=2
λ = 10
λ = 100
0,2
0,0 0,5 1,0 1,5 2,0

Temperature, kBT/hω
Fig. 13.3. Superfluid fraction for N = 5 charged bosons with Coulomb interaction in a two-
dimensional harmonic trap (see the Hamiltonian (13.23)). Parameters are: λ = 0, 2, 10, 100,
and temperature, T = kB T /ω. Symbols denote PIMC data (from [30]). Dash-dotted line
displays an analytical result, γs = 1 − Iq /Ic , for the ideal harmonically confined bosons. The
insets show the density distributions at λ = 10 for three temperatures
13.4.3 Example: Interacting Bosons
With the PIMC method it is possible to include inter-particle interactions like e.g.
Coulomb repulsion (13.23) from first principles. The effective strength of the inter-
action can be controlled by the trap frequency and is measured by the parameter λ.
As an illustration in Fig. 13.3 we present numerical results from PIMC simulations.
Shown is the temperature dependence of the superfluid fraction for several values
of the control parameter λ (the range 2 ≤ λ ≤ 10 corresponds to typical particle
densities in semiconductor quantum dots). The repulsive interaction causes a shift
of the transition temperatures to lower values. When cooled down, the system typi-
cally forms a crystal like state in intermediate temperature regions until it melts into
a ring like structure with delocalized particles, see insets in Fig. 13.3. Obviously, the
latter shows a high superfluid response which is proportional to the ratio of the area
enclosed by paths to the cross-section of the whole system (see (13.25)). In the ideal
case, the system skips the intermediate crystal phase and directly reaches the delo-
calized state. In the case of dominating interaction strengths, the system stays highly
localized even at absolute zero. Note, that even for the crystal phase the simulations
yield a non vanishing value γs . This is a finite size effect because of a nonzero area
ratio (13.25) (for details see [30]).
13.5 Discussion
We close this lecture with a few general comments. Quantum and classical Monte
Carlo methods are currently actively developing computational tools for a basi-
cally exact treatment of many-body systems in equilibrium. Quantum simulations
are particularly complicated: While in classical mechanics one only has to evaluate
integrals over the Boltzmann distribution, in quantum mechanics one also needs to
determine the quantum density matrix or, at low temperature, the wave function.
The basis for the PIMC approach lies in the correspondence principle, which states
that quantum mechanics reduces to classical mechanics in the limits of low density
and high temperature.
The ability of quantum Monte Carlo methods (including PIMC) to provide an
accurate treatment of quite a general class of model Hamiltonians has lead to ap-
plications in many fields of physics, including low-temperature degenerate plasmas,
solid state physics, nanomaterials, collective effects in ultra-cold Bose and Fermi
gases, molecules etc. This list is far from being complete.
Typical applications include neutral atoms cooled down to temperatures of sev-
eral nano Kelvin, or systems with strong correlations, quantum effects in solids,
melting or liquid-vapor transitions. Particularly interesting are the crystal formation
of electrons or holes in bulk semiconductors [31] and quantum dots [32, 33], the
superfluidity of dense 4 He in Vycor [28, 34], the equation of state, phase transitions
and the phase diagram of hot, dense hydrogen [16, 17, 35, 36, 37].
In addition, there are calculations concerned with the superfluid transition of
4
He [38, 39]. Since 4 He is one of the simplest bosonic systems for experimentalists
as well as for theoreticians, it has also been studied in inhomogeneous conditions,

e.g. superfluidity in doped helium/hydrogen droplets [40]. Recently the superfluidity
has been predicted also in small para-hydrogen clusters containing several tens of
particles [29, 41, 42]. Interestingly, the superfluid fraction behaves in a quite non-
monotic manner, depending on the cluster size.
On the other hand, electron-hole systems in semiconductors have been the
source of interesting new physics for several decades. An electron and a hole can
form abound state, the exciton, which is the neutral bosonic quasiparticle of a semi-
conductor. Formation of a Bose-Einstein condensate of excitons has been a target
of many experiments [19, 20], though none have produced a clear proof of Bose
condensation. Recent numerical PIMC studies [43, 44] of such systems support the-
oretical predictions of the possibility of exciton condensation.
As we have seen, PIMC is among the most general algorithms for quantum
many-body systems. Nevertheless, a number of problems remain to be solved in the
future. Among them are: a) the fermion sign problem, b) the large computational
costs, which limit the simulations to system sizes of several hundred particles, c) the
fast, efficient and more accurate calculation of spin and magnetic effects, d) infor-
mation about excitation spectra, which could be obtained by PIMC using imaginary
time correlation functions.
The field of application of PIMC is limited to systems in thermal equilibrium.
The extension of this method to nonequilibrium is challenging. A possible approach
is discussed in the lecture of V. Filinov et al., Chap. 2.
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14 Ab-Initio Approach to the Many-Electron Problem
Alexander Quandt
The chemical and physical properties of solids, molecules and nanomaterials de-
pend on a subtle interplay of the spatial arrangement of the ions and the resulting
distribution and density of electrons, which provide the binding forces of the sys-
tem. Predicting the structure and the properties of novel materials, e.g., nanosys-
tems, therefore is impossible without falling back on the elementary interactions
and the most accurate ab initio methods for their simulation. We give a survey of
the most popular ab initio methods used by quantum chemists, and describe some
important modifications that made those methods available for the study of complex
nanomaterials of moderate size.
14.1 Introduction
The term ab initio1 refers to a family of theoretical concepts and computational
methods that literally treat the many-electron problem from the beginning. In other
words, these methods start from the exact (non-relativistic) many-body Hamiltonian
of an atomic, molecular or solid system comprising M atoms and N electrons.
In a strict sense, the one and only approximation ever made will be the Born-
Oppenheimer approximation [1], where one assumes that the electronic and nu-
clear time scales effectively decouple. Then one may freeze the nuclear degrees
of freedom R ≡ {R1 . . . RM } and solve the corresponding Schrödinger equa-
tion for a many-electron wavefunction Ψ that will explicitly depend on the elec-
tronic degrees of freedom r ≡ {r1 . . . rN }, only. Therefore in the framework of the
Born-Oppenheimer approximation, the exact many-electron Hamiltonian will be (in
atomic units, see [2]):
N
N
M N Zα Zβ M
1 Zα 1
H(r, R) ≡ − ∆r i − + + .
i
2 i α
|ri − Rα | i<j |r i − r j | |Rα − Rβ |
α<β
Here, the first term denotes the operator of the kinetic electronic energies, the sec-
ond term refers to the various attractive electron-nucleus interactions, the third term
describes the various electron-electron repulsions, and the final term describes the
repulsions between the various nuclei of the system.
1
Latin: ab, from + initio, ablative of initium, beginning.
A. Quandt: Ab-Initio Approach to the Many-Electron Problem, Lect. Notes Phys. 739, 415–436 (2008)
416 A. Quandt
In order to determine the corresponding (ground-state) many-electron wavefunc-

tion Ψ (r, m), where m ≡ {m1 . . . mN } stands for a set of electronic spin variables,
which is the solution of a Schrödinger equation with the Hamiltonian of (14.1), one
usually falls back on a related variational principle:
Ψ (r, m)|H(r, R)|Ψ (r, m)

E0 (R) = min . (14.1)
Ψ (r,m) Ψ (r, m)|Ψ (r, m)
In general, the resulting electronic wavefunction Ψ (r, m) will be some approxi-

mation to the real antisymmetric wavefunction of the corresponding many-electron
system. And the art of ab initio will simply consist of finding ingenious ways to
numerically determine an approximate wavefunctions. The ultimate goal of course
must be chemical accuracy, which turns out to be one of the most formidable chal-
lenges of applied computational sciences.
But before going into the details of the numerical machineries related to quan-
tum chemistry, it should be emphasized that textbooks like Coulson’s Valence [3]
and Pauling’s Nature of the Chemical Bond [4]), which shaped our modern picture
of the chemical bond, originate from a time, when modern ab initio methods just
started to grow up, and accurate ab initio calculations beyond simple systems com-
prising a few electrons were just not feasible. How is it possible that these books are
still valid? The answer must be sought in the general validity of an orbital picture of
the chemical bond, and therefore we devoted the whole Sect. 14.2 to illustrate this
important concept.
Starting from this orbital picture, one may systematically arrive at a more de-
tailed description of the chemical bond. Along these lines, we will derive the
Hartree-Fock method and some of its extensions in Sect. 14.3, and density func-
tional theory in Sect. 14.4. We will see that the orbital picture and all of the related
concepts form Sect. 14.2 remain valid, which will allow for a rather intuitive inter-
pretation of chemical bonding in molecules and in solids.
Once one can assure chemical accuracy in determining the electronic compo-
nents of a certain molecular or solid system for any given nuclear configuration,
then all of the questions related to chemical stability and chemical reactivity will
just boil down to a detailed analysis of the corresponding total energy hypersur-
faces. Section 15.1 will give an introduction to this concept, and there we will also
present some ingenious ways to step over those energy hypersurfaces, in search
for chemical isomers and the products and educts of chemical reactions. Then in
Sect. 15.2 we will illustrate how such concepts are applied in practice. To this end,
Sect. 15.2 will contain a short recapitulation of a series of recent theoretical and
experimental studies that finally lead to the discovery of a whole new class of boron
based nanomaterials. Interesting enough, these discoveries were anticipated by ab
initio calculations, rather than being the result of a benevolent laboratory ghost.
However, with the modelling and the prediction of novel nanostructured ma-
terials, we are already hitting the limits for the applicability of modern ab initio
methods. Nevertheless the theory of the physical and chemical properties of nano-
materials and other complex materials may be extended to rather large nanosystems,
14 Ab-Initio Approach to the Many-Electron Problem 417
by using suitably parameterized model Hamiltonians, where the parameterization

will be fitted to ab initio calculations or experimental data. Some important strate-
gies to set up model Hamiltonians will be presented in Sect. 15.3, which is based on
original work by O. Gunnarsson (MPI FKF Stuttgart), who kindly made his lecture
notes and various illustrations available for this purpose. In Sect. 15.3 we will also
indicate how to built a consistent theoretical picture of important physical processes
within complex materials by using such model Hamiltonians. Finally in Sect. 15.4
we will give a short summary and dare to make a bet on “the shape of things to
come” (H.G. Wells).
The possibility to predict novel materials and to draw a consistent picture of
their basic physical and chemical properties is quite remarkable, compared to the
first applications of ab initio methods, which just aimed at an accurate description
of simple one- and two-electron systems [5]. But the predictive power of modern ab
initio methods turns out to be the product of decades of intense research, driven by
at least three equally important developments.
First of all there was a rather dramatic increase in the hardware capacities of
modern computing systems, due to a continuous down-scaling of microelectronic
devices. The importance of increasing computing facilities for modern ab initio
methods is directly connected to a matrix representation of the one-electron problem
described in Sect. 14.2.2. In brief, our current inability to treat systems as large as
complex protein structures is mainly due to the fact that we cannot store and handle
matrices beyond a certain size.
The necessary increase of storage and computing facilities by a continuous
down-scaling of microelectronic devices involves a number of serious technolog-
ical challenges [6], and one might wonder whether Moore’s law, which predicts
an exponential growth of computing power, may still hold in the future, when mi-
croelectronic devices smaller than the sub-lithographic range of about 40 nm must
be produced. But a closer look back into the past reveals that Moore’s law was
even holding long before the silicon era, see Fig. 14.1. Thus, there is some hope
Calculations per Second per $1000
108
106
104
102
100
10–2
10–4
10–6
1900 1920 1940 1960 1980 2000
Time
Fig. 14.1. Moore’s law predicts an exponential growth of computing power, which obviously
extends over various technologies (electromechanical: 1900–1935, relays: 1934–1940, vac-
uum tubes: 1940–1960, transistors: 1960–1970, integrated circuits: since 1970), see [7]
418 A. Quandt
that similar shifts in fabrication technologies and distributed computing will extend
Moore’s law even into the far future [7], and that these developments will provide us
with increasingly powerful computational platforms for future ab initio simulations.
A second important factor for the dramatic progress of ab initio methods were
several algorithmic breakthroughs, which considerably boosted the performance of
modern ab initio program packages. In order to understand the strong dependence of
modern ab initio codes from the development of powerful numerical algorithms, we
listed some of the most popular algorithms in Tab. 14.1. This listing was taken from
a recent effort to identify the top ten algorithms of the 20th century [8]. It comes as
no big surprise that the vast majority of these algorithms are actually forming key
elements of modern ab initio codes, and progress along these lines implies progress
in the computational performance of ab initio codes. Probably, the top ten algorithms
of the 21st century will also make their way into future ab initio codes.
The third important factor for the progress of ab initio methods were theoretical
and conceptional breakthroughs in applying the variational principle described by
(14.1). Nowadays chemical accuracy may routinely be achieved for system sizes
that imply hundreds of atoms and electrons, and these developments turned out to
be so useful for our current understanding of molecular and solid systems, that the
1998 Nobel prize in Chemistry was given to some of the protagonists in the field of
ab initio methods, Walter Kohn and John A. Pople. We will describe some of their
achievements in Sect. 14.3 and 14.4, but in order to get a more detailed impression
about their pioneering work, we recommend the study of some decent textbooks,
for example [2, 9, 10, 11] or [12].
Table 14.1. Top ten algorithms of the 20th century, after [8]
Algorithm author(s) year

Monte Carlo method J. v. Neumann, S. Ulam, N. Metropolis 1946
Simplex method for linear G. Danzig 1947
programming
Krylov subspace iteration M. Hestenes, E. Stiefel, C. Lanczos 1950
method
Decompositional A. Householder 1951
approach to matrix
computations
Fortran optimizing J. Backus 1957
compiler
QR algorithm J.G.F. Francis 1961
Quicksort T. Hoare 1962
Fast Fourier transform J. Cooley, J. Tuckey 1965
Integer relation detection H. Ferguson, R. Forcade 1977
algorithm
Fast multipole algorithm L. Greengard, V. Rokhlin 1987
Let us finally emphasize that these lecture notes are meant to be tutorial in the
first place, and to provide the reader with some sort of jump start concerning mod-
ern ab initio methods. Therefore these notes are no substitute for an extended review
article about ab initio methods, and the interested reader is asked to consult further
literature in order to get a more detailed picture of the vast field of modern ab ini-
tio methods. Beyond that, knowledge usually comes with practice, and we really
want to encourage the reader to get some practical experience with modern ab initio
methods, for example after implementing and running some of the program pack-
ages listed in Sect. 15.A.
14.2 An Orbital Approach to Chemistry

Once the variational principle of (14.1) can be solved with sufficient accuracy, the
structural and chemical properties of molecular or solid systems may be predicted
quite reliably. But as we said before, there was already a profound understanding of
the structure and the properties of materials (see [3] or [4]) at a time when numerical
calculations were just restricted to atoms, small molecules and simple solids. The
basic reason why theoretical chemistry was able to advance for a long time with-
out the help of modern ab initio simulations, is due to the famous observation by
Lewis [13], that there is some sort of orbital picture underlying chemistry. Armed
with this rather intuitive concept, chemists then went on and combined early orbital
based theoretical concepts with experimental investigations. One of the classical ex-
amples for such a strategy is Lipscomb’s discovery of multicentered bonding in the
boranes [14].
Nowadays many of the rather crude or hand waving concepts that appeared in
the early years of quantum chemistry and computational materials science may be
put on a solid basis using ab initio calculations. For example, quantum chemists
have developed schemes to analyze in great detail the nature of chemical bonding
in molecular systems, based on the concept of Natural Bond Orbitals [15, 16]. For
solid systems, there are similar approaches based on a tight-binding picture of the
chemical bond [17, 18]. This tight-binding approach also turns out to be helpful
in deriving analytical models to describe the physical properties of solids, where
the essential model parameters will be taken from ab initio methods, rather than
experiment (see Sects. 15.3 and [19]).
In the following, we will give a short survey of orbital theory, and introduce
some important theoretical concepts related to this approach. Orbital theory will re-
appear in Sects. 14.3 and 14.4, where we discuss the basic ideas of modern ab initio
methods.
14.2.1 The Lewis Picture of the Chemical Bond
It is very likely that already during high school, your chemistry teacher might have
introduced you into the language of Lewis-diagrams, just like the ones shown in
Fig. 14.2. And after some time, you might have even learned to check chemical
420 A. Quandt
H H
X H C C H C C (a)
H H
H
M W CH (b)
H2C
C C C C
C C C C (c)
C C C C
Fig. 14.2. Lewis diagrams. (a) Octet rule for main row elements and some examples. (b)
Dodectet rule for d-block elements and a simple example. (c) Resonance effects stabilizing a
π-electron system
structures by carefully counting electrons from one to eight. But it is also very likely
that someone at the university finally told you that it is all rubbish. Well, the next
sections will show you that even the most simple minded Lewis picture of the chem-
ical bond is not that far off the truth.
14.2.1.1 Chemistry with a Pencil
Let us have a closer look at Fig. 14.2. Under (a), we find a rather suggestive rep-
resentation of the famous octet rule, which tells you that main row elements bind
over localized electrons pairs, and in a way that all main row elements involved in
chemical binding may be able to completely fill up their valence shells (s+ 3p) with
shared electrons. There is a similar rule for d-block elements shown in (b), where
the valence shell comprises six orbitals (s + 5d), which leads to a dodectet rule [16].
A single Lewis diagram of course is a very localized description of the chem-
ical bond, and in most cases, there is additional stabilization through delocaliza-
tion effects. In the classical resonance picture of the chemical bond [4], delocal-
ized bonding will be represented by a series of resonance structures, as indicated in
Fig. 14.2(c) for the well-known case of the delocalized π-electron system of ben-
zene. The real π-electron wavefunctions will be superpositions of these resonance
structures, such that all carbon-carbon bonds in Fig. 14.2(c) will turn out to be equal.
14.2.1.2 Donor-Acceptor Interactions
It is possible to translate the language of Lewis-diagrams into a purely quantum

mechanical picture using ab initio methods [16]. Here we just want to argue on the
basis of a simple model system. Suppose φi (r) to be the localized eigenfunction
(orbital) of a Hermitian one-electron operator floc (r):
floc (r)φi (r) = ǫi φi (r) . (14.2)

According to the Pauli principle, every orbital could be filled with two electrons,
and therefore we may consider the doubly occupied orbital solutions of (14.2) to
correspond to some localized electron pairs in the Lewis diagrams, to be located
around the atomic cores. Now let us assume that the influence of the nearby ionic
cores and electrons may be described by the addition of a perturbation term fpert (r).
Then according to second order perturbation theory, we obtain the following results:
(1)
φj |fpert |φi
φi (r) = φj (r) , (14.3)
ǫi − ǫj
j =i
(1)
Ei = φi |fpert |φi , (14.4)
(2)
|φi |fpert |φj |2
Ei = . (14.5)
ǫi − ǫj
j =i
These equations have some interesting interpretation. First of all (14.3) tells us that
under the influence of a perturbing environment, our localized orbitals will mix
and form delocalized orbitals. Equation (14.4) is a simple energy shift lacking any
further interpretation. But (14.4) contains a lot of chemistry. Here, the expression
for the second order energy correction involves a sum of terms that become negative
and rather large (i.e. bonding), whenever there is a strong interaction φi |fpert |φj
between orbitals i and j that are close in energy, and ǫi < ǫj . Therefore the system
usually stabilizes through one or just a few bonding contributions, which correspond
to a specific energetic scenario indicated in Fig. 14.3.
The latter diagram also has some chemical interpretation. The occupied orbital
i of energy ǫi is strongly interacting with a nearby unoccupied orbital j ∗ of energy
ǫj ∗ > ǫi . According to Lewis [13], the occupied orbital i is an electron pair donor
(Lewis base), whereas the unoccupied orbital j ∗ is an electron pair acceptor (Lewis
acid). The strong interaction between the donor orbital and the acceptor orbital leads
to the formation of a delocalized bonding orbital, which is lower in energy by an
amount:
(2) |φi |fpert |φj ∗ |2
Ei→j ∗ = −2 . (14.6)
ǫj ∗ − ǫi
εj ∗
εi
(2)
Ei→j ∗
Fig. 14.3. Donor-acceptor interaction between a doubly occupied orbital i and an unoccupied
(2)
orbital j ∗ , forming a new bonding orbital stabilized by an energy Ei→j ∗
422 A. Quandt
This delocalized bonding orbital will be filled by the electron pair that originally
occupied the localized orbital i.
Therefore, given the validity of a one-electron picture, where every (localized)
electron is only slightly perturbed by a local interaction fpert (r) corresponding to
the averaged influence of the environment, the chemical bonding will largely be
dominated by donor-acceptor interactions of the type shown in Fig. 14.3. And this
seems to be the standard scenario of quantum chemistry.
14.2.2 One-Electron Hamiltonians
Now that we understood the importance of the one-electron approach to chemistry,

we may ask ourselves how to find a numerical solution to a general one-electron
Schrödinger equation similar to (14.2). But we already know that for a proper de-
scription of the chemical bond, there must be some perturbing local interaction
fpert (r) with the molecular or solid environment, and this interaction will lead to
a mixing of the localized orbitals related to floc (r), see (14.3).
Based on this knowledge, we will better forget about our previous perturbative
approach. Instead, we will try to solve the one-electron Schrödinger equation for
a more realistic one-particle operator f (r) = floc (r) + fpert (r). Furthermore we
will not even try to determine the proper eigenstates of floc (r), but instead we will
expand the eigenstates φi (r) of f (r) in a suitable set of basis functions ϕμ (r):

φi (r) = Cμi ϕμ (r) . (14.7)
μ
14.2.2.1 Basis Functions
From a chemical point of view, the basis functions ϕ(r) should either be chosen
such that they mimic localized electronic states, for example the eigenstates of a
single atom (atomic orbitals). Or the basis functions should have some important
physical or chemical properties in common with the one-electron states they should
describe, for example the periodicity of electron wavefunctions in a solid.
Beyond that, the basis functions also serve some numerical purpose, namely
the transformation of a Schrödinger equation similar to (14.2) into a generalized
matrix eigenvalue problem to be discussed below. Then the criteria must be that the
numerical algebra related to these basis functions should be as simple as possible.
Consequently the basis functions ϕμ neither have to be orthogonal, nor do they
really have to correspond to any known floc (r). Instead, for the usual one-electron
system encountered in quantum chemistry or solid state physics, it will be most
important to pick a set of basis functions of the right physical shape. This chosen
basis set must be large enough to mimic electrons in a realistic fashion, but at the
same time small enough to keep the related matrix eigenvalue problem manageable.
Some of the most popular choices for basis functions are:
2
ϕ(r) = e−αr (14.8)
ϕ(r) = xl y m z n e−ηr (14.9)

1
ϕ(r) = √ eik·r (14.10)
V
⎧
⎨ √1 [i(G+k)·r]
V G cG e r∈I
ϕ(r) = . (14.11)
⎩
lm Alm ul (r)Ylm (θ, φ) r∈S
Within quantum chemistry, the most popular choices are the Gauss-type orbitals
(GTO) of (14.8). Their algebra is well understood [2], and the corresponding basis
sets have been optimized by generations of quantum chemists. Although the atomic
states seem to be more similar to the Slater-type orbitals (STO) of (14.9), it turns
out that the STOs may be well approximated by a suitable fixed linear combination
of GTOs [2].
For solids, the simplest type of basis functions are the plane waves (PW) of
(14.10). There are various numerical advantages in using such a basis set, in par-
ticular in the framework of Car-Parrinello molecular dynamics [20]. The algebra
related to the PWs is extremely simple, and the basic numerics can be carried out
quite effectively using FFT routines [21].
The basis functions of (14.11) are augmented planewaves (APW), which go
back to Slater [22]. These functions are designed to meet the special bonding situ-
ations in (closely packed) solids. Inside a sphere S near the nucleus, the potential
will be nearly spherically symmetric and similar to the potential of a single atom,
whereas in the interstitial region I, the potential will be almost constant. Both parts
of the corresponding electronic wavefunction in (14.11) have to match on the sur-
face of S. Using some clever approximations [23], all of these requirements can
be met in the framework of the linearized augmented planewave method (LAPW),
where the determination of eigenstates based on APWs may again be reduced to a
standard generalized matrix eigenvalue problem [21].
Other interesting basis sets are Muffin-Tin orbitals [24], Wannier functions [25],
or wavelets [26].
14.2.2.2 Matrix Equations
In the last paragraph we saw that each type of basis function ϕμ (r) seems to require
its own individual type of algebra. But in the end, the general problem of solving
the one-electron Schrödinger equation

f (r)φi (r) = ǫi φi (r) with φi (r) = Cνi ϕν (r) , (14.12)
ν
will always boil down to a generalized matrix eigenvalue problem by sandwiching

(14.12) with a basis function ϕν (r):
424 A. Quandt

Fμν Cνi = ǫi Sμν Cνi
ν ν
Sμν ≡ ϕμ |ϕν
Fμν ≡ ϕμ |f |ϕν
=⇒ FC = SCE (using matrix notation) . (14.13)
Here the matrix elements Fμν are a measure for the interaction strength between
two orbitals, and the matrix elements Sμν are a measure for their mutual overlap.
The coefficient matrix Cνi and the diagonal matrix ǫi δij are to be determined by
numerically solving the generalized matrix eigenvalue problem.
In principle (14.13) should be a standard numerical task. There exists a bulk of
profound literature dealing with such problems (see e.g. [27]), and there are quite
powerful program packages to tackle such problems, see http://www.netlib.
org/lapack/ or [28]. Nevertheless, as we will see in the next section, the gen-
eralized matrix eigenvalue problem related to the one-electron problem turns out to
be rather special. And therefore even the most powerful solvers, which are designed
to tackle the most general cases, may not really be the method of choice for solving
this problem.
14.2.3 Some Useful Simplifications
When blindly setting up the eigenvalue problem of (14.13), we may actually be

overdoing things for at least two good reasons. First of all, it is very unlikely that
electrons located at opposite sides of a larger molecule would still be interacting
with each other. Second, it is well known that only the valence electrons really par-
ticipate in the chemical bonding, whereas the core electrons remain in orbitals that
are practically indistinguishable from their atomic counterparts. In the following,
we will present some general approximation schemes that will take these issues into
account.
14.2.3.1 The Tight-Binding Approximation
It will be another textbook wisdom that the overlap between bonding atomic orbitals
is supposed to be a measure for the strength of that bond (principle of maximum
overlap). In a more scientific language, we may put it that way:
Fμν ≈ Kϕμ |ϕν = KSμν . (14.14)
Most basis functions will decay rather quickly away from the centers where they
are located, and this means that quantum chemistry is a rather near-sighted business,
where the matrices Fμν and Sμν may be thinned out considerably. In the end (14.13)
will be a rather sparse matrix eigenvalue problem, and even some (over-)simplified
versions of (14.13) might be of considerable theoretical interest. Let us have a look
at the following approximations:

Fμν Cνi = ǫi Sμν Cνi , (14.15)
ν ν
with Sμν = 0 except when ϕμ and ϕν are located within nearest-neighbor distance,
or Sμν = δμν (Hückel-type approach), Fμν = 0 except when ϕμ and ϕν are lo-
cated within nearest-neighbor distance. These equations are the essence of the tight-
binding approximation, where all the contributions to Fμν and Sμν are zero, except
those that involve basis functions, which are located at neighboring sites. In such
a case, the interactions between valence orbitals located on neighboring atoms be-
come somewhat standardized and may be tabulated. Furthermore these tight-binding
models are also a perfect starting point for a series of simple, but rather powerful
analytical models in solid state physics, see Sect. 15.3 and [19].
14.2.3.2 Pseudopotentials
The idea behind the pseudopotential approach may easily be stated in a few sen-
tences. As we already mentioned before, only the valence electrons are contributing
to the chemical bond. Therefore it would be best to substitute all of the core elec-
trons by a pseudopotential, which weakens the original potential within the core re-
gion. This would lead to a pseudo-wavefunction χv for the valence electrons, which
would be much smoother inside the core region than the real valence wavefunction
φv , which wiggles around much faster, due to some orthogonality constraints with
respect to the core states φc , see Fig. 14.4.
Altogether we may assume that the pseudo-wavefunctions will also contain
some contributions from the core states, and therefore we make the following
Ansatz:
f φc = ǫc φc(core) f φv = ǫv φv (valence)

χv = φv + φc |χv φc (pseudo-wavefunction) . (14.16)
c
wavefunctions
real
R
pseudo
potentials
Fig. 14.4. In the framework of the pseudopotential approach, the wavefunctions of the va-
lence electrons are substituted by smooth pseudo-wavefunctions, which implies a weakened
interaction potential within the core region
426 A. Quandt
The next theoretical step is to introduce some core projector P , such that
(1 − P )φc = 0 (1 − P )χv = φv . (14.17)
Then it is just a matter of simple algebra to show that:
[(1 − P )f (1 − P )] χv = ǫv (1 − P )(1 − P )χv

1
(f − P f − f P + P f P + ǫv P )χv = [− ∆r + VPS (r)]χv = ǫv χv .
2
(14.18)
Obviously, the pseudo-wavefunctions have the same energies as the real valence
electron wavefunctions, but the corresponding one-electron Hamiltonian f has been
modified quite dramatically (it should be energy-dependent!). It turns out that this
modified one-electron Hamiltonian may usually be written in the form of the last
line in (14.18), using a simple parameterized form for the pseudopotential VPS like:
Z − Nc A
VPS ≡ + e−λr . (14.19)
r r
This parameterization comprises the fitting parameters A and λ, Z should just be
the nuclear charge, and Nc the number of core electrons. Of course, there are more
sophisticated ways to construct a pseudopotential VPS , in particular using planewave
basis sets [21].
14.2.4 Noninteracting Many-Electron Systems
So far we only considered one-electron Hamiltonians and their corresponding or-

bitals. But usually a molecule or solid will contain a large number of electrons, and
one might wonder about the right formalism to describe such a system. Furthermore,
we have largely ignored electron spin, and now it is time to put the spin back into
our formalism.
There are two things that we have to require to set up this formalism. First,
the electrons must be independent and indistinguishable. Second, the corresponding
many-electron wavefunction must be antisymmetric, such that:
Ψ (x1 . . . xi . . . xj . . . xN ) = −Ψ (x1 . . . xj . . . xi . . . xN ) (14.20)

xi = (r i , mi ), r i : cartesian coordinates, mi : spin .
The indistinguishability and independence of the electrons requires a many-

electron Hamiltonian, which is a sum of identical one-electron operators for each
electron i:
N N
H(r)Ψ (r, m) = ( f (ri ))Ψ (x1 . . . xN ) = ( ǫi )Ψ (r, m)
i i
(14.21)
= EΨ (r, m) .
This Hamiltonian could be inserted into the variational principle of (14.1) under the
constraint of orthonormality for a set of suitable spin orbitals
{χi (x) ≡ φi (r)ω(m)}i=1...N . (14.22)
These spin orbitals will form a Slater determinant, which is defined as follows:
" "
" χ1 (x1 ) χ2 (x1 ) . . . χN (x1 ) "
" "
1 " χ (x ) χ2 (x2 ) . . . χN (x2 ) ""
Ψ SD (r, m) ≡ √ "" 1 2 . (14.23)
N! " . . . ... ... . . . ""
" χ1 (xN ) χ2 (xN ) . . . χN (xN ) "
Then, after performing a unitary transformation, we finally arrive at a one-electron

Schrödinger equation for the spin orbitals similar to (14.12).
14.3 Hartree-Fock Theory

In the following two sections, we will discuss various schemes to construct realistic
one-electron Hamiltonians. And starting from this basis, we will also be able to
derive two of the key methods in quantum chemistry and computational materials
science. The present Sect. will be devoted to Hartree-Fock (HF) theory, which was
the standard workhorse of ab initio calculations until the dawn of density functional
theory. Consequently the whole field of Hartree-Fock based ab initio methods is a
giant one (see [2] or [9]), and here we are able to just present a rather modest and
biased selection.
We will start our derivation of the Hartree-Fock equation from the pioneering
work of Hartree [29]. His theory was set up in the spirit of a one-electron the-
ory described above, and then it was Fock [30], who pointed out how to transform
Hartree’s theory into a real many-electron approach. Once the related one-electron
Hartree-Fock equations are solved, one may set up advanced perturbative or varia-
tional schemes of increasing accuracy using the HF orbitals [9], some of them being
the very benchmark methods of modern quantum chemistry. In this article, we only
discuss one of these approaches called Configuration Interaction (CI) method.
14.3.1 Hartree’s Method
Hartree’s idea [29] was to reduce the many-electron problem of chemical bonding
to a one-electron form, where every electron has its own individual wavefunction φi
and energy level ǫi . To this end, he suggested a one-electron Schrödinger equation
of the following kind:
1
− ∆r φi (r) + V (r)φi (r) = ǫi φi (r) . (14.24)
2
The first term denotes the kinetic energy operator for an electron with wavefunction
φi , and the second term represents a general interaction potential for this electron.
428 A. Quandt
The brilliant insight of Hartree was to assume that every electron is moving in a
potential caused by the classical electrostatic interaction with the nuclei, and caused
by the classical electrostatic interaction of the electron with smeared out negative
electric charges that correspond to the electron density
N

ρ(r ′ ) = φ∗i (r ′ )φi (r ′ ) . (14.25)
i
This is the very essence of the mean-field approach. We see that the electron den-
sity in (14.25) is obviously built from the electron wavefunctions themselves, and
therefore the corresponding potential must be constructed by iterating (14.24) until
one obtains a self-consistent electron density or wavefunction.2
In contrast to a common prejudice, the potential given by Hartree was actually
the following:
M

Zα ρ(r ′ ) − φ∗i (r ′ )φi (r ′ ) ′
V (r) = − + dr (for electron i) . (14.26)
α
|Rα − r| |r − r ′ |
We see that Hartree obviously corrected the interaction between electron i and the
electronic mean field, such that the electron i will not interact with itself, which
would certainly be unphysical.
The final conceptional step of the Hartree theory was to pack the one-electron
wavefunctions together to form a many-electron wavefunction. Here Hartree as-
sumed a simple product wavefunction:
N
0
Ψ (r) = φi (r i ) . (14.27)
i
It was Fock [30], who pointed out that the many-electron wavefunction of Hartree
theory should better be approximated by a single Slater determinant (see (14.23))
in order to guarantee its antisymmetry (see (14.21)). In the next section, we will
see that this assumption will add another term to the mean field called exchange
interaction. Finally we note that spin is obviously missing from Hartree’s original
theory.
14.3.2 The Hartree-Fock Method
We now derive Hartree-Fock theory, starting from the variational principle of (14.1).
This will lead to a set of non-linear one-electron Schrödinger equations, similar to
the Hartree theory ((14.24)–(14.26)). Then, by introducing basis functions, these
equations may be transformed into a nonlinear matrix equation (Roothan equation),
where we have to determine the self-consistent solution to a generalized eigenvalue
problem similar to (14.13).
2
The first “supercomputer” to carry out these calculations was Hartree’s father.
14.3.2.1 The Hartree-Fock Equation
In the framework of Hartree-Fock theory, the ground-state wavefunction Ψ0 of a

N -electron systems will be approximated by a single Slater determinant Ψ0SD made
of N spin orbitals χi (see (14.23)). But in order to determine Ψ0SD , it will be neces-
sary to derive a suitable one-electron Schrödinger equation. We therefore plug Ψ0SD
into the energy functional Etot of (14.1):
Etot [Ψ0SD ] = Ψ0SD |H|Ψ0SD = Etot [{χi } , R]

1
= [a|h|a] + [aa|bb] − [ab|ba] + Vnn [R]
a
2
ab
1 2
1 ZA
∗
[a|h|a] = dx1 χa (x1 ) − ∆r 1 − χa (x1 )
2 |RA − r 1 |
A

1
[ab|cd] = dx1 dx2 χ∗a (x1 )χb (x1 ) χ∗c (x2 )χd (x2 ) ,
|r1 − r 2 |
(14.28)
and apply the variational principle with a twist: We vary Etot with respect to the
(conjugate) spin orbitals χ∗a , under the constraint that these spin orbitals should be
orthogonal. To this end we introduce a Lagrangian multiplier ǫab . Thus (14.1) will
be transformed into the following variational principle:

Orthonormality : [a|b] = dx1 χ∗a (x1 )χb (x1 ) = δab
1 2
δ δ
L[Ψ0 ] = E[{χi }] − ǫab ([a|b] − δab ) = 0 .
δχ∗a δχ∗a
ab
(14.29)
This leads to a coupled set of one-electron Schrödinger equations. Finally after

carrying out a unitary transformation [2], we obtain the following non-linear one-
electron Schrödinger equation
fHF ({χi }) χa = ǫa χa . (14.30)
Analogous to Hartree theory, the one-electron Hamiltonian fHF is a functional of

the orbitals that ought to be determined from it using (14.30), and therefore we have
to iterate everything until we find a self-consistent solution. This iterative procedure
can be very annoying, in particular when the system is large, and every iteration step
turns out to be extremely slow. Furthermore a bad convergence also tends to slow
down any further simulation step like the exploration of total energy hypersurfaces
in search for new materials, for which we need the total energy Etot from (14.28) at
a whole series of nuclear configuration R, and as quickly as possible.
Now it turns out that a self-consistent solution to (14.30) is actually equivalent
to a direct minimization of Etot from (14.28) for set of trial orbitals generated by
430 A. Quandt
various fHF of (14.30). There are quite powerful minimization techniques that ac-
tually exploit this idea, which lead to a dramatic improvement in convergence for
large systems [20].
Finally we write out (14.30) explicitly
M
N

1 Zα χ∗j (x′ )χj (x′ ) ′
− ∆r χi (x) − χi (x) + dx χi (x)
2 α
|Rα − r| |r − r′ |
j =i
N

χ∗j (x′ )χi (x′ ) ′
+ dx χj (x) = ǫi χi (x) , (14.31)
|r − r ′ |
j =i
and compare it to Hartree theory ((14.24)–(14.26)). Everything looks pretty much

the same, except for the last term in (14.31), which is called exchange potential,
for obvious reasons. And the N orbitals with the lowest energies ǫi will actually
form the ground state in terms of a Slater determinant Ψ0SD , where we must take into
account that every orbital will be occupied by two electrons of opposite spin, unless
we introduce the notorious spin contamination of unrestricted Hartree-Fock theory
(see [2]).
14.3.2.2 The Roothan Equation
Analogous to our procedure in Sect. 14.2.2, we expand the spin orbitals χi in a

suitable set of basis functions ϕμ
χi (x) = φi (r)ωi (m)

φi (r) = Cμi ϕμ (r) . (14.32)
μ
And by applying the techniques from Sect. 14.2.2, (14.31) will go over into a nonlin-
ear matrix equation called Roothan equation [2]. We explicitly write out everything
in its full glory, just to stop the overconfident reader, who might be convinced that
he/she will be able to write a HF program overnight:

Fμν Cνi = ǫi Sμν Cνi ,
ν ν

Sμν = dr ϕ∗μ (r)ϕν (r) ,
nucl core
Fμν = Tμν + Vμν + Gμν = Hμν + Gμν ,

1
Tμν = drϕ∗μ (r)[− ∆r ]ϕν (r) ,
2
Zα
nucl
Vμν = drϕ∗μ (r)[− ]ϕν (r) ,
α
|r − Rα |
N/2

∗
Gμν = Cλa Cρa [2(μν|ρλ) − (μλ|ρν)] ,
a λρ

1
(μν|λρ) = dr 1 dr 2 ϕ∗μ (r 1 )ϕν (r 1 ) ϕ∗ (r 2 )ϕρ (r 2 ) ,
|r 1 − r 2 | λ
N/2
1 ∗ core
Zα Zβ
Etot = [2 Cμa Cνa ](Hμν + Fμν ) + . (14.33)
2 μν a α
|Rα − Rβ |
β>α
Again we notice that the operator Fμν depends on the coefficient matrix Cνi that
ought to be determined from (14.33). Therefore we have to solve this equation it-
eratively, and schemes to accelerate such a procedure are known for a long time,
see [31].
14.3.3 Beyond Hartree-Fock
The one-electron Schrödinger equation of Hartree-Fock theory will generate a com-

plete set of orthogonal spin orbitals, which may be used to set up more than just
the ground-state Slater determinant. Altogether, these Slater determinants are also
forming a complete set of states within the antisymmetric part of a many-particle
Hilbert space. Therefore, any many-electron wavefunction Ψ may be expanded in
those Slater determinants:

Ψ ≡ c0 Ψ 0 + cα α
a Ψa + cαβ αβ
ab Ψab + cαβγ αβγ
abc Ψabc + . . .
aα a<b;α<β a<b<c,α<β<γ
SD
Ψ0 = Ψ (χ1 . . . χa . . . χb . . . χc . . . χN )
.. ..
. .
αβγ SD
Ψabc = Ψ (χ1 . . . χα . . . χβ . . . χγ . . . χN ) .
(14.34)
Note that we would specifiy those Slater determinants by those orbitals that are
actually substituting orbitals of the ground-state Slater determinant Ψ0SD . The various
expansion coefficients may be determined from the variational principle of (14.1),
which corresponds to the diagonalization of a giant Hamilton matrix H [2]
⎛ αβ ⎞
Ψ0 |H|Ψ0 0 Ψ0 |H|Ψab 0 ...
⎜ Ψaα |H|Ψbβ Ψaα |H|Ψbc
βγ βγδ
Ψaα |H|Ψbcd ... ⎟
H =⎜
⎝
⎟(14.35)
Ψab |H|Ψcd Ψab |H|Ψcde . . . ⎠
αβ γδ αβ γδǫ
etc.
There are actually some selection rules, which make the matrix H a little bit sparser,
but usually one needs a large number of Slater determinants to really improve upon
the HF method. Therefore the CI method is only applied to obtain some benchmark
432 A. Quandt
results for smaller systems, but there is a whole plethora of similarly accurate post-
HF ab initio methods described in [2] or [9], and a lot of them are actually going
back to Pople.
14.4 Density Functional Theory

The central ideas of density functional theory were written up in a landmark paper
of Hohenberg and Kohn [32], who showed that the variational principle of (14.1)
is equivalent to a variational principle for an energy functional Etot , which depends
on the ground-state one-electron density ρ0 , rather than the many-electron wave-
function Ψ0 . Lateron, Kohn and Sham [33] showed that this rather abstract concept
may actually be translated into a powerful computational scheme, which involves a
one-electron equation similar to the Hartree and Hartree-Fock equations discussed
above.
It turns out that such a density functional scheme will be as fast as the Hartree
method, but with the accuracy of post-HF methods. Therefore, with the advent of
density functional theory, it suddenly became possible to simulate large molecular
and solid systems, and ab initio simulations quickly developed into a whole new
branch of materials science, which could actually challenge experimental research,
see Sect. 15.2.
In the following, we will discuss some of the formal aspects of density func-
tional theory, and derive the Kohn-Sham one-electron equations. We also mention
some technical details that seem to be indispensable for running accurate density
functional calculations. For further details, the reader is referred to a bulk of interst-
ing monographs [10, 11, 12], or to a review article [34].
14.4.1 Formal Density Functional Theory
The key entity of density functional theory is the (spinless, reduced) one-electron
density:

ρ0 (r1 ) = N Ψ0∗ (x1 . . . xN )Ψ0 (x1 . . . xN )dm1 dx2 . . . dxN , (14.36)
which is obviously related to the ground state Ψ0 of a many-electron system, but

being much simpler. The rather intuitive assumption of density functional theory
is that this one-electron density will entirely determine the properties of a many-
electron system for a given nuclear configuration R. In other words, there is a one-
to-one correspondence between ρ0 (r) and a many-electron Hamiltonian H(r, v(R))
with external potential v(R). Hohenberg and Kohn actually gave an elementary and
very popular proof for it [32], but there is also a sound mathematical proof, which
fills all the remaining gaps [35].
This one-to-one relation implies the existence of a density dependent energy
functional Ev [ρ0 (r), R]:
Etot [Ψ0 (r), v(R)] ≡ Ψ0 (r)|H(r, v(R))|Ψ0 (r)

= Ev [ρ0 (r), R] ≡ T [ρ0 (r)] + Vv [ρ0 (r), R] + Vee [ρ0 (r)] + Vnn [R] .
(14.37)
But Ev [ρ0 (r), R] is a rather abstract object, which contains a general kinetic energy
functional T , a functional Vv that describes the interaction of the electrons with the
external field v(R), a functional Vee describing the electron-electron repulsion, and
the classical nucleus-nucleus repulsion Vnn that we already mentioned before. The
exact form of Ev [ρ0 (r), R] is unknown up to now, and the art of density functional
theory is to find a useful approximations to it [10].
Hohenberg and Kohn also showed that the variational principle of (14.1) for the
ground-state wavefunction Ψ0 may be transformed into a variational principle for
the ground-state one-electron density ρ0 :
"
δ "
Ψtr |H(v)|Ψtr = Ev [ρtr ] ≥ Ev [ρ0 ] = Ψ0 |H(v)|Ψ0 ⇒ Ev [ρ]"" = 0 . (14.38)
δρ ρ0
There are some mathematical subtleties related to this variational principle. In par-
ticular it is not clear up to now which types of trial densities ρtr are actually allowed
in (14.38). But for this and other mathematical details, we refer the interested reader
to [35] or [10]
14.4.2 The Kohn-Sham Method
So far, we could convince ourselves that there exists some abstract density func-
tional Ev [ρ0 (r), R] (14.37), and an equally abstract variational principle to deter-
mine the ground-state density ρ0 (14.38). However, Kohn and Sham showed [33]
that density functional theory may be put in a form similar to Hartree or Hartree-
Fock theory.
The key concept are the one-electron Hamiltonians that we discussed at great
length in Sect. 14.2. Because Kohn and Sham made the assumption that the one-
electron density ρ0 should be equal to the one-electron density of a non-interacting
reference system:

1
− ∆r + V (r) φi (r) = ǫi φi
2

Ψs = Ψ SD (φ1 . . . φN ) =⇒ ρ0 (r) = |φi (r)|2 . (14.39)
i
Then ρ0 will be made of the orbital solutions φi to (14.39), and the correspond-
ing many-electron ground-state wavefunction Ψs will be a single Slater determinant
made from the most stable orbitals, which is already pretty close to Hartree-Fock
theory!
In order to arrive at a potential V similar to the Hartree or Hartree-Fock one-
electron interaction potential, it is necessary to make some cosmetics and rearrange
various parts of (14.37):
434 A. Quandt
Eel [ρ] = T [ρ] + Vee [ρ] + Vv [ρ] = Ts [ρ] + Veeclass [ρ] + Exc [ρ] + Vv [ρ] ,
1
Ts [ρ] = φi | − ∆r |φi ,
i
2
Exc [ρ] = T [ρ] − Ts [ρ] + Vee [ρ] − Veeclass [ρ] . (14.40)
The exchange correlation functional Exc will become our garbage collection, con-
taining all non-classical electron interactions, as well as corrections to the kinetic
energy functional Ts of the non-interacting reference system. The quality of any
density functional based simulation will depend quite critically on reasonable ap-
proximations for Exc as a functional of ρ0 , see the next section.
With these rearrangements, we may carry out the variational principle of (14.38),
where the variation with respect to ρ will go over into a variation with respect to the
(conjugate) orbitals φ∗i :
⎛ ⎞

δ δ ⎝
F [{φi }] = Eel [{φi }] − λij φ∗i (x)φi (x)dx⎠ = 0
δφ∗i δφ∗i ij

1
⇒ fks φi = − ∆r + vs (ρ0 , r, R) φi = ǫi φi . (14.41)
2
Thus we formally obtain the kind of non-linear one-electron Schrödinger equation
that was postulated in (14.39). And again we will have to solve this equation itera-
tively.
We may then write out fks and compare it to the Hartree ((14.24)–(14.26)) and
the Hartree-Fock (14.31) one-electron Hamiltonians:
M
1 Zα ρ0 (r ′ ) ′
− ∆r φi (r) − φi (r) + dr φi (r)
2 α
|R α − r| |r − r ′ |
δExc
+ [ρ0 (r)]φi (r) = ǫi φi (r) . (14.42)
δρ
The biggest difference is the last term in (14.42) called exchange-correlation poten-
tial, which was completely missing within Hartree theory. And in the framework
of Hartree-Fock theory, there was a complicated orbital-dependent exchange poten-
tial taking the place of this density dependent exchange-correlation potential. In the
next section, we will discuss some technical details related to (14.42) that will also
concern the construction of a suitable exchange-correlation potential.
14.4.3 Some Technical Details
The obvious similarities between the Kohn-Sham scheme and the Hartree(-Fock)
method will makes it easy to implement density functional theory into any existing
Hartree-Fock code. To this end, we just have to re-write the Kohn-Sham equations
in matrix form, using the standard procedure based on an expansion of the orbitals
and the one-electron density in a suitable set of basis functions. Given a precise
exchange-correlation functional Exc , we will have a Hartree-like method with post-
Hartree-Fock accuracy!
Various types of exchange-correlation functionals have been discussed at great
length in the literature [10], but the most popular ones fall into the following classes:

LDA
Exc [ρ] = ρ(r)egas [ρ(r)]dr ,
GA LDA
Exc [ρ] = Exc + δExc [ρ(r), |∇r ρ(r)|] . (14.43)
LDA
The first type of exchange-correlation functional Exc refers to the local density
approximation (LDA), and egas is the energy density of the electron gas. These
types of exchange-correlation functionals are basically some parameterized forms
of the exchange-correlation functional of a homogeneous electron gas [10]. The
LDA seems to be a rather poor assumption, because the electron density within a
molecule or solid is usually varying noticeably, which is the opposite of a homoge-
neous electron gas.
But LDA works quite well, mainly due to some miraculous error compensation
[34]. And as indicated in (14.43), it is also possible to obtain even better exchange-
GA
correlation functionals Exc by determining some correction terms, which depend
on the density and the density gradient [36].
Finally the reader may have noticed that we did not introduce any spin into our
formalism. No need to worry, it turns out that the general formalism of density func-
tional theory can easily be modified to meet this requirement, just by introducing
an exchange-correlation functional that will depend on two different one-electron
densities for different electron spins. This method is called spin-density functional
theory, see [34] and [10].
References
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436 A. Quandt
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15 Ab-Initio Methods Applied to Structure
Optimization and Microscopic Modelling
Alexander Quandt
Having discussed the technical and conceptional aspects of ab initio methods, we

now show how to do computational materials science based on such methods. The
following Sections will be devoted to the study of energy hypersurfaces, interatomic
forces and various techniques to step over these energy hypersurfaces. We will also
explain how to carry out elementary, but indispensable theoretical tasks of modern
materials sciences like the prediction of novel materials, or the deciphering of chem-
ical reaction schemes and finally describe microscopic modeling based on suitable
model Hamiltonians.
15.1 Exploring Energy Hypersurfaces
The exploration of energy hypersurfaces is of great importance for many branches

of chemistry, chemical engineering and materials sciences. For example, a lot of re-
search activities within modern microbiology are actually devoted to the notorious
problem of protein folding, and one of the main goals is to create numerical simu-
lation tools to uncover the basic protein folding mechanism. In Sect. 15.2 we will
discuss a somewhat simpler, but nevertheless rather surprising example from ba-
sic materials sciences, which demonstrates the predictive power of modern ab initio
methods. And finally we want to point out that there is a recent monograph by Wales
[1], which covers most of the topics presented in this section, and many more.
15.1.1 About Energy Hypersurfaces
An energy hypersurface for a molecular or solid system is a mapping of (ab initio)

total energies like the ones from (14.28), (14.33) or (14.37) as a function of the
corresponding nuclear configurations R = (R1 , . . . , RM )
Ehyp (R1 , . . . , RM ) = Ehyp (R) ≡ Etot [. . . , R] . (15.1)
In Fig. 15.1 we made a simple sketch of such an energy hypersurface. The simplicity
of this figure is slightly misleading. Normally R is a large multivector, and therefore
the energy landscape may be full of stationary points. But those stationary points are
of the highest chemical relevance:
A. Quandt: Ab-Initio Methods Applied to Structure Optimization and Microscopic Modelling, Lect. Notes Phys. 739,
437–469 (2008)
438 A. Quandt
TS
LM
Energy
GM
R
Fig. 15.1. Sketch of an energy hypersurface Ehyp (R), indicating the location of transition
states (TS), local minima (LM) and global minima (GM)
"
∂Ehyp ""
=0 stationary state ,
∂R "R0
" $
∂ 2 Ehyp "" > 0 for all coord.: isomer ,
= (15.2)
∂ 2 R "R 0
< 0 for at least one coord.: transition state .
Among those isomers, there will usually be a large number of local minima (LM),
and just one or a handful of global minima (GM). These global minima ought to
be detected to make a reliable prediction of the most stable configurations of a cer-
tain system, which is a serious numerical challenge. In Sect. 15.1.3 we will present
several techniques to step over energy hypersurfaces, in a way that will actually
increase our chances to detect the most relevant local and global minima.
Furthermore, there may be chemical of physical processes that connect vari-
ous chemically relevant minima. Here it will be of immediate chemical relevance
to know the transition states that are located on a path connecting both minima.
Similarly one might want to know the size of the energetic activation barriers be-
tween both minima. Unfortunately, transition states are even more difficult to detect
than minima, and there is also no guarantee that the numerical search algorithms for
transition states will generate any meaningful result [2].
A simple toy model will illustrate the complexity of such a task [1]. Just assume
that we want to examine a large system of m mutually independent subsystems
comprising N atoms. For the number of isomers nisomer we find that:
nisomers (mN ) ≈ nisomers (N )m =⇒ nisomers (N ) ≈ eαN , (15.3)
which means that the number of isomers is growing exponentially with the subsys-
tem size N . For the transition states we assume that each of them is located in one
subsystem, and that a transition state of the complete system with mN atoms is only
occurring when one of the subsystem is in a transition state, and all of the others are
in a minimum. Therefore the number of transition states ntstates may be calculated as
follows:

ntstates (mN ) ≈ m nisomers (N )m−1 ntstates (N ) =⇒ ntstates (N ) ≈ N eαN . (15.4)
15 Structure Optimization and Microscopic Modelling 439
Again this will imply exponential growth with N . Finally we see that
ntstates
≈N , (15.5)
nisomers
i.e. the ratio of the number of transition states vs. the number of isomers grows lin-
early with the subsystems size N , which explains the increasing difficulty to detect
transition states.
Given the complexity of a rugged energy hypersurface defined over a configura-
tion space made of large multivectors R, we may also ask ourselves how such a com-
plicated object might actually be visualized. The monograph of Wales [1] presents
several interesting techniques like monotonic sequences, disconnectivity graphs of
minimum-transition state-minimum triplets, and a network analysis of disconnec-
tivity graphs to determine some typical scaling laws, and to prove the existence of
chemically relevant hubs.
However, beyond these techniques mentioned in [1], there is a large literature
concerning the graphical visualization of complex data [3], and it might actually pay
off to try one of these techniques to represent and analyze energy hypersurfaces.
15.1.2 Forces
Given an energy hypersurface Ehyp (R), the formal definition of ab initio interatomic
forces is rather simple:
∂Ehyp (R)
F k ≡ −∇Rk Ehyp (R) ≡ − . (15.6)
∂R
Thus the forces on a nucleus with coordinate Rk is just the derivative of the ab initio
total energy with respect to this coordinate. The forces on a whole configuration R
are then forming a corresponding force multivector, as indicated in (15.6). In the
following, we will consistently use this notation, and specify the Rk only when
necessary.
There is a disarmingly simple force theorem by Hellmann and Feynman, and
we will discuss it in the following (see [2] for a critical revision of this concept).
Assume that Ψ is the exact (normalized) eigenstate of H(r, R). Then we obtain the
following result for the forces:
∂Ehyp (R) ∂Ψ ∂Ψ
= |H(r, R)|Ψ + Ψ |H(r, R)|
∂R ∂R ∂R
∂H(r, R)
+Ψ | |Ψ
∂R
∂H(r, R)
= Ψ | |Ψ . (15.7)
∂R
The last line follows from the fact that for the exact (normalized) eigenstate Ψ of
H(r, R) we find that
440 A. Quandt
∂Ψ |Ψ ∂Ψ ∂Ψ
=0= |Ψ + Ψ | . (15.8)
∂R ∂R ∂R
As simple as this theorem might be, as hard it is to apply in practice! Note that we
were generally composing Ψ using orbitals that might be expanded in some suitable
localized basis sets, see (14.7) and (14.32). If these basis sets are not somehow fol-
lowing the gradient ∂Ψ/∂R, there is no reason that (15.7) will reduce to the simple
result of its last line (see Appendix C of [2]). The way to include a proper basis-set-
following is to determine the formal changes in the orbital expansion coefficients
Cμi (see (14.7) and (14.32)):
#hyp ({Cμi } , R)
∂Ehyp ({Cμi } , R) ∂E ∂Ehyp ({Cμi } , R) ∂Cμi
= +
∂R ∂R μi
∂Cμi ∂R
= an artwork . . . . (15.9)
The tilde-sign in this equation denotes all terms that explicitly depend on R. The
complex analytical artwork indicated by (15.9) for (post) Hartree-Fock methods
may be found in [4], including higher derivatives.
15.1.3 Stepping over Energy Hypersurfaces
Now we want to present some methods to step over energy surfaces in order to detect
isomers and transition states. Useful references are the Appendix C of [2] and [1].
Note that none of theses methods is foolproof, and you will dramatically increase
your chances to become a fool, if you leave common sense and chemical intuition
behind to blindly trust a numerical blackbox.
15.1.3.1 Structure Optimization
The goal of any structure optimization method is to detect a stationary point, hope-
fully being the most stable isomer of the system. If there is no indication where to
search, one simply has to construct a reasonable starting configuration R0 . Then
one usually applies one’s favorite search algorithm, which will step over the energy
hypersurface in a systematic fashion, and finally reveal the location of a station-
ary point. This procedure can be repeated with different starting configurations to
achieve a certain sampling of the energy hypersurfaces. The algorithms presented in
this paragraph are all local search algorithms, which at best might be able to detect
some stationary points next to a chosen starting configuration. They are to be used
with care.
The simplest way to step over an energy hypersurface is a steepest descent path.
In such a case we will move from one configuration Ri to the next configuration
Ri+1 along a direction determined by the local forces:
min
Ehyp = min Ehyp (Ri − λ∇R Ehyp (Ri )) ⇒ Ri+1 = Ri − λmin ∇R Ehyp (Ri ) .
λ
(15.10)
Here λmin is the λ which minimizes Ehyp along the steepest descent direction. For
complicated hypersurfaces, the steepest descent procedure will mainly consist of
bouncing around like a drunk sailor. A more sober way of stepping over energy hy-
persurfaces is the famous Newton-Raphson method. When applying this method,
one is permanently optimistic that for a given configuration Ri , the next configura-
tion Ri+1 will be a stationary point, involving the following approximations:
Ehyp (Ri+1 ) ≈ Ehyp (Ri ) + (Ri+1 − Ri )∇R Ehyp (Ri )

1
+ (Ri+1 − Ri ) ∇R ⊗ ∇R Ehyp (Ri )(Ri+1 − Ri )
2
Hessian H(Ri )
∇R Ehyp (Ri+1 ) ≈ ∇R Ehyp (Ri ) + H(Ri )(Ri+1 − Ri ) ≡ 0 .

(15.11)
The Hessian H(Ri ) involves analytical second derivatives and may be quite costly
to determine. Therefore the search step
Ri+1 = Ri − H −1 (Ri )∇R Ehyp (Ri ) , (15.12)
will be by far more tedious than the determination of a steepest descent step, which
involves the determination of the forces, only (see (15.10)).
There is a whole family of Quasi-Newtonian algorithms, which circumvent these
conceptional difficulties by starting with an initial guess for the inverse Hessian
H −1 , and updating the latter for every subsequent search step using the forces. The
most popular algorithms of this family can be found in the Numerical Recipes [5],
but there is also a simple algorithm described in the Appendix C of [2], which may
easily be programmed and implemented by the reader.
We want to close this section with a little survey of the most popular structure
optimization methods (see [2]):
– Methods without gradients. The most popular method is due to Nelder and Mead
[5]. These methods should only be used, if there is really no chance to determine
analytical derivatives.
– Methods involving analytical first derivatives and numerical second derivatives.
The whole family of Quasi-Newtonian methods mentioned above falls under
this category, the most prominent examples being the Davidson-Fletcher-Powell
method [5], or the Broyden-Fletcher-Goldfarb-Shanno method [5]. There is a
second family of methods falling into this category, which is based on the con-
jugate gradient method. The latter is a rather smart line search algorithm, which
proceeds along conjugate directions rather than steepest descent directions. Like
the steepest descent method described above, the conjugate gradient method in-
volves analytical first derivatives, only. The most prominent examples are the
conjugate gradient methods of Polak and Ribiere [5], and of Fletcher and Pow-
ell [5].
– Methods involving analytical first and second derivatives. These methods are
usually too costly if one is only interested in the isomers of a given molecular or
442 A. Quandt
solid system. However, some of the algorithms to detect transition states involve
the knowledge of analytical second derivatives (see [2]). In the following para-
graph we will present a simple method to detect transition states, which will
involve analytical first derivatives, only.
For a detailed description and proper references we constantly referred to the Nu-
merical Recipes [5], which really should be your first address when trying to under-
stand and implement those methods.
15.1.3.2 Nudged Elastic Band Method
The standard setting for this method is the typical triplet setting on the energy hy-
persurfaces, where two isomers are connected by a transition state. We assume that
both isomers are already known, which could be the educts and the products of a
chemical reaction. In order to detect the transition state and the corresponding en-
ergy barrier of a reaction path connecting both isomers, one may apply the general
procedure indicated in Fig. 15.2.
Between the isomers M1 and M2 , one may choose a set of images Ii at some-
what intermediate geometries. Those images are supposed to be connected by elastic
spring forces of strength k
Fi,spring = k (|Ri+1 − Ri | − |Ri − Ri−1 |)
ti (15.13)
which will prevent them from collapsing into one single image. The ti is an estimate
for the normalized tangent vector to the path at Ri . Note that the Fi and Rk and ti
are all multivectors.
The total force on an image Ii is defined as:

∂Ehyp ∂Ehyp
Fi = Fi,spring − (Ri ) + (Ri ) · ti
ti . (15.14)
∂R ∂R
TS
LM
Energy
GM
R
Fig. 15.2. The nudged elastic band method involves two known isomers M1 and M2 , and a
set of images Ik located between them, which interact via springs. After starting with a rather
poor configuration (white circles), the elastic band between both isomers will slip downhill
into its final position (grey circles), which marks the proper pathway over a transition state
close to I2
The last term in (15.14), which involves the scalar product of the multivectors, will
remove the component of the chemical force along the path. This means that we
now have artificial harmonic forces along the path, and the components of the real
chemical forces perpendicular to them.
The forces Fi for each image are minimized using one of the algorithms with
numerical second derivatives described in the last paragraph. It will correspond to
an high-dimensional elastic band, that slips downhill on an energy hypersurface into
the proper reaction pathway connecting two isomers, as indicated in Fig. 14.5.
15.1.3.3 Global Optimization
An isomer (=local minimum) on an energy hypersurface is usually surrounded by

a catchment basin, which is defined as the volume in configuration space, from
which all steepest-descent paths (see (15.10)) converge to that local minimum [1].
Once we are inside such a catchment basin, any of the local minimization methods
described above will detect the corresponding isomer. The idea of the annealing/de-
formation methods of global optimization [1] is to deform an energy hypersurface
into a simpler object that is easier to explore. In Fig. 15.3 we show such a hyper-
surface, which involves catchment basins, only, and which may be generated by the
following transformation:
#hyp (R) = min{Ehyp (R)} .

E (15.15)
The operation min{} means optimization around R to detect a local minimum
# using one of the local structure optimization algorithms de-
(isomer) located at R,
scribed above.
On top of that, we use the standard procedure of simulated annealing [5], the
only twist being a rather large increment from the location of the current minimum
Energy hypersurface
1 ... 5 Annealing sequence
1
Catchment basins
2
Energy
3
4
5
Fig. 15.3. A simulated annealing sequence will eventually be able to detect a global mini-
mum on a rather simple energy hypersurface, but this procedure is hopelessly inaccurate for
complex hypersurfaces. The basin hopping algorithm involves the transformation of an en-
ergy hypersurface into a simpler object composed of catchment basins. Such a hypersurface
is much easier to sample using simulated annealing, and inside each basin, the original energy
hypersurface will be sampled in search for local minima
444 A. Quandt
#i ⇒ Ri+1 compared to standard simulated annealing runs:

R
#i ⇒ Ri+1 try Ehyp (R

For R #i ) ⇒ E
#hyp (Ri+1 ) ;
# #
accept Ri+1 if e(Ehyp(Ri )−Ehyp(Ri+1 ))/(kB T ) > random number ∈ [0, 1] .
(15.16)
Then the search will either continue from the next local minimum R #i+1 , or again
#
from the old minimum Ri . By gradually lowering the temperature T , the search will
be narrowed down on a basin, which hopefully contains the global minimum to be
detected, see Fig. 15.3.
15.2 Applied Theoretical Chemistry

The term “applied theoretical chemistry” was coined by Roald Hoffmann to char-
acterize a special blend of computational methods and the construction of general
models to gain deeper insights into the chemistry of materials. The ultimate goals of
applied theoretical chemistry will be new materials, new applications, and a better
theoretical framework for our understanding of materials properties.
From a computational point of view, applied theoretical chemistry implies the
massive use of structure optimization algorithms, preferably in combination with
ab initio methods, just to be sure that one uses accurate forces (see Sect. 15.1). The
numerical accuracy of ab initio forces somewhat compensates for the limited system
sizes, because clear chemical trends among small systems are often transferable over
medium sized to really large systems [6]. On the other hand, neither thousands nor
millions of atoms interacting via unrealistic pair potentials will ever lead to any
chemically relevant result.
As for the construction of models in the framework of applied theoretical chem-
istry, one should point out that for unknown complex systems, this will usually be an
iterative rather than a straightforward process. And it will require a detailed knowl-
edge of basic chemistry, some intuition and a good portion of common sense – or
just good luck!
In the following, we will illustrate how the general procedures of applied theo-
retical chemistry have lead to new insights into the basic chemistry of boron. Beyond
that, these ab initio simulations also predicted and anticipated the discovery of novel
boron based nanomaterials, which opened a whole new field for nanotechnological
applications. Further details may be found in a recent review article [7].
15.2.1 Nanotechnology and Nanomaterials
In Fig. 14.1 we saw that Moore’s law was obviously holding through rather dramatic
technological changes. Now even the most optimistic interpolations of Moore’s law
into the near future clearly predict that silicon-based computer technologies will
soon hit the lithographic barrier of about 40 nm, and probably run out of steam.
These technologies will have to substituted by other technologies, and it will in-
volve new materials, new devices and radically new concepts for the layout of future
computing machines.
In order to understand the advantages and disadvantages of shrinking devices
down to the nanodomain, we listed the classical scaling behavior of some key phys-
ical properties with system size L in Table 15.1. The only assumptions are that speed
and electrostatic fields should be constant, and that forces are acting via surfaces,
which are proportional to L2 (continuum model [8]).
We notice that nanodevices will have some obvious advantages over micro-
electronic devices: They will be cheaper, they will operate at smaller voltages and
higher frequencies, and they will tolerate more power. On the other hand, the resis-
tance of nanodevices will be rather high, their capacitance will be low, they will be
rather noisy and short-lived. Of course, these simple scaling laws might have to be
amended due to the laws of quantum mechanics, which definitely govern the world
of nanosystems [9].
Nevertheless, even under some of the unfortunate conditions listed in Table 15.1,
there exists already a successful nanotechnology called biology for billions of years,
offering many possibilities for reverse engineering and technological transfer to
novel nanomaterials. And even if there are still a lot of nanotechnological lessons
to be learned from Mother Nature, some remarkable technological breakthroughs
within the last decade have shown that one does not have to be too pessimistic about
the future of nanotechnology [9].
There is indeed a growing number of inorganic nanomaterials, which could be-
come key materials for future nanoelectronics, the most prominent ones being car-
bon fullerenes and carbon nanotubes [10]. And although we know that “prediction
is difficult, especially about the future” (N. Bohr), let us have a look at Fig. 15.4,
which depicts a possible scenario for future nanoelectronics based on nanotubes.
Pretty high up on the list of presents one would like to receive is a controlled lay-
out of heterogeneous tubular networks. Furthermore one would like to have stable
and noiseless junctions in between different nanotubular materials, as well as at the
Table 15.1. Scaling of various physical properties with system size L. We postulate constant
speed and electrostatic fields, and assume a continuum model, where forces are acting through
surfaces of size L2 . [8]
property scaling effect on nanosystems

mass L3 cheaper
frequency ∼ speed/length L−1 higher frequencies
power density ∼ force · speed/volume L−1 take more power
voltage ∼ electrostatic field · length L small voltages
resistance ∼ area/length L higher resistance
capacitance ∼ charge/voltage L small capacitance
wear life ∼ thickness/speed L short lifetime
√
thermal speed ∼ thermal energy/mass L−3/2 noisy
446 A. Quandt
interfaces of nanotubular networks with the outside world. Finally those nanotubu-
lar networks will probably require some supporting substrate, or they might have
to be embedded into some matrix. Therefore one would also need some detailed
knowledge about the interactions between those materials and the nanotubes.
So much for the future. Let us now return to reality, which looks less promising,
at least for carbon nanotubes. First of all, the chirality of carbon nanotubes, which
decides about their electronic properties (semiconducting vs. metallic), may not be
controlled during synthesis [10]. And despite some recent progress [11], there is
no known mechanism to achieve any technologically relevant layout of nanotubular
networks. Third, there seems to be no suitable binding partner for carbon to form
heterogeneous networks with a certain nanoelectronic functionality. And forth the
interfaces between carbon and silicon are noisy and rather unstable.
Therefore the search has long been opened to find other nanotubular materials
with promising new properties [12, 13], and to achieve even more ambitious goals
[12] than the ones sketched in Fig. 15.4.
15.2.2 Novel Boron Based Nanomaterials
One candidate nanotubular material has been found in a system, where nobody re-
ally expected to find nanotubes. As we will illustrate in the next paragraph, tradi-
tional boron chemistry seems to be incompatible with the existence of boron nan-
otubes [14]. Nevertheless in the last paragraph of this section, we will draw a radi-
cally different picture of boron chemistry [15], which has been established through a
large series of numerical and experimental studies on small boron clusters and boron
nanostructures [7]. The motor for this development were several theoretical studies
on boron clusters and boron nanotubes [16, 17, 18], which combined ab initio struc-
ture optimization methods with a chemically motivated Aufbau principle for small
boron clusters to predict new classes of nanostructured boron materials [7].
15.2.2.1 Pure Boron Chemistry in a Nutshell
The most prominent features of traditional boron chemistry are boron icosahedra,
as well as a complicating bonding pattern involving 2-center and 3-center bonds,
Interface Nanotube A
Nanotube B
Junction
Substrate
Fig. 15.4. Heterogeneous nanotubular network as a possible blueprint for future technologies.
Such applications may require the controlled layout of nanotubular networks, the formation
of stable and noiseless tubular heterojunctions, a detailed knowledge of tube-substrate or
tube-matrix interactions, and noiseless interfaces between nanotubes and the outside world
2-center bonds
3-center bonds
Boron icosahedra
Fig. 15.5. Rhombohedral unit cell of α-boron with icosahedral boron clusters located around
its vertices. The bonding is rather complicated, and it involves 2-center and 3-center bonds
between boron icosahedra
see Fig. 15.5 and [14]. By the way, there is a common prejudice that icosahedral
symmetry should be impossible for crystalline systems, but Fig. 15.5 is certainly
the perfect counterexample.
One might ask oneself: How is it possible, that a chemical element with only five
electrons will show such a complex bonding pattern? The answer is: Because it has
only five electrons! Let us have a look a Table 15.2, where we showed the electronic
configurations of single atoms for Be, B and C, together with their coordinations in
pure solid phases.
Obviously Be and B have a smaller number of valence electrons than stable
orbitals for this shell (see below), and they turn out to be rather highly coordinated.
This is a general trend observed for electron deficient (ED) materials, and Pauling
[14] gave the following characteristics for this kind of bonding:
(i) The ligancy of ED atoms is higher than the number of valence electrons, and
even higher than the number of stable orbitals (4:1 × (2s) + 3 × (2p)).
(ii) ED elements atoms cause adjacent atoms to increase their ligancy to values
greater than the orbital numbers.
A typical electron deficient element is a metal like Be, but even boron, which
is a semiconductor [19]), shows both characteristics. First we see from Table 15.2
Table 15.2. Electronic configuration of single atoms, and typical atomic coordinations within
solid phases for the electron deficient (ED) elements Be and B, in comparison to a non ED
element like C. Note the rather high atomic coordinations within the solid configurations of
Be and B, which is in clear contrast to C
element atomic config. coordination (solids) ED?

Be (1s2 )2s2 8 (bcc), 12 (fcc) yes
B (1s2 )2s2 2p1 6 (α-boron) yes
C (1s2 )2s2 2p2 3-4 (graphite), 4 (diamond) no
448 A. Quandt
and Fig. 15.5 that boron has a coordination higher than four. Second recent ab initio
studies of B-C clusters [20] and tubular B-C heterojunctions [21] show that even
carbon takes coordinations higher than four in a boron environment.
However, boron icosahedra are only one part of the story. The other part were a
series of ab initio studies on small boron clusters summarized by Boustani [16]. The
main results are shown in Fig. 15.6. First of all, it is quite obvious from Fig. 15.6
(a) that boron icosahedra are unstable. Here the ab initio studies clearly suggest that
the stable isolated B12 -clusters are flat (the so-called boron flat out, see [15]). This
behavior may be understood on the basis of a general aromaticity theory for boron
clusters (see [7] and references therein).
Second, from the ab initio studies of small boron clusters, one may infer a gen-
eral Aufbau principle for boron clusters. This Aufbau principle states that the stable
boron clusters can be built from two basic units, only: The pentagonal and hexagonal
pyramidal units B6 and B7 shown in Fig. 15.6 (b).
15.2.2.2 Boron Nanotubes and Nanowires
One of the most interesting consequences of this Aufbau principle [16] is shown in
Fig. 15.7 (a): Further and further additions of hexagonal B7 units should lead to sta-
ble nanostructures in the form of boron sheets or boron nanotubes. In the following,
(a) 9
4 11 5 2
6 11
12 7
1 2 4
3
9 7
7 10 8 12
5 8 1
4 3 6 10
6
1
5 2
3
B12 – D2h B12 – C2h
B9 – Cs
0 3 10 4
4 9 11 13 5 12 6
4 10 2 1 0 2
5 9 1
2 1 13 1
6 5 8
12 7
7 2 9
10 8 8 4 11 5 7
7 3 10 6
3 6
8
B10 – C2υ B10 – C2h B13 – C2υ B13 – C2υ

12 14 0 11
4 13
11 12
2 1
11 12 7 2 14
0 3 6 5
6 6 3 4
11 5 3
2 2 1 7 8 9 1 12
7 1
10 10 7
5 4 9 10
3 4 8 10 5
9 8
B11 – Cs B12 – C3υ B14 – C2υ B14 – C2h
(b) 1 1
3 2
5 3
4 2
7 4
B6 – C5υ
B7 – C2υ
Fig. 15.6. Ab initio studies of small boron clusters reveal that (a) isolated boron icosahedra
are unstable, because the stable B12 clusters are flat. (b) Pyramidal B6 and B7 clusters being
the basic units of an Aufbau principle for boron clusters [16]
(a)
40
EF
30
DOS
20
10
(b) (c) 0
–14 –12 –10 –8 –6 –4 –2 0 2 4 6
Energy (eV)
Fig. 15.7. (a) According to the Aufbau principle [16] one may add hexagonal B7 units to
either form stable quasiplanar structures or stable tubular structures. (b) Portrait of a stable
boron nanotube. (c) Typical density of states for boron nanotubes, which should be metallic,
independent of their chirality [22]
we will focus our discussion on boron nanotubes. As for the boron sheets, the inter-
ested reader must be referred to a recent article [22] dealing with structure models
for stable boron sheets and their relations to boron nanotubes.
Boron nanotubes were originally postulated in [17] on the basis of an extensive
ab initio study, which demonstrated the principal stability of such structures. Beyond
that, an much larger class of metal-boron nanotubes was predicted in [23], which is
also summarized in [7].
A proper structure model for a pure boron nanotube is shown in Fig. 15.7 (b).
From a structural point of view, each boron nanotube may be characterized by a
certain chirality, and one may classify them according to a scheme developed for
carbon nanotubes (see [10]). When trying to determine the basic electronic proper-
ties, one finds that boron nanotubes should always be metallic [22], independent of
their chirality, as shown in Fig. 15.7 (c). This is in striking contrast to carbon nan-
otubes, where the basic electronic properties (metallic vs. semiconducting) depend
quite critically on their chirality (see [10]).
450 A. Quandt
Furthermore, recent ab initio simulations of boron clusters claim that boron

nanotubes should be more reactive than carbon nanotubes, and much easier to em-
bed into a polymer matrix [22]. The same study also postulates that boron nan-
otubes have some non-isotropic mechanical behavior, which might be the key for
a structure control of such nanosystems, in contrast to carbon, whose isotropic
mechanical properties are the main obstacle for structure control! And finally an-
other ab initio study shows that carbon and boron nanotubes should form stable
junctions [21].
With all of these nice properties predicted by ab initio calculations, boron nan-
otubes and similar nanotubular materials could become one of the key materials to
carry out the ambitious nanoelectronics program sketched in Fig. 15.4. Therefore
many groups in the past have worked on the synthesis boron nanotubes (for a re-
view, see [7]), and the first successful attempt to synthesize boron nanotubes by
Ciuparu et. al. [24] is shown in Fig. 15.8 (a). Another interesting result of the in-
creasing activities to synthesize boron nanotubes are the discoveries of novel types
of boron nanowires, nanoribbons or nanobelts [7]. One nice example [25] of amor-
phous boron nanowires is shown in Fig. 15.8 (b).
Theoretical and experimental activities in the field of boron based nanomateri-
als are strongly increasing [7], and this is only partially due to their technologically
interesting materials properties. Another strong motivation might be that large and
pure samples of boron nanotubes would be the perfect probe for experimental stud-
ies to check our current understanding [26] of electron transport and superconduc-
tivity in quasi-one dimension.
Fig. 15.8. (a) Boron nanotubes growing out of a template structure [24]. (b) Amorphous
boron nanowires [25]
15.3 Model Hamiltonians

In the previous section, the prediction of novel nanomaterials and some of their basic
materials properties were largely based on a subtle combination of a large number
of ab initio studies and a constant refinement of the corresponding chemical mod-
els. For more complex systems such a procedure will be impossible, and in order to
describe the most important physical and chemical properties of such systems, one
has to fall back on model Hamiltonians. Furthermore, the assumption of indepen-
dent electrons that interact with a mean field generated by the remaining electrons
has to be dropped in the case of strongly correlated systems, like constrained (low-
dimensional) systems or high-Tc superconductors.
In such cases, our first task will be to set up a parameterized form for these model
Hamiltonians, which will comprise the most important states and the strongest in-
teractions, only. And our second task will be the careful determination of the basic
parameters using data from ab initio or experimental studies. Hopefully we will ob-
tain a model Hamiltonian good enough to extract the basic physics and the basic
chemistry of complex materials.
Of course there will always be a danger that a “lucky” combination of an over-
simplified model, some unrealistic parameters and some invalid approximations will
somehow produce the “correct” results. But such a dubious model Hamiltonian will
be quite fatal for any advanced computational scheme, which aims at describing
complicated processes in complex materials way beyond the range of the invalid
approximations that ran into the parameterization of the model Hamiltonian.
Therefore it will be crucial to know how to set up a good model Hamiltonian and
to find some realistic parameters for it. To this end we will first discuss some popular
types of model Hamiltonians in Sect. 15.3.1, which involve a standard parameteri-
zation based on the so-called hopping and Coulomb integrals. Then in Sect. 15.3.2
and 15.3.3 we will describe some techniques to derive the corresponding model pa-
rameters from ab initio (and experimental) data, and discuss some of the necessary
corrections and augmentations.
Experience shows that there is no standard procedure to derive model Hamil-
tonians without making any uncontrolled assumptions. Therefore one should use
them very carefully, in particular antique model Hamiltonians of rather dubious ori-
gin. Mind that in the case of doubt, things are unlikely to become worse if you will
sit down and try to find a better model Hamiltonian or a better parameterization,
using an ab initio program, and following the basic steps described in this section.
15.3.1 How to Derive Model Hamiltonians
In order to understand the problems involved in deriving a suitable model Hamilto-

nian, we will switch to a general representation of a many-electron Hamiltonian in
the framework of second quantization. For a more detailed description of ab initio
methods within such a framework, we refer to the literature [2, 27, 28].
In the second paragraph, we will contrast the exact Hamiltonian with simple
model Hamiltonians due to Anderson [29] and Hubbard [30]. This will motivate
452 A. Quandt
an intuitive, but less rigorous approach to many-electron problems on the basis of

some suitable model Hamiltonians. Finally, in the last paragraph of this section, we
will try to bridge the gap between the exact Hamiltonian and the simplest model
Hamiltonians by deriving a general downfolding approach by Löwdin [31], which
systematically reduces the number of degrees of freedom necessary to describe a
complex system.
15.3.1.1 The Language of Second Quantization
We want to represent the electronic part of our general Hamiltonian from (14.1) in
the framework of second quantization, where the fermionic degrees will be repre-
sented by a set of fermionic field operators

ψ(r) = φi (r)ci ,
i

†
ψ (r) = φ∗i (r)c†i (15.17)
i
Here i runs over the labels of a complete basis, including spin. These fermionic
operators have the following anticommutator relations:
[ψσ† (r), ψσ′ (r′ )]+ = δσσ′ δ(r − r′ ) ,

[ψσ (r), ψσ′ (r′ )]+ = [ψσ† (r), ψσ† ′ (r ′ )]+ = 0 , (15.18)
where σ and σ ′ label the spin components of the field operators. A single Slater
determinant defined in (14.23) or (14.34) will be interpreted as a set of creation
operators c†i acting on the vacuum state |0:
Ψ SD (φ1 . . . φN ) = c†1 . . . c†N |0 . (15.19)
With
N
N M N
1 Zα 1
H(r, R) = (− ∆ri ) + − + (15.20)
i
2 i α
|ri − Rα | i<j
|ri − r j |
the electronic part of (14.1) may be re-written as:
M

1 Zα
ψ † (r) − ∆r + ψ(r) dr
2 α
|r − Rα |

1 1
+ ψ † (r)ψ † (r ′ ) ψ(r ′
)ψ(r) drdr′
2 |r − r′ |
1
= tij c†i cj + vijkl c†i c†j cl ck ≡ H(c† , c) . (15.21)
ij
2
ijkl
At this point it already becomes rather clear that any transferable parameterization
of a model Hamiltonian will either involve a lot of parameters t... and v... , or one has
to find a way to remove a lot of interaction terms and eliminate a lot of degrees of
freedom. If successful, one might finally obtain a model Hamiltonian for complex
systems, which contains a few adjustable parameters, only. In order to arrive at this
point, we better rely on intuitive approaches, where we somehow guess the right
form of the Hamiltonian. A useful model Hamiltonian will only comprise those
interactions and degrees of freedom that really determine the physical or chemical
properties we are interested in.
However the formally neglected interactions and degrees of freedom will not be
dropped. Instead we will include them in a chosen model Hamiltonian in terms of
a proper renormalization of the model parameters, but according to the following
rules:
– Include implicitly, as a renormalization of the parameters, what is not included
explicitly in the model.
– What is included explicitly in the model should not be included implicitly (⇒
no double-counting).
15.3.1.2 Simple Model Hamiltonians
In this section, we want to discuss some model Hamiltonians that are useful for our
basic understanding of physical and chemical phenomena in complex materials and
strongly correlated systems.
Our first task will be to derive a one-electron model Hamiltonian as discussed in
Sect. 14.2.3. Such a Hamiltonian is formally given by the first part of (15.19), and it
is diagonal in the orthogonal basis spanned by its eigenstates φi (x). Nevertheless,
apart from the atomic case, these eigenstates are not very localized, and in order to
to arrive at a transferable model Hamiltonian, we better try to expand the fermionic
field operators ψ † (r) and ψ(r) in a complete basis set of (localized, atomic-like)
orbitals ϕμ (r):

ψ(r) = ϕμ (r)bμ
μ

†
ψ (r) = ϕ∗μ (r)b†μ . (15.22)
μ
This leads to the following representation:

†
H(c† , c) = ǫi ciσ ciσ ⇒ H(b† , b) = tμν b†μσ bνσ . (15.23)
iσ μνσ
In order to reduce the number of model parameters for H(b† , b), we may assume that
the diagonal elements of tμν should be close to atomic energy levels, and that the
hopping terms (resonances) should extend to nearest neighbors, only. Furthermore,
we may assume that these hopping terms somehow depend on the distance of the
454 A. Quandt
hopping centers, and the mutual orientation of the contributing orbitals. We will
illustrate this point in more detail in Sect. 15.3.2.
We now discuss a number of model Hamiltonians for strongly localized systems.
In such systems, the on-site electron-electron repulsion is much stronger than the
resonance energies associated with the overlap of orbitals centered around different
atoms. The former effect will keep the electrons as far away from each other as
possible, whereas the latter effect will keep them close to each other, in order to
maximize the overlap between neighboring orbitals (see Sect. 14.2.1).
The simplest model Hamiltonian for strongly correlated systems comprises two
electrons distributed over two orbitals. Following [27], we denote the contribu-
tions from theses orbitals with a label l, which means ligand, and a label f , which
might stand for a 4f -electron. The corresponding orbital energies are ǫl and ǫf with
ǫf < ǫl . The hybridization between the l and f orbitals, which is characterized by
a parameter V , is assumed to be small such that V ≪ (ǫl − ǫf ). Finally we assume
that the strong repulsion between the f -orbitals should be characterized by a very
large parameter U ≫ (ǫl − ǫf ). Then we make the following Ansatz:

H = ǫl lσ† lσ + ǫf fσ† fσ + V (lσ† fσ + fσ† lσ ) + U nf↑ nf↓ . (15.24)
σ σ σ
The operators l(†) and f (†) create and destroy electrons with spin σ in the corre-
sponding l and f states, and nfα = fα† fα is the occupation number for f electrons
of spin α. When V = 0, the electrons will just sit on their atomic sites, due to the
strong repulsion U . Furthermore, a polar state, where two electrons actually sit on
the same f site, might safely be excluded by assuming that U → ∞. For further
discussion see [27].
Next we present a popular model Hamiltonian for a magnetic impurity embed-
ded in a metal, which is due to Anderson [29]. The basic setup for a 3d impurity
embedded in a sp host is indicated in Fig. 15.9 (a). The conduction electrons of
the periodic sp-host are noninteracting with each other. Instead they interact with
U U
sp 3d
t
(a) (b)
Fig. 15.9. (a) Anderson model for a 3d impurity embedded in a sp host. There is a weak
hybridization V between the host and the impurity, and a strong repulsion U that effects
the d-electrons, only. (b) Hubbard model to describe strong electron correlations in metallic
compounds. We assume hopping t between different sites, and a strong on-site repulsion U
a periodic potential generated by the lattice and the mean field of the remaining
electrons. Therefore they may be represented by Bloch states (see [32]):
φnk (r) = N eik·r unk (r) with: unk (r + R) = unk (r)
ik·R
=⇒ φnk (r + R) = e φnk (r) . (15.25)
These states are obviously composed of a plane wave times a function unk (r),
which is periodic with the lattice period r. They correspond to freely propagat-
ing electrons with dispersion ǫn (k), where n is the band index, and the continuum
k that forms this band are restricted to the first Brillouin zone [32].
According to Hund’s rule, there is a multiplet of electronic states distributed
among the orbitals of the impurity, and a strong Coulomb repulsion U between spins
of different orientation. It is best to describe these states by atomic-like localized
orbitals, for example Wannier functions, which are the Fourier transformed of Bloch
functions:

wn (r − R) = N ′ e−ik·R φnk (r) . (15.26)
k
We also assume a weak hybridization V between the impurity and its host. This
leads to the following model Hamiltonian:
U d d
H= ǫ(k)c†kσ ckσ + ǫ3d ndm + n m n m′
m
2 ′
kσ m=m

+ (Vmkσ d†m ckσ + ∗
Vmkσ c†kσ dm ) . (15.27)
mkσ
Here m and m′ are quantum numbers that characterizes the spin up and spin down
multiplets residing on the d-host. The meaning of the remaining terms should be
clear from (15.24).
Finally we want to mention a model Hamiltonian due to Hubbard [30], which is
used to describe strong correlations among 3d-electrons in a transition metal (com-
pound), as illustrated in Fig. 15.9 (b). We assume hopping t between different sites,
and strong Coulomb repulsion U among spin multiplets characterized by m and m′ ,
sitting on the same site. This leads to the following Ansatz:

H= tim,jm′ d†imσ djm′ σ + U nimσ nim′ σ′ . (15.28)
ij mm′ σ i (mσ)<(m′ σ′ )
Again, the meaning of all terms should be clear from (15.24) and (15.27). For more
details about this model see Chap. 18.
Note that the model Hamiltonians presented in this section are the topic of
many research papers, and we will not even try to comment on the physics de-
scribed by these models. Instead we want to point out that these model Hamiltoni-
ans are sometimes augmented by adding long-range Coulomb interactions, electron-
phonon coupling and other effects, which might be relevant for the real system under
consideration.
456 A. Quandt
15.3.1.3 Downfolding Approach
We now discuss a general downfolding method due to Löwdin [31], which is also
known as matrix condensation or Schur complement [33]. It is a general technique
that may be applied to one-electron and many-electron Hamiltonians alike. In or-
der to eliminate some degrees of freedom from a quantum mechanical description
of a chosen system, we will partition the full Hilbert space related to the system
Hamiltonian H into a model space with corresponding projection operator P = P 2 ,
and the rest of that Hilbert space with projector Q = (1 − P ) = Q2 . With a slight
abuse of notation, such a partitioning may be formalized in terms of a block matrix
representation of the Hamiltonian H, and a vector representation of a general state
ψ from the Hilbert space related to H:

P HP P HQ Pψ
H⇒ ; ψ⇒ . (15.29)
QHP QHQ Qψ
If we let (H − ǫI) operate on ψ, where I denotes the identity matrix and ǫ a real
number, we will obtain a new state ψ ′ different from zero, unless ǫ is an eigenvalue,
and ψ the corresponding eigenvector:

(P HP − ǫP IP ) P HQ Pψ P ψ′
· = (15.30)
QHP (QHQ − ǫQIQ) Qψ Qψ ′
This is equivalent to the following block equations:
(P HP − ǫP IP )P ψ + (P HQ)Qψ = P ψ ′ ,
(QHP )P ψ + (QHQ − ǫQIQ)Qψ = Qψ ′ . (15.31)
If we multiply the second equation with −(P HQ)(QHQ − ǫQIQ)−1 and add this
to the first equation, we obtain a new set of block equations:
′
(Hred (ǫ) − ǫP IP )P ψ = ψred (ǫ) ,
′
(QHP )P ψ + (QHQ − ǫQIQ)Qψ = Qψ , (15.32)
where Hred is a somewhat reduced, but ǫ-dependent matrix, the so-called Schur
′
complement, and ψred is a new energy-dependent component of the primed state:
1
Hred (ǫ) = P HP − P HQ QHP ,
(QHQ − ǫQIQ)
′ 1
ψred (ǫ) = P ψ ′ − P HQ Qψ ′ . (15.33)
(QHQ − ǫQIQ)
This corresponds to a new matrix equation equivalent to (15.30):

′
(Hred (ǫ) − ǫP IP ) 0 Pψ ψred (ǫ)
· = . (15.34)
QHP (QHQ − ǫQIQ) Qψ Qψ ′
If ψ is an eigenvector of H with eigenvalue ǫ, we know from (15.30), that the new

state ψ ′ must be a null vector. And if we plug this into (15.34), we get another
eigenvalue problem for the same eigenvalue ǫ, but now the matrix is a tridiagonal
block matrix, and the corresponding determinant condition simply reduces to:
det(Hred (ǫ) − ǫP IP ) · det(QHQ − ǫQIQ) = 0

1
⇒ det((P HP − ǫP IP ) − P HQ QHP ) = 0 . (15.35)
(QHQ − ǫQIQ)
Thus the reduced Hamiltonian Hred (ǫ) will have the same spectrum as the original
Hamiltonian H, but only if the corresponding eigenstates ψ of H live in our model
space selected by P . In practice one does not loose too much accuracy if one uses
a modified reduced Hamiltonian Hred (# ǫ), which depends on some suitably chosen
(i.e. typical) energy #
ǫ.
15.3.2 Parameterization of Hopping Integrals
Now we will describe some successful approaches to determine hopping integrals.

In the first paragraph we will present a simple, but nevertheless very accurate de-
scription of the band structure of C60 using a model Hamiltonian that mainly in-
volves the knowledge of hopping integrals. And in the second paragraph, we discuss
the construction and parameterization of analytical Hamiltonians, using a general
downfolding technique described above.
15.3.2.1 Band Structure of C60
An interesting example to illustrate the usage of model Hamiltonians are the struc-
tural and physical properties of C60 molecules and their related solid structures
[34]. Undoped C60 molecules as shown in Fig. 15.10 (a) crystallize as a sc phase
at temperatures below 249 K, but at room temperature the preferred structure is
fcc. Within those solid phases, the C60 molecules interact with each other over rel-
atively large distances, and their mutual orientation must be the result of a rather
weak chemical bonding. This is certainly an interesting problem to be tackled using
a suitable model Hamiltonian.
Furthermore it is possible to dope C60 solids with alkali atoms A (B) =
K, Rb, Cs. Those enter the solid at various tetragonal or octagonal sites inside the
molecule [35], and each of them donates one extra electron, but they have little ef-
fect on the electronic states close to the Fermi energy EF indicated in Fig. 15.10 (b).
Also their main structural effect is limited to a mere expansion of the lattices.
For An−x Bx C60 solids with n ≤ 3 one actually observes superconductivity [36]
with Tc in the range of 40 K, whereas for higher doping levels the solid structure
becomes bct or bcc, and superconductivity disappears. Heavily doped compounds
with n = 6 are insulating. Therefore the electronic structure of (doped) C60 solids
will be another interesting question to be tackled using model Hamiltonians.
458 A. Quandt
free molecule solid

t1g
t1u N=3
30 eV EF
hu
0.5 eV
3.1 A
C60 C60
1.4 A
(a) (b)
Fig. 15.10. (a) C60 molecule. (b) Structural details and the valence states for molecular and
solid C60 . The valence states of the molecule broaden to some rather narrow bands of the
solid, due to weak C60 -C60 bonding
Without going into the various details described in [34] and [35], we now want
to illustrate how to arrive at a useful model Hamiltonian for (doped) C60 solids.
Each carbon atom in C60 has one 2s and three 2p orbitals, which form three approx-
imate sp2 orbitals in the molecular surface pointing towards neighboring carbon
atoms, and one radial pr orbital. The sp2 orbitals are forming strongly σ-bonding
or antibonding orbitals far away from the Fermi level, and they are irrelevant for the
properties that we are interested in. But the 60 2pr orbitals form weakly π-bonding
or antibonding orbitals close to the Fermi level, and they point towards neighbor-
ing C60 molecules. These are the type of atomic orbitals that should be included in
our preliminary model Hamiltonian for a C60 molecule, which is a simple hopping
Hamiltonian similar to (15.23):
†
H = ǫ2pr ciσ ciσ + tij c†iσ cjσ . (15.36)
iσ ijσ
Here i and j are running over all the 60 sites of the C60 molecule, and the hopping
term involves nearest neighbors ij, only. This assumption may be dropped in the
case of a solid, but only for those sites that really contribute to the bonding between
different C60 molecules [35]. Note that in the case of a solid phase, the operators
(†)
ci will refer to Bloch states φik (r) (see (15.25)), rather than atomic orbitals φi (r).
In such a case, the molecular states will broaden and become subbands, as indicated
in Fig. 15.10 (b).
To make our model more realistic, we assume that the hopping terms tij will de-
pend on the mutual orientation of the atomic orbitals located at sites Ri and Rj , and
on the interatomic distance between them. This leads to the following Ansatz [35]:
tij (dij ) = [Vppσ (dij ) − Vppπ (dij )](R ij )(R

i ·d ij ) + Vppπ (dij )(R
j ·d i ·R
j)
Vppσ (dij ) = −4Vppπ (dij ) = vσ dij e−λdij . (15.37)

Here R = R/R is a unit vector in the radial direction, and d ij = dij /dij is a unit
vector between sites i and j. Thus there are three parameters ǫ2pr , vσ and λ, which
have to be determined.
In order to parameterize our model Hamiltonian, the on-site energy ǫ2pr can
be taken from an atomic calculation, or from the center of gravity of the subbands
generated by the 2pr orbitals in the case of a solid. But as long as these levels are the
only contributing orbitals, the ǫ2pr may as well be set equal to zero. The hopping
terms can be fitted to ab initio data for simpler molecular carbon systems. Or they
may be fitted to the ab initio bandwidth of the subbands generated by the 2pr orbitals
in the case of a solid [34], using the general relation between an assumed rectangular
density of states of width W (Friedel model, see [37]), and the second moment M2
of the real density of states for that band (a derivation is given in [37]):
F
G
W G 1
= M2 = H tij tji . (15.38)
12 nN
ij
Here n is the number of orbitals that contribute to the band, M is the number of
contributing atoms, and ij runs over all the orbitals in the basis, but the hopping
will be restricted to nearest neighbors, only. What we basically have to do now is to
count all hopping cycles of length two to the appropriate neighbors, plug this into
(15.38), and match the resulting bandwidth with the width of the corresponding den-
sity of states. In practice it might be easier to simply adjust the parameter vσ , such
that ab initio bandwidths will be reproduced, and in combination with a variation of
lattice sizes, the second parameter λ may be fitted quite accurately [34, 35].
But it turns out that the model Hamiltonian can be reduced even further. In
alkali-doped C60 molecules, the important orbitals are three degenerate t1u orbitals
close to the Fermi level, see Fig. 15.10 (b). In the original basis of the 2pr atomic
orbitals φi (r), which are located around Ri , the three t1u orbitals φ′m (r) are just:
60

φ′m (r) = cm
i φi (r) . (15.39)
i=1
The corresponding hopping terms tmμ,nν between two t1u orbitals labelled by m
and n, which are associated with different C60 molecules located around Rμ and
Rν , may be calculated from the basic hopping terms tij defined in (15.37):
60
60
tmμ,nν = cm n
i cj tiμ,jν . (15.40)
i j
Thus we finally obtain a Hamiltonian for alkali-doped C60 solids, where every
molecule may just be described by three t1u states, instead of the 60 × 4 = 240
2pr orbitals:
460 A. Quandt

H = ǫt1u c†mμσ cmμσ + tmμ,nν c†mμσ cnνσ . (15.41)
mμσ mμ,nν,σ
Again, the hopping terms should comprise nearest neighbors only, and the basic
fitting may be carried out on the basis of the general procedure described above (see
(15.38)). In Fig. 15.11, we show a comparison between an ab initio band structure
for an alkali-doped C60 -molecule and a band structure obtained using the model
Hamiltonian from (15.41), which are obviously matching quite well [38]. Other
important properties like the orientation of C60 molecules and the main features
of superconductivity may also be predicted quite reliably [34, 35] using the model
Hamiltonians of (15.36) and (15.41).
15.3.2.2 Analytical Hamiltonians Using Downfolding
Whenever the physical or chemical properties of a material are clearly determined

by a subset of its orbital states or bands, one may apply the downfolding procedure
described in the previous Sect. 15.3.1 ((15.29)–(15.35)) to arrive at simple one-band
[39] or two-band [40] Hamiltonians, whose analytical treatment is indeed rather
trivial. In the following, we want to repeat the essential steps to arrive at an analytical
treatment of the band structure of YBa2 Cu3 O7 described in [39].
The doped cuprates YBa2 Cu3 O7−x (YBCO) are known to be high-Tc supercon-
ductors [41], where superconductivity seems to be restricted to a doping range of
x ≤ 0.7. These materials are layered compounds made from copper-oxide planes
with a planar unit cell CuO2 , as shown in Fig. 15.12. In YBCO the CuO4 squares
indicated in Fig. 15.12 are actually part of pyramidal units, which leave space for
the embedding of the Ba and Y atoms. Furthermore these squares are part of some
0.6
(a)
0.5
0.4
Energy
0.3 C60 LDA

0.2
0.1
0
Γ X W L Γ K
0.6
(b)
0.5
0.4
Energy
C60 TB
0.3
0.2
0.1
0
Γ X W L Γ K
Fig. 15.11. Comparison between an ab initio band structure for RbC60 (above) and band
structure calculation using the model Hamiltonian of (15.41) shown below [38]
O32–
Cu2+ O22–
Fig. 15.12. Part of a copper-oxide plane within YBa2 Cu3 O7
CuO3 chains of edge-sharing CuO4 squares. Those chains determine various phys-
ical properties, but the superconductivity is thought to be mediated by electrons
within the copper-oxide planes.
A simple-minded electron count (Cu3+ Cu2+ 2 ) in undoped YBa2 Cu3 O7 reveals
that the Cu in the copper-oxide planes has the formal charge Cu2+ , see Fig. 15.12.
But the formal charge of Cu2+ implies that the d-shell of the copper atom will be
incomplete (d9 ). The corresponding hole is mainly put into the highest antibond-
ing state of a Cu-O bond, which is of 3dx2 −y2 character. In such a situation, one
would certainly expect a metallic behavior, but YBCO is actually a semiconductor,
caused by strong correlations of the electrons within the copper-oxide planes [41].
Of course, these rather formal considerations must be amended for real YBCO ma-
terials, where doping turns out to be an essential precondition for superconductivity.
If we take all of these basic structural and electronic features into account, the
band structure of YBCO may be simplified using a first downfold to remove all
bands other than the ones that refer to electrons within the planes. This leads to an
8-band model Hamiltonian, which comprises the states of type Cux2 −y2 , O2x , O3y ,
Cus , Cuxz , Cuyz , O2z and O3z . This model Hamiltonian may be parameterized
following a procedure explained in the previous paragraph (see (15.38)). But in
order to obtain an orthonormal model Hamiltonian, we have to modify our general
downfolding procedure. To understand this, we first expand the Hamiltonian Hred (ǫ)
of (15.33) around the Fermi energy ǫF [39, 40]:
∂Hred
Hred (ǫ) − ǫ ≈ Hred (ǫF ) + (ǫ − ǫF ) − ǫ ≡ H − ǫS . (15.42)
∂ǫ
Up to first order in ǫ, the expansion will obviously lead to a generalized eigen-
value problem that we already encountered before in (14.13). Such a generalized
eigenvalue problem indicates that the chosen basis functions are non-orthogonal.
Therefore, in order to obtain a Hamiltonian for an orthogonal basis, we just have to
make the following transformation [2]:
(H − ǫS)C = 0
1 1 1 1 1 1
=⇒ S − 2 HS − 2 (S 2 C) − ǫS − 2 SS − 2 (S 2 C) = (H ′ − ǫI)C ′ = 0 . (15.43)
We may then continue to downfold copper and oxygen bands and arrive at
a 3-band model Hamiltonian, which contains the Cux2 −y2 , O2x and O3y bands.
462 A. Quandt
The price to pay is that oxygen on-site energies will be renormalized, and that the
reduced Hamiltonian will contain 2nd -nearest-neighbor O2x ↔ O3y hopping (see
Fig. 15.12), as well as 3rd -nearest-neighbor O2x ↔ O2x and O3y ↔ O3y hopping.
In other words, hopping becomes more and more long-ranged, and downfolding
remains accurate solely over a smaller and smaller energy range.
If we finally downfold the remaining oxygen bands to obtain a 1-band model
Hamiltonian for the essential Cux2 −y2 band, the latter will contain up to 9th-nearest-
neighbor hopping integrals [39]. After all, the downfolded bands did not vanish into
thin air! All the way down to the 1-band model Hamiltonian, their basic character
survived in the various renormalizations of the remaining on-site and hopping terms.
Finally we want to recommend another study, which employs the downfolding
procedure described in this paragraph to a much simpler and exactly solvable model
for 3d compounds [42]. That paper also illustrates some of the techniques discussed
in the following section.
15.3.3 Parameterization of Coulomb Integrals
In this section, we present a method for the parameterization of Coulomb integrals

based on constrained density functional theory. The first paragraph will explain the
main theoretical concepts behind such an approach. However, this procedure will
not be perfect, and therefore we also added a short second paragraph, where we
briefly mention some of the necessary corrections, and give some helpful references.
15.3.3.1 Constrained Density Functional Theory
We want to focus again on the Anderson Hamiltonian given in (15.27). In order to

parameterize it, we may assume that the hybridization between the band electrons
and the electrons of the impurity are effectively zero, and therefore the localized
electrons of the impurity are somewhat decoupled from the rest of the system. Then
we obtain the following model Hamiltonian:
U d d
H = ǫ3d ndm + n m n m′
m
2 ′
m=m
U
⇒ E(n) = ǫ3d n + n(n − 1) (15.44)
2
The second line follows
from the fact that under the given circumstances, the occu-
pation number n = m d†m dm is a good quantum number. We immediately see
that:
∂E(n) U
= ǫ3d + U n − ≡ ǫDFT
3d
∂n 2
2
∂ E(n) ∂ǫDFT
3d
= U = E(n + 2) + E(n) − E(n + 1) = . (15.45)
∂n2 ∂n
In the first line, we were setting the derivative of the energy as a functional of the
occupation number of the 3d states equal to the corresponding one-particle state of
the Kohn-Sham equations. This is known as Janak’s theorem, and an elementary
derivation can be found in [43]. Furthermore we see from the second line in (15.45),
that U might in principle be obtained from the knowledge of total energies E(n)
for discrete changes of the occupation numbers n, or from the knowledge of the
variation of the 3d Kohn-Sham eigenstate as a function of a continuous n.
To determine U for rare earth compounds, one can follow Herring [44] and
assume that changes in the occupation numbers of the 4f states are accompanied by
changes in the occupation of other localized atomic states, such that the atom as a
whole will remain neutral (perfect screening). This approach was used in [45] and
[46], and good agreement with experiment [47] was obtained, see Fig. 15.13. Later
work [48] confirmed that perfect screening is indeed a rather useful assumption for
rare earth compounds, but not for transition metal compounds.
When the perfect screening assumption is invalid, one can apply constrained
density functional theory [49]. Here the idea is to fix the occupation number of a
Kohn-Sham state φi to a value Ni by introducing a Lagrangian multiplier v. To this
end, we formally rewrite (14.41) including this additional Lagrangian multiplier:

E[Ni ] = min F [n(r)] + v (ni (r) − Ni ) dr . (15.46)
φk (r) Ω
We then obtain a set of one-particle equations similar to (14.42), but with an addi-
tional projection potential v, which acts on φi (r) in a restricted (atomic) domain Ω,
only. All other orbitals are allowed to relax, thus describing an optimally screened
excitation.
14 Experiment
Theory
12
10
U (eV)
Ce Pr Nd Pm Sm Eu Gd Tb Dy Ho Er Tm
Fig. 15.13. Experimental verification [47] of an early ab initio determination of U for 4f

elements [45, 46]
464 A. Quandt
The projection potential v usually has to be adjusted by hand, in order to obtain a

certain value of ni (r) within the atomic domain Ω. If we now return to our original
problem of determining U for a local 3d impurity inside a (decoupled) host, we im-
mediately realize from (15.45) that such a variation of v will be the key to determine
U from ab initio calculations. To this end, we only have to calculate the variation
of the Kohn-Sham eigenstate ǫDFT 3d (N3d ) with N3d , or alternatively, we will have to
calculate the (constrained) total energies E[N3d ], E[N3d + 1] and E[N3d + 2].
Finally we want to point out that constrained density functional theory is a very
general approach to obtain the parameterization of other popular model Hamiltoni-
ans. In particular, constrained density functional theory may be used to parameterize
some standard magnetic model Hamiltonians [49].
15.3.3.2 Some Corrections

So far we could make a clear suggestion to determine U using constrained density
functional theory, but somehow the hopping terms in the Anderson model of (15.27)
have evaporated into thin air. There are various studies that actually show how to
include these terms.
In [50] the authors parameterize the complete Anderson Hamiltonian of (15.27)
by matching the energy hypersurfaces E[n] for constrained density functional the-
ory and for the model system, which is treated in a self-consistent mean-field fash-
ion. The fitting procedure of the hopping terms is carried out using the techniques
described in the previous section. These authors of [50] also show how to avoid
double-counting by removing some of the kinetic energy contributions to U induced
by constrained DFT.
In [51, 52] the authors present a technique to cut hopping within the Anderson
model by removing hopping integrals from localized orbitals. This method takes ad-
vantage of the sparsity, locality and near-orthogonality of general muffin-tin orbital
basis sets used with LMTO [53].
The value of U may also be taken from experiment. If we return to the problem
of finding an appropriate model Hamiltonian for a free C60 molecule described in
Sect. 15.3.2, it might be much more realistic to actually introduce some molecular
Umol for the mutual repulsion between two electrons in a t1u orbital on the same C60
molecule. Then this parameter Umol may be determined using constrained DFT [54]:
∂ǫt1u
Umol = . (15.47)
∂nt1u
In order to determine an Usolid for solid C60 , these authors included a dipole in-
teraction in a self-consistent fashion [54]. When compared to the results of Auger
spectroscopy [55], this model Hamiltonian gives excellent agreement between theo-
retical and experimental data. Therefore other authors [55] have given some detailed
instructions how to determine Usolid from experimental data. The resulting model
Hamiltonian may be further improved by including interactions between the t1u
states of energy ǫt1u (generated and destroyed by c†m , cm ), and some intramolecular
(!) phonon modes of energy ωμ (generated and destroyed by b†μ , bμ ), see [56]:
H = · · · + ǫt1u c†m cm + ωμ b†μ bμ + gmn;μ (b†μ + bμ )c†m cn (15.48)
where
|gmn;μ |2 ∼ ∆ǫt1u (ωμ ) ⇒ λ ∼ N (ǫF )(∆ǫt1u (ωμ ))2 . (15.49)
The coupling constant gmn;μ is related to the shift ∆ǫt1u (ωμ ) of the atomic ener-
gies ǫt1u , when the C60 molecule is distorted in the direction of the phonon mode
corresponding to ωμ . In order to determine the dimensionless coupling constant λ,
we also have to know the density of states at the Fermi level, denoted by N (ǫF ). All
of these values may easily be extracted from ab initio data, see [56].
The Hamiltonian of (15.48) already includes the Jahn-Teller effect due to the
coupling to phonons with Hg -symmetry [57]. It is also possible to include Hund’s
rule coupling [58], and such an augmented model Hamiltonian, which is entirely
based on ab initio data, can be used to develop a consistent theory of strong super-
conductivity in C60 solids [58, 59].
In summary, it seems that for 4f compounds, C60 and high-Tc cuprates, one
may determine U rather accurately. For many 3d compounds, the theoretically de-
termined U turns out to be too large [60]. However, a recent study, which includes
proper RPA screening, leads to largely improved results even for early 3d sys-
tems [61].
15.4 Summary and Outlook

We want to start our summary with a short remark about the topics that we did
not treat in these lecture notes. First of all, the mathematical background of ab initio
methods would be a topic too complex to be treated here, but there is a recent review
article [62], which explains the main directions and some key results. Second we did
not treat the whole field of ab initio molecular dynamics, but we frequently cited a
rather detailed review article by Payne et al.[63], which is devoted to this topic. We
highly recommend this article, in particular, as it also describes in some detail the
numerical background of modern ab initio methods.
Other than that, we took the reader on a rather long and extensive trip, starting
from the basic Hamiltonian of (14.1) and the basic variational principle of (14.1).
We gave strong support to the one-electron picture in chemistry (Sect. 14.2), and
used this concept to analyze some of the key ab initio methods in Sects. 14.3 and
14.4. In Sect. 15.1 we explained the concept of ab initio energy hypersurfaces, and
discussed various ways to explore them, and in Sect. 15.2 we showed how to use
ab initio methods to find new classes of nanomaterials. Finally in Sect. 15.3 we
described how to set up model Hamiltonians using ab initio data, in order to un-
derstand the properties of complex or defective materials, where the full ab initio
program described in Sects. 14.3–15.1 will not be applicable. Such parameterized
model Hamiltonians are also central to many of the theoretical methods described in
these lecture notes, and the accuracy of their parameterizations will be crucial to ob-
tain qualitative and quantitative results for advanced computational methods. Which
466 A. Quandt
emphasizes again the importance of ab initio methods for our basic understanding
of the physical and chemical properties of molecules and solids.
Right at the beginning, we pointed out that a continuing success of modern ab
initio methods will not only depend on better theoretical concepts, but also on better
algorithms and better computing hardware. Better theoretical concepts might imply
the construction of novel basis sets, which are ideally suited to treat mesoscopic
or low-dimensional systems, rather than the popular Gaussian or planewave basis
sets implemented in many ab initio packages. Better algorithms could imply novel
algorithms for sparse-matrix eigenvalue problems, or just some new techniques to
visualize and analyze chemistry data provided by ab initio methods. And better
computing hardware could imply new techniques of distributed computing, or just
a brave jump into a new technology.
Whatever simulation tools the future may bring, two things will always remain:
Ab initio alchemists who want to treat ab initio simulations like a black box, and new
pages in the “Journal of Non Reproducible ab initio Results”. Therefore we finally
added a short Appendix to help you choose your alchemist’s package of choice.
Have fun!
Finally the author would like to thank J. Kunstmann (MPI FKF Stuttgart) for
various illustrations used in Sect. 15.2.2, and O. Gunnarsson (MPI FKF Stuttgart)
for his lecture notes and a number of illustrations, that were forming the basis of
Sect. 15.3.
Appendix 15.A Links to Popular Ab Initio Packages

In the following, we will list the web addresses of some popular ab initio packages.
This list is incomplete, and only the packages marked with an asterisk are free of
charge. Some packages may already belong to the standard equipment of your local
chemistry or materials science departments, or to one of the larger supercomputing
centers to where you routinely submit larger computing tasks. Please check care-
fully before you decide to pay a lot of money.
Typical quantum chemistry packages are:

– GAUSSIAN, an all purpose gaussian based ab initio package that features vir-
tually all methods of modern quantum chemistry (www.gaussian.org).
– GAMESS-UK∗ , a free quantum chemistry package featuring a lot of meth-
ods (www.cfs.dl.ac.uk), which evolved from an earlier program called
GAMESS. The latter has also improved over the years (www.msg.ameslab.
gov/GAMESS).
For solid state and materials science applications, there are a number of well-
maintained packages available, most of them based on density functional theory:
– VASP, a planewave and density functional based code that is very popular among
solid state physicists and materials scientists (cms.mpi.univie.ac.at/
vasp/).
– SIESTA∗ , another planewave and density functional based code similar to VASP
(http://www.uam.es/departamentos/ciencias/fismateriac/
siesta).
– ABINIT∗ , an open source planewave and density functional based ab initio
package, which is maintained by an very active newsgroup (www.abinit.
org).
– TB-LMTO-ASA∗ , a density functional based ab initio package featuring Muffin-
Tin-orbitals (www.fkf.mpg.de/andersen). It is fast, easy to handle, and
may directly be used to set up analytical models, see Sect. 15.3 and [37].
– CRYSTAL, a package that contains Hartree-Fock and density functional based
methods for solid systems (www.crystal.unito.it).
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16 Dynamical Mean-Field Approximation
and Cluster Methods for Correlated Electron Systems
Thomas Pruschke
Institute for Theoretical Physics, University of Göttingen, 37077 Göttingen, Germany

pruschke@theorie.physik.uni-goettingen.de
Among the various approximate methods used to study many-particle systems the
simplest are mean-field theories, which map the interacting lattice problem onto
an effective single-site model in an effective field. Based on the assumption that
one can neglect non-local fluctuations, they allow to construct a comprehensive and
thermodynamically consistent description of the system and calculate various prop-
erties, for example phase diagrams. Well-known examples for successful mean-field
theories are the Weiss theory for spin models or the Bardeen-Cooper-Schrieffer the-
ory for superconductivity. In the case of interacting electrons the proper choice of
the mean-field becomes important. It turns out that a static description is no longer
appropriate. Instead, a dynamical mean-field has to be introduced, leading to a com-
plicated effective single-site problem, a so-called quantum impurity problem.
This chapter gives an overview of the basics of dynamical mean-field theory
and the techniques used to solve the effective quantum impurity problem. Some
key results for models of interacting electrons, limitations as well as extensions that
systematically include non-local physics are presented.
16.1 Introduction
Strongly correlated electron systems still present a major challenge for a theoretical
treatment. The simplest model describing correlation effects in solids is the one-
band Hubbard model [1, 2, 3]
†
H= tij c†iσ cjσ + U ci↑ ci↑ c†i↓ ci↓ , (16.1)
i,j,σ i
where we use the standard notation of second quantization to represent the electrons
for a given lattice site Ri and spin orientation σ by annihilation (creation) operators
(†)
ciσ . The first term describes a tight-binding band with tunneling amplitude for the
conduction electrons tij , while the second represents the local part of the Coulomb
interaction. Since for this model we assume that the conduction electrons do not
have further orbital degrees of freedom, this local Coulomb interaction acts only if
two electrons at the same site Ri with opposite spin are present.
The complementary nature of the two terms present in the Hubbard model (16.1)
– the kinetic energy or tight-binding part is diagonal in momentum representation,
T. Pruschke: Dynamical Mean-Field Approximation and Cluster Methods for Correlated Electron Systems, Lect. Notes
Phys. 739, 473–503 (2008)
474 T. Pruschke
the interaction part in direct space – already indicates that it will be extremely hard
to solve. One can, however, get at least for filling n = 1 (half filling) some insight
into the physics of the model by a few simple arguments: In the limit U → 0 we
will have a simple metal. On the other hand, for tij → 0, or equivalently U → ∞,
the system will consist of decoupled sites with localized electrons and hence rep-
resents an insulator. We thus can expect that there exists a critical value Uc , where
a transition from a metal to an insulator occurs. Furthermore, from second order
perturbation theory around the atomic limit [4], we find that for |tij |/U → 0 the
Hubbard model (16.1) maps onto a Heisenberg model

H= Jij S i · S j , (16.2)
ij
where S i represents the spin operator at site Ri and the exchange constant is given
by
t2ij
Jij = 2 >0. (16.3)
U
Note that this immediately implies that we will have to expect that the ground state
of the model at half filling will show strong antiferromagnetic correlations.
Away from half filling n = 1 the situation is much less clear. There exists
a theorem by Nagaoka [5], that for U = ∞ and one hole in the half-filled band
the ground state can be ferromagnetic due to a gain in kinetic energy; to what extent
this theorem applies for a thermodynamically finite doping and finite U has not been
solved completely yet. The mapping to the Heisenberg model can still be performed
leading to the so-called t-J model [4], which again tells us that antiferromagnetic
correlations will be at least present and possibly compete with Nagaoka’s mecha-
nism for small Jij or even dominate the physics if Jij is large enough. This is the
realm where models like the Hubbard or t-J model are thought to describe at least
qualitatively the physics of the cuprate high-TC superconductors [6].
The energy scales present in the model are the bandwidth W of the tight-binding
band and the local Coulomb parameter U . From the discussion so far it is clear that
typically we will be interested in the situation U ≈ W or even U ≫ W . This
means, that there is either no clear-cut separation of energy scales, or the largest
energy scale in the problem is given by the two-particle interactions. Thus, standard
perturbation techniques using the interaction as perturbation are usually not reliable
even on a qualitative level; expansions around the atomic limit, on the other hand,
are extremely cumbersome [7] and suffer from non-analyticities [8] which render
calculations at low temperatures meaningless.
The knowledge on correlated electrons systems in general and the Hubbard
model (16.1) in particular acquired during the past decades is therefore mainly due
to the development of a variety of computational techniques, for example quantum
Monte Carlo (QMC), exact diagonalization (ED), and the density-matrix renormal-
ization group (see Parts V, VIII and IX). Since these methods – including modern
developments – have been covered in great detail during this school, I will not dis-
cuss them again at this point but refer the reader to the corresponding chapters in this
16 Dynamical Mean-Field Approximation and Cluster Methods 475
book. The aspect interesting here is that basically all of them are restricted to low-
dimensional systems: For ED, calculations in D > 2 are impossible due to the size
of the Hilbert space, and in case of the DMRG the way the method is constructed
restricts it basically to D = 1. QMC in principle can be applied to any system; how-
ever, the sign problem introduces a severe limitation to the range of applicability
regarding system size, temperature or interaction strengths.
In particular the restriction to finite and usually also small systems make a re-
liable discussion of several aspects of the physics of correlated electron systems
very hard. Typically, one expects these materials to show a rather large variety of
ordered phases, ranging from different magnetic phases with and without orbital or
charge ordering to superconducting phases with properties which typically cannot
be accounted for in standard weak-coupling theory [9]. Moreover, metal-insulator
transitions driven by correlation effects are expected [9], which are connected to a
small energy scale of the electronic system. Both aspects only become visible in a
macroscopically large system: For small finite lattices phase transitions into ordered
states cannot appear, and an identification of such phases requires a thorough finite-
size scaling, which usually is not possible. Furthermore, finite systems typically
have finite-size gaps scaling with the inverse system size, which means that small
low-energy scales appearing in correlated electron materials cannot be identified.
These restrictions motivate the question, if there exists a – possibly approximate
– method that does not suffer from restrictions on temperature and model param-
eters but nevertheless works in the thermodynamic limit and thus allows for phase
transitions and possibly very small low-energy scales dynamically generated due to
the correlations. Such methods are the subject of this contribution.
In Sect. 16.2.1 I will motivate them on a very basic level using the concept of
the mean-field theory well-known from statistical physics, and extend this concept
for the Hubbard model in Sect. 16.2.2, obtaining the so-called dynamical mean-field
theory (DMFT). As we will learn in Sect. 16.2.2.4, the DMFT still constitutes a non-
trivial many-particle problem and I will thus briefly discuss techniques available to
solve the equations of the DMFT. Following some selected results for the Hubbard
model in Sect. 16.2.3 I will touch a recent development to use DMFT in material
science in Sect. 16.2.4. Section 16.3 of this contribution will deal with extensions of
the DMFT, which will be motivated in Sect. 16.3.1. The actual algorithms and their
computational aspects will be discussed in Sects. 16.3.2 and 16.3.3. Some selected
results for the Hubbard model in Sect. 16.3.4 will finish this chapter.
16.2 Mean-Field Theory for Correlated Electron Systems

16.2.1 Classical Mean-Field Theory for the Heisenberg Model
In the introduction to the Hubbard model we already encountered the Heisenberg

model (16.2) as low-energy limit for U → ∞. Regarding its solvability, this model
shares some more features with the Hubbard model in that it poses a computational
rather hard problem in D ≥ 2. However, there exists a very simple approximate
476 T. Pruschke
theory which nevertheless describes the properties of the Heisenberg model at least
qualitatively correct, the Weiss mean-field theory [10]. As we all learned in the
course on statistical physics, the basic idea of this approach is the approximate
replacement
S i · S j ≈ S i · S j MFT + S i MFT · S j (16.4)

(i)
H≈ H MFT = 2 Jij S i · S j MFT (16.5)
i ij
where . . .MFT stands for the thermodynamic average with respect to the mean-field
Hamiltonian (16.5) and we dropped a for the present discussion unimportant term
S i MFT · S j MFT . If we define an effective magnetic field or Weiss field accord-
ing to

B i,MF := 2 Jij S j MF , (16.6)
j =i
we may write
(i)
HMF = S i · B i,MF . (16.7)
This replacement is visualized in Fig. 16.1. The form (16.7) also explains the name
assigned to the theory: The Hamiltonian (16.2) is approximated by a single spin in
an effective magnetic field, the mean-field, given by the average over the surround-
ing spins. Note that this treatment does not make any reference to the system size,
i.e. it is also valid in the thermodynamic limit.
The fact, that the mean-field B i,MF is determined by S j MFT immediately leads
to a self-consistency condition for the latter
S i MFT = F [S j MFT ] . (16.8)
The precise form of the functional will in general depend on the detailed structure
of the Hamiltonian (16.2). For a simple cubic lattice and nearest-neighbor exchange
/
J for i, j nearest neighbors
Jij = (16.9)
0 otherwise
one finds the well-known result

1 4DJSjz MFT
Siz MFT = − tanh , (16.10)
2 kB T
Fig. 16.1. Sketch for the mean-field theory of the Heisenberg model
where we put the quantization axis into the z direction and assumed the same value
Sjz MFT for all 2D nearest neighbors. For kB T < |J ∗ |, where J ∗ := 2DJ, this
equation has a solution |Siz MFT | =
0, i.e. the system undergoes a phase transition
to an ordered state (antiferromagnetic for J > 0 and ferromagnetic for J < 0).
As we know, this mean-field treatment yields the qualitatively correct phase di-
agram for the Heisenberg model in D = 3, but fails in dimensions D ≤ 2 and close
to the phase transition for D = 3. The reason is that one has neglected the fluctua-
tions δS i = S i − S i of the neighboring spins. Under what conditions does that
approximation become exact? The answer is given in [10]: The mean-field approx-
imation becomes exact in the formal limit D → ∞, provided on keeps J ∗ = 2DJ
constant. In this limit, each spin has 2D → ∞ nearest neighbors (for a simple cubic
lattice). Assuming ergodicity of the system, one finds that the phase space average
realized by the sum over nearest neighbors becomes equal to the ensemble average,
i.e.
1 D→∞ 1
1
Sj = S j + O( ) . (16.11)
2D 2D D
j = i j = i
∗
The requirement J =const. finally is necessary, because otherwise the energy den-
sity H/N would either be zero or infinity, and the resulting model would be trivial.
For the Heisenberg model (16.2) one can even show that D > 3 is already
sufficient to make the mean-field treatment exact, which explains why this approxi-
mation can yield a rather accurate description for magnets in D = 3.
Obviously, the above argument based on the limit D = ∞ is rather general and
can be applied to other models to define a proper mean-field theory. For example,
applied to disorder models, one obtains the coherent potential approximation (CPA),
where the disorder is replaced by a coherent local scattering potential, which has to
be determined self-consistently via the disorder average. A more detailed discussion
of the capabilities and shortcomings of this mean-field theory is given in Chap. 17.
Here, we want to use the limit D → ∞ to construct a mean-field theory for models
like the Hubbard model (16.1).
16.2.2 The Dynamical Mean-Field Theory
16.2.2.1 A First Attempt
Guided by the previous section, the most obvious possibility to construct something
like a mean-field theory for the Hubbard model (16.1) is to approximate the two-
particle interaction term as
c†i↑ ci↑ c†i↓ ci↓ → c†i↑ ci↑ c†i↓ ci↓ + c†i↑ ci↑ c†i↓ ci↓ . (16.12)
This approximation, which is also known as Hartree approximation, is discussed

extensively in standard books on many particle theory (for example [11]). Without
going into the details, one can immediately state some serious defects for half filling
n = 1:
478 T. Pruschke
– It leads to a metallic solution for arbitrarily large U , in contradiction to the ex-

pectations based on fundamental arguments.
– One does find an antiferromagnetically ordered phase, but for large U the Néel
temperature TN →const. instead of the expectation TN ∝ 1/U based on the
mapping (16.3) to the antiferromagnetic Heisenberg model.
What goes wrong here? The answer is quite simple: The Hartree factorization ne-
glects local charge fluctuations
δniσ = c†iσ ciσ − c†iσ ciσ (16.13)
which however are of order one. Thus, an argument rendering this approximation
exact in a nontrivial limit is missing here.
16.2.2.2 The Limit D → ∞
As we have observed in Sect. 16.2.1, the proper way to set up a mean-field theory
is to consider the limit D → ∞. Again, this limit has to be introduced such that
the energy density H/N remains finite. As far as the interaction term in (16.1) is
concerned, no problem arises, because it is purely local and thus does not care about
dimensionality. The critical part is obviously the kinetic energy
1 1
Hkin = tij c†iσ cjσ . (16.14)
N N i,j σ
To keep the notation simple, I will concentrate on a simple cubic lattice with nearest-
neighbor hopping
/
−t for Ri and Rj nearest neighbors
tij = (16.15)
0 otherwise
in the following. Starting at a site Ri , one has to apply Hkin to move an electron
to or from site Rj in the nearest-neighbor shell, i.e. c†iσ cjσ ∝ t and consequently
1 1
Hkin = tij c†iσ cjσ ∝ −2Dt2 , (16.16)
N N i,j σ
where the factor 2D arises because we have to sum over the 2D nearest neighbors
[12]. Thus, in order to obtain a finite result in√the limit D → ∞, it has to be per-
formed such that Dt2 = t∗ =const. or t = t∗ / D [12].
What are the consequences of this scaling? To find an answer to this question,
let us consider the quantity directly related to c†iσ cjσ , namely the single-particle
Green function [11]
1
Gkσ (z) = , (16.17)
z + μ − ǫk − Σkσ (z)
where the kinetic term enters as dispersion ǫk , obtained from the Fourier transform
of tij , and the two-particle interaction leads to the self-energy Σkσ (z), which can,
for example, be obtained from a perturbation series using Feynman diagrams [11].
For the following argument it is useful, to discuss the perturbation expansion in real
(0)
space, i.e. we study now Σij,σ (z). If we represent the Green function Gij,σ (z) for
U = 0 by a (directed) full line and the two-particle interaction U by a dashed line,
the first few terms of the Feynman perturbation series read
i j
Σij,σ (z) = i δij + + ... . (16.18)
i i j
The first, purely local term, evaluates to U niσ̄ , i.e. it is precisely the Hartree ap-
proximation which we found not sufficient to reproduce at least the fundamental
expectations. Let us now turn to the second term. To discuss it further, we need the
(0)
important property Gij,σ (z) ∝ td(i,j) , where d(i, j) is the “taxi-cab metric”, i.e.
√ number of steps to go from site Ri to site Rj . Inserting the scaling
the smallest
t = t∗ / D, we find

d(i,j)
(0) 1
Gij,σ (z)
∝ √ . (16.19)
D
When we insert this scaling property into the second-order term in the expansion
(16.2.2.2), we obtain for j being a nearest neighbor of i
d(i,j )
i j 1 1
Σij,σ (z) − U niσ̄ δij = + ... ∝ √ 3 ∝ √ 3 . (16.20)
i j D D
A closer inspection [12] yields an additional factor D on the right-hand side of the
equation, and we finally arrive at the scaling behavior
1 D→∞
Σij,σ (z) − U niσ̄ δij ∝ √ → 0 (16.21)
D
for the non-local part of the one-particle self-energy. Note that the local contribu-
tions Σii,σ (z) stay finite, i.e.
lim Σij,σ (z) = Σσ (z)δij , (16.22)
D→∞
which in momentum space translates into a k-independent self-energy and hence

1
Gkσ (z) = . (16.23)
z + μ − ǫk − Σσ (z)
480 T. Pruschke
The finding that in the limit D → ∞ renormalizations due to local two-particle

interactions become purely local, is rather interesting and helpful in its own right.
For example, one can use it to set up a perturbation theory which is, due to the miss-
ing spatial degrees of freedom, much more easy to handle. Within this framework,
the Hubbard model and related models were studied by several groups studying low-
energy dynamics and transport properties [13, 14, 15] or the phase diagram at weak
coupling U → 0 [16, 17, 18]. There is, however, an additional way one can make
use of the locality of the self-energy, which directly leads to the theory nowadays
called dynamical mean-field theory (DMFT).
16.2.2.3 Mean-Field Theory for the Hubbard Model
The fundamental observation underlying the DMFT, namely that one can use the
locality of the self-energy to map the lattice model onto an effective impurity prob-
lem, was first made by Brandt and Mielsch [19]. For the actual derivation of the
DMFT equations for the Hubbard model one can use several different techniques.
I will here present the one based on a comparison of perturbation expansions [20].
A more rigorous derivation can for example be found in the review by Georges et al.
[21]. Let us begin by calculating the local Green function Gii,σ (z), which can be
obtained from Gkσ (z) by summing over all k, i.e.
1 1
Gii,σ (z) = . (16.24)
N z + μ − ǫk − Σσ (z)
k
Since k appears only in the dispersion, we can rewrite the k-sum as integral over
the density of states (DOS) of the model with U = 0
1
ρ(0) (ǫ) = δ(ǫ − ǫk ) (16.25)
N
k
as

ρ(0) (ǫ) (0)
Gii,σ (z) = dǫ = Gii (z + μ − Σσ (z)) , (16.26)
z + μ − ǫ − Σσ (z)
where
(0) ρ(0) (ǫ)
Gii (ζ) = dǫ (16.27)
ζ −ǫ
is the local Green function for U = 0. Note that due to the analytic properties of
Σσ (z) the relation sign {Im [z + μ − Σσ (z)]} = sign Im z always holds.
(0)
Now we can make use of well-known properties of quantities like Gii (z) which
can be represented as Hilbert transform of a positive semi-definite function like the
DOS ρ(0) (ǫ) (see for example [11]), namely they can quite generally be written as
(0) 1
Gii (ζ) = , (16.28)
#
ζ − ∆(ζ)
#
where ∆(ζ) is completely determined by ρ(0) (ǫ). If we define Gσ (z)−1 := z + μ −
# + μ − Σσ (z)), we can write the Green function for
∆σ (z), where ∆σ (z) := ∆(z
U > 0 as
1 1
Gii,σ (ζ) = = . (16.29)
z + μ − ∆σ (z) − Σσ (z) Gσ (z)−1 − Σσ (z)
Let us now assume that we switch off U at site Ri only. Then Gσ (z) can be viewed
as non-interacting Green function of an impurity model with a perturbation series
Σσ (z) = + + ... (16.30)
for the self-energy. The full line now represents Gσ (z), but the dashed line visu-
alizes still the same two-particle interaction as in (16.2.2.3). Looking into the lit-
erature, for example into the book by Hewson [22], one realizes that this is pre-
cisely the perturbation expansion for the so-called single impurity Anderson model
(SIAM) [23]
1 †
H= εk α†kσ αkσ + εf c†σ cσ + U c†↑ c↑ c†↓ c↓ + √ αkσ cσ + H.c. ,
kσ σ N kσ
(16.31)
which has been studied extensively in the context of moment formation in solids.
Obviously, the quantity Gσ (z) – or equivalently ∆σ (z) – takes the role of the
Weiss field in the MFT for the Heisenberg model. However, in contrast to the MFT
for the Heisenberg model, where we ended up with an effective Hamiltonian of a
single spin in a static field, we now have an effective local problem which is coupled
to a dynamical field, hence the name DMFT. Instead of Weiss field, Gσ (z) or ∆σ (z)
are called effective medium in the context of the DMFT.
The missing link to complete the mean-field equations is the self-consistency
condition which relates the Weiss field Gσ (z) with the solution of the effective im-
purity problem. This reads

ρ(0) (ǫ) !
Gii,σ (z) = dǫ = GSIAM
σ (z) . (16.32)
z + μ − ǫ − Σσ (z)
Thus, Σσ (z) has to be chosen such that the local Green function of the Hubbard
model is identical to the Green function of a fictitious SIAM with non-interacting
Green function
1
Gσ (z) = −1
. (16.33)
Gii,σ (z) + Σσ (z)
The resulting flow-chart for the iterative procedure to solve the Hubbard model
482 T. Pruschke
Initialize self-energy Σσ(z)
Calculate local Green function
ρ(0) ( )
Gii,σ (z) = d
z+ μ− −Σσ (z)
Determine effective medium
Gσ (z)−1 =Gii,σ (z)−1 + Σσ (z )
Solve effective quantum impurity
Fig. 16.2. The self-consistency loop for the DMFT for the Hubbard model
with the DMFT is shown in Fig. 16.2. The only unknown in it is the box at the bot-
tom saying “solve effective quantum impurity problem”. What the notion quantum
impurity stands for and how the SIAM can be solved will be discussed next.
16.2.2.4 DMFT as Quantum Impurity Problem

Up to now all considerations have been purely analytical. Since this is a book on
computational aspects in many-body systems, one may wonder how this theory fits
into this field. The simple answer lies in the solution of the SIAM necessary to
complete the DMFT loop. Although the Hamiltonian (16.31) of the SIAM looks
comparatively simple, it is already an extremely challenging model. It has been set
up in the early 1960’s, but a reliable solution for both thermodynamic and dynamic
quantities at arbitrary model parameters and temperature became possible only in
the late 1980’s. It belongs to a class of models nowadays called quantum-impurity
models, where a small set of interacting quantum degrees of freedom are coupled
to a continuum of non-interacting quantum states. The physical properties of these
models comprise the well-known Kondo effect [22], quantum phase transitions and
non-Fermi liquid behavior. The actual difficulty in solving these models is that they
typically have a ground state that in the thermodynamical limit is orthogonal to the
one of the possible reference systems – e.g. U = 0 or Vk = 0 for the SIAM –
and thus cannot be treated properly with perturbation expansions. A characteristic
signature of this non-orthogonality is the appearance of an exponentially small en-
ergy scale. Both aspects together make it extremely hard to solve the models even
numerically, because any representation by a finite system makes it impossible to
resolve such energy scales.
Besides the numerical renormalization group discussed in the next paragraph,
one of the first computational techniques used to solve quantum impurity problems
for finite temperatures was quantum Monte Carlo based on the Hirsch-Fye algo-
rithm [21, 24]. This algorithm and its application to e.g. Hubbard model has already
been discussed extensively in Chap. 10. For these models, the short-ranged interac-
tion and hopping allow for a substantial reduction of the computational effort and
a rather efficient code. For quantum impurity problems, however, the orthogonality
catastrophe mentioned above leads to long-ranged correlations in imaginary time.
Consequently, when we denote with L the number of time slices in the simulation,
the code scales with L3 (instead of L ln L for lattice models [25]). Thus, although
the algorithm does not show a sign problem for quantum impurity problems, the
computational effort increases very strongly with decreasing temperature and also
increasing local interaction. As a result, the quantum Monte Carlo based on the
Hirsch-Fye algorithm is severely limited in the temperatures and interaction param-
eters accessible. For those interested, a rather extensive discussion of the algorithm
and its application to the DMFT can be found in the reviews by Georges et al. and
Maier et al. [21, 24]. Note that with quantum Monte Carlo one is generically re-
stricted to finite temperature, although within the projector quantum Monte Carlo
the ground state properties can be accessed in some cases, too [26].
A rather clever method to handle quantum-impurity systems comprising such a
huge range of energy scales was invented by Wilson in the early 1970’s [27], namely
the numerical renormalization group (NRG). In this approach, the continuum of
states is mapped onto a discrete set, however with exponentially decreasing energy
scales. This trick allows to solve models like the SIAM for arbitrary model parame-
ters and temperatures. A detailed account of this method is beyond the scope of this
contribution but can be found in a recent review by Bulla et al. [28]. Here, the inter-
esting aspect is the actual implementation. One introduces a discretization parameter
Λ > 1 and divides the energy axis into intervals [Λ−(n+1) , Λ−n ], n = 0, 1, . . ., for
both positive and negative energies. After some manipulations [22, 28, 29, 30] one
arrives at a representation
∞

H ≈ Himp + εn α†nσ αnσ + tn α†n−1σ αnσ + H.c. , (16.34)

n=0 σ
where Himp is the local part of the quantum impurity Hamiltonian. To keep the
(†)
notation short, I represented the impurity degrees of freedom by the operators α−1,σ .
The quantities εn and tn have the property, that they behave like εn ∝ Λ−n/2 and
tn ∝ Λ−n/2 for large n. The calculation now proceeds as follows: Starting from
the impurity degrees of freedom (n = −1) with the Hamiltonian H−1 ≡ Himp , one
successively adds site after site of the semi-infinite chain, generating a sequence of
Hamiltonians
√ √ N +1
HN +1 = ΛHN + Λ εN +1 α†N +1,σ αN +1,σ
σ
√ N +1
+ Λ tN +1 α†nσ αnσ + H.c. . (16.35)

484 T. Pruschke
The factors Λ in the mapping ensure that at each step N the lowest energy eigen-
values are always of order one. Since for the chain parameters Λ(N +1)/2 tN +1 → 1
holds, the high energy states of the Hamiltonian at step N will not significantly con-
tribute to the low-energy states at step N + 1 and one discards them. This truncation
restricts the size of the Hilbert space at each step sufficiently that the usual expo-
nential growth is suppressed and one can actually repeat the procedure up to almost
arbitrarily large chains.
At each step N , one then has to diagonalize HN , generating all eigenvalues and
eigenvectors. The eigenvectors are needed to calculate matrix elements for the next
step by a unitary transformation of the matrix elements from the previous step. Since
this involves two matrix multiplications, the numerical effort (together with the di-
agonalization) scales with the third power of the dimension of the Hilbert space.
Invoking symmetries of the system, like e.g. charge and spin conservation, one can
reduce the Hamilton matrix at each step to a block structure. This block structure on
the one hand allows for an efficient parallelization and use of SMP machines (for
example with OpenMP). On the other hand, the size of the individual blocks is much
smaller than the actual size of the Hilbert space. For example, with 1000 states kept
in the truncation one has a dimension of the order of 200 for the largest subblock.
The use of the block structure thus considerably reduces the computational effort
necessary at each step.
Moreover, one can identify each chain length N with a temperature or energy
scale Λ−N/2 and can thus approach arbitrarily low temperatures and energies. With
presently available workstations the computational effort of solving the effective
impurity model for DMFT calculations at T = 0 then reduces to a few minutes
using on the order of 10 . . . 100 MB of memory.
Unfortunately, an extension of Wilson’s NRG to more complex quantum im-
purity models including e.g. orbital degrees of freedom or multi-impurity systems
(needed for example for the solution of cluster mean-field theories, see Sect. 16.3)
is not possible beyond four impurity degrees of freedom (where the consumption of
computer resources increases to order of days computation time with ∼ 20 − 30 GB
memory usage), because the step “construct Hamilton matrix of step N + 1 from
Hamilton matrix of step N ” increases the size again exponentially with respect to
the number of impurity degrees of freedom. For a compensation, one has to increase
the number of truncated states in each step appropriately. However, this procedure
breaks down when one starts to truncate states that contribute significantly to the
low-energy properties of the Hamiltonian at step N + 1. In this situation, one is left
with quantum Monte Carlo algorithms as only possible solver at T > 0. At T = 0,
there exists presently not yet a reliable tool to solve quantum impurity models with
substantially more that two impurity degrees of freedom (spin degeneracy). First
attempts to use the density matrix renormalization group method to solve quantum
impurity problems can for example be found in [31, 32, 33].
16.2.3 DMFT Results for the Hubbard Model
In the following sections selected results for the Hubbard model within the DMFT
will be discussed. I restrict the presentation to the case of a particle-hole symmetric
non-interacting system, i.e. the simple-cubic lattice with nearest-neighbor hopping

according to (16.15). More general situations including next nearest-neighbor hop-
ping have also been studied and results can for example be found in [21, 34]. More-
over, the DMFT also allows for a consistent calculation of two-particle properties
like susceptibilities and also transport quantities. A detailed discussion of the as-
pects of these calculations go well beyond the scope of this article and the interested
reader is referred to the extensive literature on these subjects [21, 24, 35].
16.2.3.1 General Structures of the Green Function in DMFT
The fundamental quantity we calculate in the DMFT is the local single-particle

Green function Gii,σ (z). Its imaginary part Nσ (ω) := − Im Gii,σ (ω + i0+ )/π
is called DOS of the interacting system. The generic result for this quantity for a
typical value of U = O(W ) at T = 0, where W is the bandwidth of the dispersion
ǫk , is shown in Fig. 16.3 [21, 35]. One can identify three characteristic structures:
Two broad peaks below and above the Fermi energy ω = 0, which describe the
incoherent charge excitations. They are separated by the energy U and referred to as
lower Hubbard band (LHB) and upper Hubbard band (UHB), respectively. In addi-
tion a rather sharp resonance exists at the Fermi energy, which is a result of coherent
quasiparticles in the sense of Landau’s Fermi liquid theory.
This interpretation becomes more apparent when one looks at the single-particle
self-energy, shown as inset to Fig. 16.3. The region close to the Fermi energy is
characterized by a behavior Re Σσ (ω + i0+ ) ∝ ω and Im Σσ (ω + i0+) ∝ ω 2 . Both
0.6
1
0.5 0,5
Σ(ω+i0 )
0
+
QP −0,5 +
ℜeΣ (ω+i0 )
0.4 −1 +
ℑmΣ (ω+i0 )
−1,5
DOS
−2
0.3 −0,04 −0,02 0 0,02 0,04
LHB ω/W
0.2
UHB
0.1
0
−1 −0.5 0 0.5 1 1.5 2 2.5
ω/W
Fig. 16.3. Generic DMFT result for the DOS of the Hubbard model at T = 0. Model pa-
rameters are U/W = 1.5 and
n = 0.97. W denotes the bandwidth of the dispersion ǫk .
The inset shows the corresponding self-energy Σσ (ω + i0+ ) in the region about the Fermi
energy. One nicely sees the parabolic maximum in the imaginary part and the linear real part
as ω → 0
486 T. Pruschke
are features characteristic for a Fermi liquid. The slope of the real part determines
the quasiparticle renormalization factor or effective mass of the quasiparticles.
16.2.3.2 The Mott-Hubbard Metal-Insulator Transition
One particular feature we expect for the Hubbard model is the occurrence of a metal-
insulator transition (MIT) in the half-filled case n = 1. As already mentioned,
this particular property can serve as a test for the quality of the approximation used
to study the model. That the expected MIT indeed appears in the DMFT has first
been noticed by Jarrell [20] and was subsequently studied in great detail [21]. The
MIT shows up in the DOS as vanishing of the quasiparticle peak with increasing
U . An example for this behavior can be seen in Fig. 16.4. The full curve is the
result of a calculation with a value of U < W , the dashed obtained with U >
1.5 W ≈ Uc . For the latter, the quasiparticle peak at ω = 0 has vanished, i.e. we
have N (ω = 0) = 0. Since the DOS at the Fermi level determines all properties
of a Fermi system, in particular the transport, we can conclude from this result that
for U > Uc the conductivity will be zero, hence the system is an insulator. One
can now perform a series of calculations for different values of U and temperatures
T to obtain the phase diagram for this MIT (see e.g. [36] and references therein).
The result is shown in Fig. 16.5. As an unexpected feature of this MIT one finds
that there exists a hysteresis region, i.e. starting from a metal and increasing U
leads to a different Uc,2 as starting from the insulator at large U and decreasing
U . The coexistence region terminates in a second-order critical end point, which
has the properties of the liquid-gas transition [37, 38]. At T = 0, the transition is
also second order and characterized by a continuously vanishing Drude weight in
the optical conductivity [21], or equivalently a continuously vanishing quasiparticle
renormalization factor [39]. Interestingly, the actual critical line falls almost onto the
0.6
U < Uc
U > Uc
0.4
DOS
0.2
0
−1 −0.5 0 0.5 1
ω/W
Fig. 16.4. Variation of DOS across the MIT

0.05
U < Uc
0.04 0.5 U > Uc
DOS
0.03
T/W
0
–6 –4 –2 0 2 4 6
0.02
ω
metal
0.01
insulator
0.00
1.0 1.2 1.4 1.6
U/W
Fig. 16.5. Paramagnetic phase diagram for the Hubbard model at half filling. The transition
between metal and insulator shows a hysteresis denoted by the two critical lines. The inset
shows the behavior of the DOS as U increases. Figure taken from [36]
upper transition [40]. Finally, for temperatures larger than the upper critical point the
MIT turns into a crossover.
16.2.3.3 Magnetic Properties
Up to now we have discussed the paramagnetic phase of the Hubbard model. What
about the magnetic properties? Does the DMFT in particular cure the failure of the
Hartree approximation, where TN became constant when U → ∞?
Investigations of magnetic properties can be done in two ways. First, one can
calculate the static magnetic susceptibility and search for its divergence. This will
give besides the transition temperature also the proper wave vector of the magnetic
order [21, 41]. For the NRG another method is better suited and yields furthermore
also information about the single-particle properties and hence transport proper-
ties in the antiferromagnetic phase [21, 34]: One starts the calculation with a small
symmetry breaking magnetic field, which will be switched off after the first DMFT
iteration. As result, the system will converge either to a paramagnetic state or a
state with finite polarization. The apparent disadvantage is, that only certain com-
mensurate magnetic structures can be studied, such as the ferromagnet or the Néel
antiferromagnet.
For half filling, the result of such a calculation for the Néel structure at T = 0 is
shown in Fig. 16.6. Quite generally, we expect a stable antiferromagnetic phase at
arbitrarily small values of U with an exponentially small Néel temperature [11, 16].
Indeed we find that the Néel antiferromagnet is the stable solution for all values of
U at T = 0 [42].
488 T. Pruschke
– –
W
Fig. 16.6. DOS for spin up and spin down in the antiferromagnetic phase at half filling and
T = 0. The inset shows the magnetization as function of U
The next question concerns the magnetic phase diagram, in particular the de-
pendence of the Néel temperature TN on U . To this end one has to perform a rather
large number of DMFT calculations systematically varying T and U . The result of
such a survey are the circles denoting the DMFT values for TN (U ) in the phase di-
agram in Fig. 16.7. The dotted line is a fit that for small U behaves ∝ exp (−α/U ),
predicted by weak-coupling theory, while for large U a decay like 1/U is reached.
Thus, the DMFT indeed reproduces the correct U dependence in both limits U → 0
and U → ∞.
0.06
0.05
Metal
0.04
T/W
0.03
Insulator
0.02
Antiferromagnetic insulator
0.01
0.00
0 0.5 1 1.5 2 2.5 3
U/W
Fig. 16.7. Phase diagram for the Néel state at half filling. In addition the paramagnetic MIT
phase lines are included
Another observation is that the phase diagram is completely dominated by the

Néel phase. It even encompasses the MIT phase, whose phase lines are given by
the squares in Fig. 16.7. Note, that the Néel phase is an insulator, too. Thus, there is
the obviously interesting question if an additional transition occurs within the anti-
ferromagnetic insulator from what is called Slater insulator, driven by bandstructure
effects, and Mott-Hubbard insulator, driven by correlation effects. Up to now, no
hard evidence for such a transition could be found [34, 43].
Last, but not least, one may wonder how the magnetic phase diagram develops
away from half filling. Here, two interesting conjectures are known. Weak coupling
theory predicts, that for small U the Néel state remains stable up to a certain filling
nc < 1, but shows phase separation [18]. In the limit U → ∞, on the other hand,
one expects a ferromagnetic phase to appear, which is driven by kinetic energy gain
instead of an effective exchange interaction [5]. Here, the full power of the NRG
as solver for the quantum impurity problem can be seen. There are no restrictions
regarding the value of U or the temperature T . Consequently, one can scan the whole
phase space of the Hubbard model to obtain the U -δ phase diagram at T = 0 shown
in Fig. 16.8. The quantity δ = 1 − n denotes the doping and the vertical axis has
been rescaled according to U/(W + U ) in order to show the results for the whole
interval U ∈ [0, ∞). One indeed finds an extended region of antiferromagnetism
(AFM) for finite doping, which in addition shows phase separation (PS) for values
U < W . For larger U , the actual magnetic structure could not be resolved yet [42].
At very large U the antiferromagnet is replaced by an extended island of Nagaoka
type ferromagnetism (FM) extending out to ≈ 30% doping [42]. These examples
show that the DMFT is indeed capable of reproducing at least qualitatively the rather
1
FM
AFM (??)
0,8
0,6 AFM(PS)
U/(W + U)
0,4
PM
0,2
0
0% 10% 20% 30%
δ
Fig. 16.8. Magnetic phase diagram of the Hubbard model for T = 0. The vertical axis has
been rescaled as U/(W +U ) to encompass the whole interval [0, ∞). The abbreviations mean
paramagnetic metal (PM), antiferromagnet (AFM), phase separation (PS) and ferromagnet
(FM). δ = 1 −
n denotes the doping
490 T. Pruschke
complex physical properties of the Hubbard model (16.1). Moreover, the values for
transition temperatures obtained are strongly reduced as compared to a Stoner or
Hartree approximation [11], thus illuminating the importance of local dynamical
fluctuations due to the two-particle interaction respected by the DMFT.
16.2.4 Further Application: Combining First

Principles with DMFT
The finding, that the DMFT for the Hubbard model, besides properly reproduc-
ing all expected features at least qualitatively, also leads to a variety of non-trivial
novel aspects of the physics of this comparatively simple model [21, 35], rather
early triggered the expectation, that this theory can also be a reasonable ansatz to
study real 3D materials. This idea was further supported by several experimental
results on transition metal compound suggesting that the metallic state can be de-
scribed as a Fermi liquid with effective masses larger than the ones predicted by
bandstructure theory [9]. Moreover, with increasing resolution of photoemission
experiments, structures could be resolved that very much looked like the ubiqui-
tous lower Hubbard band and quasiparticle peak found in DMFT, for example in
the series (Sr,Ca)VO3 [44, 45, 46, 47]. It was thus quite reasonable, to try to de-
scribe such materials within a Hubbard model [48, 49]. However, the explanation
of the experiments required an unphysical variation of the value of U across the
series.
The explanation for the failure lies in the orbital degrees of freedom neglected
in the Hubbard model (16.1) but definitely present in transition metal ions. Thus,
a development of quantum impurity solvers for models including orbital degrees
of freedom started [50, 51, 52]. At the same time it became clear, that the number
of adjustable parameters in a multi-orbital Hubbard model increases dramatically
with the degrees of freedom. In view of the restricted sets of experiments that one
can describe within the DMFT, the idea of material specific calculations with this
method actually appears rather ridiculous.
The idea which solved that problem was to use the density functional theory
′
(DFT) [53, 54] to generate the dispersion relation ǫmm k entering the multi-orbital
Hubbard model [55, 56]. Moreover, within the so-called constrained DFT [57] even
a calculation of Coulomb parameters is possible. Thus equipped, a material-specific
many-body theory for transition metal oxides and even lanthanides became possi-
ble, nowadays called LDA+DMFT [58, 59, 60, 61]. The scheme basically works as
follows [58, 61]:
– For a given material, calculate the band structure using DFT with local density
approximation [54].
– Identify the states where local correlations are important and downfold the band-
structure to these states to obtain a Hamilton matrix H(k) describing the dis-
persion of these states. If necessary, include other states overlapping with the
correlated orbitals (for example oxygen 2p for transition metal oxides).
– From a constrained DFT calculation, obtain the Coulomb parameters for the
correlated orbitals.
– Perform a DMFT calculations using the expression
1 1
Gii,σ (z) = (16.36)
N z + μ − H(k) − Σσ (z)
k
for the local Green function, which now can be a matrix in the orbital indices
taken into account. Note that the self-energy can be a matrix, too.
– If desired, use the result of the DMFT to modify the potential entering the DFT
and repeat from the first step until self-consistency is achieved [56].
As an example for the results obtained in such a parameter-free calculation I present
the DOS for (Sr,Ca)VO3 obtained with the LDA+DMFT scheme compared to pho-
toemission experiments [62] in Fig. 16.9. Apparently, both the position of the struc-
tures and the weight are obtained with rather good accuracy. From these calculations
one can now infer that the structures seen are indeed the lower Hubbard band orig-
inating from the 3d levels, here situated at about −2 eV, and a quasiparticle peak
describing the coherent states in the system.
This example shows that the DMFT is indeed a rather powerful tool to study
3D materials where local correlations dominate the physical properties. There is,
however, not a simple rule of thumb which can tell us when this approach is indeed
applicable and when correlations beyond the DMFT may become important. Even in
seemingly rather simple systems non-local correlations can be important and modify
the dominant effects of the local interactions in a subtle way [63].
SrVO3 (LDA + DMFT(QMC), 300 K)

CaVO3 (LDA + DMFT(QMC), 300 K)
SrVO3 (Sekiyama et al. 2002, bulk)
Intensity (arbitrary units)
CaVO3 (Sekiyama et al. 2002, bulk)
–3 –2 –1 0
Energy (eV)
Fig. 16.9. DOS for (Sr,Ca)VO3 obtained from a parameter free LDA+DMFT calcula-
tion (full lines) compared to results from photoemission experiments (symbols). Taken
from [62]
492 T. Pruschke
16.3 Extending the DMFT: Effective Cluster Theories
16.3.1 Questions Beyond the DMFT
The DMFT has turned out to be a rather successful theory to describe properties of
strongly correlated electron systems in three dimensions sufficiently far away from
e.g. magnetic phase transitions. Its strength lies in the fact that it correctly includes
the local dynamics induced by the local two-particle interactions. It is, on the other
hand, well-known that in one or two dimensions or in the vicinity of a transition to a
state with long-range order the physics is rather dominated by non-local dynamics,
e.g. spin waves for materials showing magnetic order. Such features are of course
beyond the scope of the DMFT.
As a particular example let us take a look at the qualitative properties of the
Hubbard model in D = 2 on a square lattice at and close to half filling. As we
already know, the model has strong antiferromagnetic correlations for intermediate
and strong U , leading to a phase transition to a Néel state at finite TN in D = 3.
However, in D = 2 the theorem by Mermin and Wagner [64] inhibits a true phase
transition at finite T , only the ground state may show long-range order. Neverthe-
less, the non-local spin correlations exist and can become strong at low temperature
[6]. In particular, a snapshot of the system will increasingly look like the Néel state,
at least in a certain vicinity of a given lattice site.
Such a short-range order in both time and space can have profound effects for
example on the photoemission spectrum. In a true Néel ordered state the broken
translational symmetry leads to a reduced Brillouin zone and hence to a folding back
of the bandstructure, as depicted in Fig. 16.10(a). At the boundary of this so-called
magnetic Brillouin zone, a crossing of the dispersions occurs, which will be split by
interactions and leads to the gap in the DOS and the insulating behavior of the Néel
antiferromagnet. When we suppress the long-range order but still allow for short-
range correlations, the behavior in Fig. 16.10(b) may occur. There is no true broken
translational symmetry, hence the actual dispersion will not change. However, the
(a) (b)
W/2 W/2
Ek
Ek
0 0
–W/2 –W/2
–1 0 1 –1 0 1
k/ π k/ π
Fig. 16.10. Sketch of the effect of long-range Néel order (a) vs. strong short-ranged correla-
tions (b) on the single-particle properties of the Hubbard model in D = 2
system “feels” the ordered state on certain time and length scales, which leads to
broadened structures at the position of the back-folded bands (shadow bands) in the
spectral function [65, 66]. Furthermore, the tendency to form a gap at the crossing
points at the boundary of the magnetic Brillouin zone can lead to a suppression of
spectral weight at these points (pseudo-gaps) [65].
The paradigm for such a behavior surely are the high-TC superconductors, but
other low-dimensional materials show similar features, too.
16.3.2 From the Impurity to Clusters
Let us in the beginning state the minimum requirements, that a theory extending the
DMFT to include non-local correlation should fulfill: It should
– work in thermodynamic limit,
– treat local dynamics exactly,
– include short-ranged dynamical fluctuations in a systematic and possibly non-
perturbative way,
– be complementarity to finite-system calculations
– and of course remain computationally manageable.
It is of course tempting, to try and start from the DMFT as an approximation that
already properly includes local dynamics and add the non-local physics somehow.
Since the DMFT becomes exact in the limit D → ∞, an expansion in powers of
1/D may seem appropriate [67]. However, while such approaches work well for
wave functions, their extension to the DMFT suffer from so-called self-avoiding
random walk problems, and no proper resummation has been successful yet.
A more pragmatic approach tries to add the non-local fluctuations by hand
[68, 69], but here the problem of possible overcounting of processes arises. More-
over, the type of fluctuations included is strongly biased and the way one includes
them relies on convergence of the perturbation series.
In yet another idea one extends the DMFT by including two-particle fluctuations
locally [70]. In this way, one can indeed observe effects like pseudo-gap formation
in the large-U Hubbard model [71], but cannot obtain any k-dependence in the
spectral function, because the renormalizations are still purely local.
The most successful compromise that fulfills all of the previously stated require-
ments is based on the concept of clusters. There, the basic idea is to replace the
impurity of the DMFT by a small cluster embedded in a medium representing the
remaining infinite lattice. In this way, one tries to combine the advantages of finite-
system calculations, i.e. the proper treatment of local and at least short-ranged corre-
lations, with the properties of the DMFT, viz the introduction of the thermodynamic
limit via the Weiss field. The schematic representation of this approach is shown
in Fig. 16.11. This idea is not new, but has been tried in the context of disordered
systems before [72], and also in various ways for correlated electron models [24].
A rather successful implementation is the cluster perturbation theory, discussed in
Chap. 19. A recent review discussing these previous attempts and their problems is
given in [24].
494 T. Pruschke
Finite System DMFT
Cluster MFT
Fig. 16.11. Schematic picture of the idea of a cluster based MFT
16.3.3 Implementing the Algorithm
The implementation of the concept of a cluster MFT is straightforward and will

be discussed here using the so-called DCA [24] as example. The other methods
basically follow the same strategy, but differ in the details.
The DCA is an extension of the DMFT in k-space. Starting from the observa-
tion that for short-ranged fluctuations one expects that k-dependencies of certain
quantities like the single-particle self-energy will be weak, one coarse-grains their
k-dependence by introducing a suitable set of Nc momenta K in the first Bril-
louin zone (see Fig. 16.12 with Nc = 4 as example). The k-dependence of the
single-particle self-energy Σσ (k, z) is then approximated according to Σσ (k, z) ≈
Σσ (K, z). This means, that one effectively reduces the resolution in real space to
length scales ∆R ∼ π/∆K, where ∆K is a measure of the difference of individual
ky
k’
(0,π) (π,π)
k K
(0,0) (π,0) kx
ΔK
Fig. 16.12. Tiling the first Brillouin zone in the DCA

K-vectors in the coarse-grained Brillouin zone. Consequently, we can expect to

treat non-local correlations up to this length scale correctly.
The next step now is to integrate out the remaining k-vectors in the sectors
around each K-point. If we do this for the single-particle Green function, we obtain
a quantity
Nc 1
Ḡσ (K, z) := (16.37)
N ′ z + μ − ǫK+k′ − Σσ (K, z)
k
we will call the effective cluster Green function. Obviously, the quantity Ḡσ (K, z)
describes an effective periodic cluster model. The procedure now follows precisely
the ideas of the DMFT. Switching off the interaction in the effective cluster leads to
an effective non-interacting system described by a Green function
1
Ḡσ (K, z) = (16.38)
Ḡσ (K, z)−1 + Σσ (K, z)
and a self-consistency loop depicted in Fig. 16.13.
As in the DMFT, the problematic step is the last box, i.e. the solution of the
effective quantum cluster problem. Note that although we started the construction
from a cluster, the presence of the energy-dependent medium Ḡσ (K, z) renders
this problem again a very complicated many-body problem, just like the effective
quantum impurity problem in the DMFT. However, the situation here is even worse,
because the dynamical degrees of freedom represented by this medium mean that
Initialize self-energy ΣKσ (z)
Calculate coarse grained Green function
Nc 1
GKσ (z)=
N z+μ − ΣKσ (z)− K+k
k
Determine effective medium
GKσ (z)−1 = GKσ (z)+ΣKσ (z)
Solve effective quantum cluster
Exact limits: Nc = 1 ⇒ DMFT, Nc = N ⇒ exact
Fig. 16.13. Flow-diagram of the algorithm for the DCA

496 T. Pruschke
even for clusters as small as Nc = 4, the effective system to solve has infinitely
many degrees of freedom. For example the NRG, which is so successful for the
Hubbard model in the DMFT, will suffer from a huge increase of the Hilbert space
(4Nc ) in each step, which makes the method useless. Up to now the only reasonable
technique is quantum Monte Carlo (QMC), and most of the results presented in the
next section will be based on QMC simulations.
Before we move to the presentation of some results for the Hubbard model, let
me make some general comments on the method. First, while the concept of a cluster
MFT seems to be a natural extension of the DMFT, it lacks a similar justification by
an exact limit. The best one can do is view the cluster MFT as interpolation scheme
between the DMFT and the real lattice, systematically including longer ranged cor-
relations. Moreover, the use of a finite cluster introduces the problem of boundary
conditions (BC). In a real space implementation [73] one has to use open BC and
thus has broken translational invariance. As a consequence, k is not a good quan-
tum number any more and one has to work out averaging procedures to recover the
desired diagonality in k-space. The DCA implements periodic BC, but introduces
patches in the Brillouin zone, where Σσ (K, z) is constant. As result, one obtains a
histogram of self-energy values and must use a fitting procedure to recover a smooth
function Σσ (k, z), if desired.
Another potential problem can be causality [72]. In early attempts to set up
cluster approaches, one typically ran into the problem that spectral functions could
become negative. It has been shown, however, that the different implementations of
the cluster MFT are manifestly causal [24].
Last but not least one may wonder how one can implement non-local two-
particle interactions in this scheme, for example nearest-neighbor Coulomb inter-
action or the exchange interaction in models like the t-J model. In the DMFT, these
interactions reduce to their mean-field description [74]. For cluster mean-field theo-
ries, they should in fact be treated similarly to the single-particle hopping. One then
is faced with the requirement, to not only solve for dynamic single-particle prop-
erties in the presence of the effective bath, but also set up a similar scheme for the
two-particle quantities of the effective cluster [24]. In this respect the cluster MFT
acquire a structure similar to the so-called EDMT proposed by Q. Si et al. [70].
16.3.4 Results for the Hubbard Model
In the following I present some selected results obtained with the DCA for the
Hubbard model in D = 2 on a square lattice. If not mentioned otherwise, we will
again use the nearest-neighbor hopping (16.15). A much wider overview can be
found in the review [24].
The first obvious question to ask is how the cluster MFT will modify the single-
particle properties of the Hubbard model. As mentioned, the Mermin-Wagner theo-
rem states that no long-range magnetic order can occur, but from the discussion in
the beginning of this chapter we expect at least the presence of strong non-local spin
fluctuations which should lead to precursors of the ordering at T = 0 in the physical
quantities. In Fig. 16.14 the results of calculations for half filling and U = W/2 with
Fig. 16.14. DOS for the 2D Hubbard model at half filling and U = W/2 for different tem-
perature using the DMFT (middle panel) and the DCA with Nc = 4 (right panel). The left
panel shows the bare DOS at U = 0 for comparison. Figure taken from [75]
the DMFT (middle panel) and the DCA with a cluster size of Nc = 4 (right panel)
for different temperatures are shown. For comparison the bare DOS is included in
the left panel. In the DMFT, one obtains a phase transition into the Néel state at
some TN > 0. For T > TN , the DOS shows the ubiquitous three-peak structure,
while for T < TN a gap appears in the DOS. No precursor of the transition can be
seen. The DCA, on the other hand, already shows a pronounced pseudo-gap even
at elevated temperatures, which becomes deeper with decreasing temperatures. This
reflects the expected presence of spin fluctuations. Since the DCA still represents a
MFT, a phase transition will eventually occur here, too. However, the correspond-
ing transition temperature is reduced from its DMFT value and the DOS seemingly
varies smoothly from T > TN to T < TN here.
The influence of spin fluctuations close to half filling can also be seen in
the spectral functions A(k, ω) = − Im mG(k, ω + i0+ )/π, which are plotted
along high-symmetry directions of the first Brillouin zone of the square lattice (see
Fig. 16.16) in Fig. 16.15. The calculations were done with Nc = 16 at a temperature
T = W/30 at U = W using a Hirsch-Fye QMC algorithm and maximum entropy
to obtain the real-frequency spectra from the QMC imaginary time date [24, 77].
In the calculation an additional next-nearest neighbor hopping t′ = 0.05 W was
included. For n = 0.8 (left panel of Fig. 16.15) nice quasiparticles along the non-
interacting Fermi surface (base-line in the spectra) can be seen and the imaginary
part of the self-energy (plot in the left corner of the panel) has a nice parabolic ex-
tremum at ω = 0 and is basically k-independent. Thus, in this parameter regime the
DMFT can be a reliable approximation, at least as far as single-particle properties in
the paramagnetic phase are concerned. For n = 0.95 (right panel in Fig. 16.15),
on the other hand, quasiparticles are found along the diagonal of the Brillouin zone
(cold spot), while the structures are strongly overdamped in the region k ≈ (0, π)
(hot spot). The notion hot spot comes from the observation, that in this region the
498 T. Pruschke
(a) (b)
(n)=0.8 (n)=0.95
0 0
–0.5 M→X kb (c) –0.5 M→X kb (c)
–1 –1
–1.5 ℑmΣ(ω+iδ) ka –1.5 ℑmΣ(ω+iδ)
kb
–2 –2 ka
–2.5 –2.5 kb
ω ω
–3 –3
–1 0 1 –1 0 1
Γ→M ka (a) X→Γ (b) Γ→M ka (a) X→Γ (b)
0 1 –1 0 1 –1 0 1 –1 0 1
Fig. 16.15. Spectral functions along high-symmetry directions of the first Brillouin zone of
the square lattice (see Fig. 16.16) obtained from a DCA calculation with Nc = 16 for dif-
ferent fillings
n = 0.8 (left panel) and
n = 0.95 (right panel). The figures in the left
corners show the imaginary part of the self-energy at special k-points indicated by the arrows
in the spectra. The model parameters are U = W and T = W/30. Figure taken from [76]
Fermi surface can be connected with the reciprocal lattice vector Q describing the
antiferromagnetic ordering (see Fig. 16.16) (nesting). Obviously, these k-points will
be particularly susceptible to spin fluctuations and acquire additional damping due
to the coupling to those modes.
Finally, one may wonder what the DCA can do for 3D systems. As example,
I show results of a calculation of the Néel temperature for the 3D Hubbard model
at half filling in Fig. 16.17. The figure includes several curves: The one labelled
“Weiss” is obtained from a Weiss mean-field treatment of the antiferromagnetic
Heisenberg model with an exchange coupling J ∼ t2 /U according to (16.3). The
one called “Heisenberg” represents a full calculation for the 3D Heisenberg model
with this exchange coupling, “SOPT” denotes a second-order perturbation theory
calculation for the Hubbard model, “Staudt” recent QMC results [79] and finally
“DMFT” and “DCA” the values for TN obtained from DMFT and DCA respectively.
Obviously, the DCA results in a substantial reduction of TN as compared to the
DMFT, leading to the correct values for all U . As expected, the DMFT overestimates
TN as usual for a mean-field theory, but, as we already know, is otherwise consistent
with the anticipated behavior at both small and large U on the mean-field level.
X
Q Γ
Fig. 16.16. First Brillouin zone of the square lattice

Fig. 16.17. Néel temperature as function of U for the 3D Hubbard model at half filling. For
the different curves see text. Taken from [78]
Note that for the QMC results and the DCA a finite size scaling has been performed,
where for the DCA lattices up to 32 sites were included, i.e. substantially smaller
that in [79].
16.4 Conclusions
Starting from the Weiss mean-field theory for the Heisenberg model, we have devel-
oped a proper mean-field theory for correlated fermionic lattice models with local
interactions. In contrast to the mean-field theory for the Heisenberg model, the fun-
damental quantity in this so-called dynamical mean-field theory is the single-particle
Green function, and the effective local problem turned out to be a quantum-impurity
model. Quantum impurity models are notoriously hard to solve, even with advanced
computational techniques. As a special example, we discussed the numerical renor-
malization group approach in some detail.
As we have seen, the dynamical mean-field theory allows to calculate a vari-
ety of static and dynamic properties for correlated lattice models like the Hubbard
model and its relatives. In contrast to the Hartree-Fock treatment, dynamical renor-
malizations lead to non-trivial phenomena like a Fermi liquid with strongly en-
hanced Fermi liquid parameters, a paramagnetic metal-insulator transition and mag-
netic properties that correctly describe the crossover from weak-coupling Slater an-
tiferromagnetism to Heisenberg physics and Nagaoka ferromagnetism as U → ∞.
In combination with density functional theory, which allows to determine model
parameters for a given material ab initio, a particularly interesting novel approach to
a parameter-free and material-specific calculation of properties of correlated materi-
als arises. Several applications have demonstrated the power of this method, which
can even lead to a quantitative agreement between theory and experiment.
Thus, is the DMFT an all-in-one tool, suitable for every purpose? Definitely not.
We also learned that we have to pay a price for the gain: The DMFT completely
500 T. Pruschke
neglects non-local fluctuations. This means, for example, that it does not care for
the dimensionality of the system and will in particular lead to phase transitions even
in nominally one-dimensional problems. Furthermore, even in three dimensions one
cannot realize ordered states with non-local order parameters – e.g. d-wave super-
conductivity. Thus, for low-dimensional system or in the vicinity of phase transi-
tions, the DMFT surely is not a good approach.
These deficiencies can be cured at least in part by extending the notion of local to
also include clusters in addition to single lattice sites. One then arrives at extensions
of the DMFT like the cluster dynamical mean-field theory or the dynamical cluster
approximation. These theories allow to incorporate at least spatially short-ranged
fluctuations into the calculations. We have learned that these extensions indeed lead
to new phenomena, like formation of pseudo-gaps in the one-particle spectra and the
appearance of new ordered phases with non-local order parameters. Cluster theories
also lead to further renormalizations of transition temperatures or, with large enough
clusters, lead to a suppression of phase transitions in low-dimensional systems, in
accordance with e.g. the Mermin-Wagner theorem.
Again one has to pay a price for this gain, namely a tremendously increased
computational effort. For this reason, calculations are up to now possible only for
comparatively high temperatures and only moderate values for the interaction pa-
rameters. For the same reason, while the DMFT can also be applied to realistic
materials with additional orbital degrees of freedom, cluster mean-field extensions
are presently restricted to single-orbital models. Also, questions concerning critical
properties of phase transitions are out of reach.
Another phenomenon frequently occurring in correlated electron systems, which
cannot be handled by both theories, are quantum phase transitions. This class of
phenomena typically involves long-ranged two-particle fluctuations and very low
temperatures, which are of course beyond the scope of any computational resource
presently available.
The roadmap for further developments and investigations is thus obvious. We
need more efficient algorithms to calculate dynamical properties of complex quan-
tum impurity systems, preferably at low temperatures and T = 0. First steps into
this direction have already been taken through the development of new Monte Carlo
algorithms [80, 81] which show much better performance than the conventional
Hirsch-Fye algorithm and are also sign-problem free [82].
With more efficient algorithms also new possibilities for studies of properties of
correlated electron systems arise: Studies of f -electron systems (heavy Fermions)
with DFT+DMFT or even DFT+cluster mean-field theories; low-temperature prop-
erties of one- or two-dimensional correlated electron systems with large interac-
tion parameter; critical properties and properties in the vicinity of quantum phase
transitions.
This collection of examples shows that, although the DMFT and its cluster ex-
tensions are already well established, the list of possible applications and improve-
ments is large and entering into the field by no means without possible reward.
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17 Local Distribution Approach
Andreas Alvermann and Holger Fehske
In this contribution we describe a stochastic approach to the analysis of random

spatial fluctuations and accompanying correlation phenomena like Anderson local-
ization. We first elucidate the basic conceptual ideas which motivate the use of dis-
tributions of local Green functions in this approach, and then present details of the
technique and its implementation. We illustrate its application by examples taken
from the field of disordered solids. The inclusion of interaction by means of dy-
namical mean-field theory then is a possible starting point for a unified treatment of
disorder and interaction.
17.1 Introduction
Any theory of condensed matter – at least a proper quantum mechanical one – has to
include spatial and temporal fluctuations, and the correlations that develop between
these. Fluctuations in time naturally arise in any interacting system, where a particle
can exchange energy with the rest of the system. In a number of situations spatial
fluctuations are equally important. As we learn in the Born-Oppenheimer approx-
imation [1], electrons in a solid see the ions mainly through a static potential. In
disordered systems spatial fluctuations then arise from an irregular arrangement of
the ions. Even for a regular crystal, at finite temperature ions are elongated from
their equilibrium positions, and the ionic potential fluctuates in space. On a techni-
cal level, the Hubbard-Stratonovich transformation [2, 3] shows how an interacting
fermion system can be mapped onto a non-interacting one coupled to auxiliary fields
which fluctuate in space (and time).
In traditional mean-field descriptions, such as the Weiss theory of magnetism,
fluctuations are at best approximately described, if not neglected at all. As a major
improvement the dynamical mean-field theory (DMFT) [4] – for a detailed expla-
nation and a list of references we refer the reader to Chap. 16 – includes fluctua-
tions and correlations in time by establishing a self-consistent theory for a local but
energy-dependent interaction self-energy. In the course of the DMFT construction,
which is based on the limit of infinite dimension (d = ∞), spatial fluctuations are
averaged out. A natural question is whether one can set up a kind of mean-field
theory which accounts for fluctuations and correlations in space. This contribution
will try to explain that an affirmative answer can be found if one adopts a viewpoint
which has been first advocated for by P. W. Anderson in developing his theory of
A. Alvermann and H. Fehske: Local Distribution Approach, Lect. Notes Phys. 739, 505–526 (2008)
506 A. Alvermann and H. Fehske
localization in disordered systems [5]: To take the stochastic nature of spatial fluc-
tuations serious. Then quantities like the density of states become site-dependent
random quantities, and one has to deal with their distribution instead of some
averages.
In this tutorial we are going to describe an approach resting on this stochastic
viewpoint. This approach employs the distribution of the local density of states as
the quantity of interest, and is accordingly denoted as local distribution (LD) ap-
proach. We will explain how to turn this approach into a working method, and apply
it to two important examples of disordered non-interacting systems. In the discus-
sion of the results we will relate it to a method based on averages, the coherent
potential approximation (CPA) [6]. Then we outline how to combine the stochastic
approach with DMFT to address both interaction and disorder. Anderson localiza-
tion of a Holstein polaron serves as a particular example in this context. Finally, we
take a short look how to cast the Holstein model at finite temperature into a stochas-
tic framework. There is one word of warning to the reader: What we are going to
explain is a fully worked out machinery only to a lesser degree, but constitutes an
original way of thinking which has yet found some applications. This tutorial will
hopefully serve the purpose to get the reader accustomed to the fundamental con-
cepts of a stochastic approach to spatial fluctuations, and to convince him that the
stochastic viewpoint is essential for an appropriate treatment.
17.1.1 Basic Concepts
We can present the basic ideas best if we concentrate on disordered systems, where
spatial fluctuations are explicitly imposed.1 In a substitutionally disordered system,
like a doped semiconductor or an alloy, disorder primarily manifests through site-
dependent random potentials ǫi . A model to describe electron motion in such a
disordered crystal is given by
† †
H= ǫ i ci ci − t ci cj . (17.1)
i i,j
(†)
In this Hamiltonian, ci denote fermionic operators for tight-binding electrons on a
crystal lattice, and the ǫi account for local potentials arising from the ions composing
the crystal. Note that this is a model of non-interacting fermions whose non-trivial
properties arise from the randomness present in ǫi . Due to randomness, the ǫi are
not fixed to some concrete values, but only their range of possible values is specified
by a probability distribution p(ǫi ). Two examples, which will be discussed below in
detail, are the binary alloy with p(ǫi ) = cA δ(ǫi + ∆/2) + (1 − cA )δ(ǫi − ∆/2),
and the Anderson model of localization p(ǫi ) = (1/γ) Θ(γ/2 − |ǫi |) (see (17.9) and
(17.10)).
A material of certain composition corresponds to some p(ǫi ), while any single
specimen of this material is described by choosing values for ǫi according to p(ǫi ).
1
For reviews on the interesting physics of disordered systems we refer the reader to [7, 8].
17 Local Distribution Approach 507
Any p(ǫi ) therefore defines many Hamiltonians (17.1), one for each concrete choice
of all {ǫi }. Any experiment is carried out on a single specimen, i.e. one of these
Hamiltonians, while in generally we want to describe common properties of all
Hamiltonians defined by p(ǫi ). How then is the typical behavior for some p(ǫi )
related to the specific behavior for fixed ǫi ? For any finite system, there is a small
chance to find untypical values for {ǫi }. For the binary alloy (see (17.9) below) for
example, there is a finite probability cN N
A + cB to have all ǫi equal on N sites –
which gives an ordered system with untypical behavior for the disordered one. In a
crystal with many sites however, this probability is vanishingly small: In this sense
any disordered specimen is typical for the material class.2
In a disordered system translational invariance is broken. In contrast to the de-
scription of ordered systems we then employ quantities that depend on position,
like the local density of states (LDOS) ρi (ω). The LDOS counts the number of
states at a certain energy ω at lattice site i. It is related to the local Green function
Gii (ω) = i|(ω − H)−1 |i by
ρi (ω) = − Im Gii (ω)/π . (17.2)
From the LDOS the density ofstates (DOS) ρ(ω) is obtained as the average over
the crystal volume, ρ(ω) = N1 i ρi (ω) for an N -site lattice. The LDOS generally
contains more information than the DOS. Only in absence of disorder, ρi (ω) = ρ(ω)
for all i. But with disorder, ρi (ω) fluctuates through the system. The important point
we will discuss later is that it would be wrong to say that the LDOS fluctuates around
the DOS. In generally, LDOS fluctuations can render the concept of an averaged
DOS to described the system in whole almost useless.
A tool to measure the LDOS in the laboratory is scanning tunneling microscopy
(STM). In STM, the tunneling current between a tip and the surface of a specimen
is measured. The tunneling current is, in a suitable approximation, proportional to
ρi (ω), convoluted with some apparatus function which accounts for the finite en-
ergy resolution of the STM device. For a given applied voltage STM can therefore
produce a spatially resolved picture of the LDOS. Note that due to the finite energy
resolution several states contribute to the picture of ρi (ω): One always measures the
typical behavior of some eigenstates of the Hamiltonian in the vicinity of ω.
What could not be done with STM, can be done by numerical techniques: To
measure the LDOS even inside a three dimensional cube (Fig. 17.1). The computer
first generates N = L3 values for the ǫi in (17.1) using a random number generator,
and then calculates the LDOS for L2 sites in a quadratic slice of the cube using
e.g. the kernel polynomial method (KPM) (see Chap. 19 in this book). Taking this
2
The critical reader might note that this is not the more difficult question whether all
quantities are self-averaging, that is mean and typical values coincide for large system
sizes. The latter is true if the distribution of a quantity is sharp or at least peaked at the
mean value. As e.g. the distribution P [ρi (ω)] of the local density of states shows, this is
in general not the case. Whether it is true for the conductivity is a different question. The
distribution of a quantity itself is nevertheless always typical.
Fig. 17.1. LDOS ρi (ω) for a disordered cube of N = L3 , L = 512, sites. The values of
ǫi were obtained according to the disorder distribution (17.10) of the Anderson model, with
γ/t = 10.0, the calculation has been performed for periodic boundary conditions to avoid
boundary effects. The pictures show a slice of L2 sites, the value of ρi (ω) is color-coded, from
black for very small to white for very large values (see color bar in the middle). In the upper
right edge the 502 sites in the upper left edge of the picture are shown in magnification. Left:
At energy ω/t = 0.0, the LDOS is comparable throughout the crystal. Right: At ω/t = 7.69,
the LDOS is concentrated in finite, separated regions of the crystal. Evidently, the character of
states is very different depending on energy. This indicates the existence of a phase transition,
the so-called Anderson localization, which we will discuss in Sect. 17.2.1
picture,3 one should easily accept that the site-dependence of the LDOS constitutes
an eminent aspect of disordered systems. Apparently, the DOS is not significant for
the different structure of the LDOS: On average, both LDOS pictures in Fig. 17.1
would look the same.
To account for the difference, we have to describe the fluctuations of the LDOS.
Then, both LDOS pictures look different: The right one has strong fluctuations, most
values being small but some very large, while in the left picture values are equally
distributed in some range, and extreme values are rare. To quantify this behavior we
can understand the LDOS with its different values at different sites as a statistical
quantity, whose fluctuations are described by a distribution P [ρi (ω)]. To construct
the distribution from the explicit knowledge of the LDOS, we had to count how
often the LDOS takes a value in a certain range. By this counting we would obtain
P [ρi (ω)] as a histogram. Then, we could also recover the DOS as an (arithmetic)
average ∞
ρ(ω) = ρi P [ρi (ω)] dρi . (17.3)
0
3
With respect to the previous footnote, for N = 5123 sites we expect that the LDOS shows
typical behavior. Indeed, for two different sets of randomly generated values for the ǫi , the
two pictures for the LDOS look qualitatively the same.
To find P [ρi (ω)] not only for one specific Hamiltonian out of the many given by
(17.1) for a certain p(ǫi ), we had to repeat this counting for many different choices
of the ǫi until we get the typical form of P [ρi (ω)], which then no longer depends on
concrete values of the ǫi but only on the disorder distribution p(ǫi ). The aim of the
stochastic approach is to construct this distribution at once.
Let us rethink the concept of the LDOS distribution, which we so far have in-
troduced merely as a way of reorganizing information obtained from a calculation
that does not mention distributions at all. To adopt the stochastic viewpoint entirely
we must convince ourselves that distributions of observables are inherent in the def-
inition of the model (17.1). Clearly, the Green function depends on all values {ǫi }.
Each of the values Gii (ω; {ǫi }) occurs with the probability of the realization {ǫi },
which is in turn given by the distribution p(ǫi ). That is: The Green function by itself
is a random variable right from the beginning, and we must deal with its distribution
P [Gii (ω)]. As we will see this point of view is essential for the very understand-
ing of disorder physics. We can now precisely formulate the task to be solved: To
determine P [Gii (ω)] from p(ǫi ).
The distribution P [Gii (ω)] has two important properties. First, though it clearly
depends e.g. on energy ω, it does not depend on the lattice site i – remember, any
value Gii (ω; {ǫi }) for given {ǫi } does –, since due to the definition of model (17.1)
each lattice site is equivalent. On the level of distributions we recover translational
invariance which is otherwise lost. We keep the subscript i just to indicate a local
Green function. Second, ergodicity implies a two-fold meaning of P [Gii (ω)]: It
gives either the probability for a Green function value at a fixed lattice site but all
possible {ǫi }, or the probability for all lattice sites in a typical realization {ǫi }. As
we stated above, for an infinite lattice we get typical realizations almost surely.
17.1.2 Local Distribution Approach
We have yet advocated many times for using the distribution of the LDOS (or a
Green function) instead of its average, the DOS. We now establish a scheme that
provides us directly with the distribution for an infinite lattice. Since it is entirely
formulated in terms of distributions of local Green functions, we call it local distri-
bution (LD) approach.
For an arbitrary lattice, both the free DOS ρ0 (ω) and the connectivity K, i.e.
the number of nearest neighbors, enter the LD equations. Compared to theories in
the limit d = ∞, we have the additional parameter K. Since it is a bit tedious to
establish the equations in the general case, we restrict to the case of a Bethe lattice
(see Fig. 17.2) where we get simple equations straightforwardly, as has been first
realized in [9]. As a byproduct, we obtain exact equations in this case. All principal
physical features are retained despite this simplification, as we will demonstrate
below.
The local Green function Gii (ω) can always be expanded as
Fig. 17.2. Part of the half-infinite Bethe lattice for K = 2. The Bethe lattice is an infinite
loop-free connected graph, where each site is connected to K + 1 different sites. Cutting one
edge, we obtain the half-infinite Bethe lattice (or Bethe tree) as shown here. The relevance of
Bethe lattices originates from the fact that a number of approximations become exact there –
like the LD approach. However, the precise structure of the Bethe lattice is not as relevant for
the LD approach as it may seem: In principle, only the free DOS is of importance. Especially
simple equations are obtained for the Bethe lattice since the inverse Hilbert transform for the
Bethe DOS is a simple, algebraic function
⎡ ⎤−1
K
(i)
Gii (ω) = ⎣ω − ǫi − t2 Gjk (ω)⎦ . (17.4)
j,k=1
(i)
Here, j, k run over all K neighbors of i, and the superscript (i) indicates that Gjk (ω)
has to be calculated with site i removed from the lattice. On the Bethe lattice, no
path connects different sites j, k adjacent to i once i has been removed. Accordingly,
(17.4) simplifies to
⎡ ⎤−1
K

Gi (ω) = ⎣ω − ǫi − t2 Gj (ω)⎦ , (17.5)
j=1
(i)
where Gj (ω) denotes the Green function Gjj (ω) where the site i to the left of j is
removed (see Fig. 17.2).
Equation (17.5) contains only Green functions of the same type. Hence it is,
in the absence of disorder (ǫi = 0 for all i), a closed equation for the local Green
function Gi (ω) = Gj (ω). Solving that quadratic equation, we find the free Green
function for the Bethe lattice with corresponding semi-circular density of states,
1 4 2
8 W 2
0
Gi (ω) = 2 ω − ω 2 − , (17.6)
W 4
4
0 8 W2 W
ρ (ω) = − ω2 |ω| ≤ , (17.7)
πW 2 4 2
√
where W = 4t K is the bandwidth. Note that the DOS does not depend √ on K if
W is fixed. In the limit d = ∞, for K → ∞, the scaling t ∝ # t/ K keeps the
bandwidth constant (cf. Chap. 16).
With disorder, the solution of (17.5) is less simple. Then, Gi (ω) = Gj (ω), and
(17.5) encodes an infinite set of coupled equations, depending on an infinite number
of parameters {ǫi }. The site-dependence of Gi (ω) prevents a closed equation for
the local Green function, and hence a simple solution of the problem. But let us
look at (17.5) once more from the stochastic viewpoint. We already know that the
Green functions in this equation are random variables. We therefore find that (17.5)
determines one random variable Gi (ω) from K + 1 random variables ǫi and Gj (ω),
j = 1, . . . , K. We also know that P [Gi (ω)] = P [Gj (ω)] for all j. Moreover the
K Green functions Gj (ω) which appear on the r.h.s. of (17.5) are independently
distributed. These two properties amount to read (17.5) as a self-consistency or fix-
point equation for one random variable Gi (ω): It determines Gi (ω) on the l.h.s of
(17.5) from K copies of Gi (ω) on the r.h.s. The on-site energy ǫi enters the equation
as the source of randomness, parameterized by p(ǫi ).
To explicitly state this essential point of the LD approach: By the stochastic
reinterpretation of (17.5), the infinite set of equations for values of Gi (ω) turns
out to be a single equation for the stochastic variable Gi (ω) (i.e., for its distribution
P [Gi (ω)]), with only one parameter p(ǫi ). This amounts to a solution for P [Gi (ω)])
entirely in terms of distributions, as provided by the sampling procedure described
below.
For any finite K, (17.5) is a closed equation for the distribution of the random
variable Gi (ω), which cannot be reduced to an equation for a single value like the
average of Gi (ω). In the limit d = ∞ however, spatial fluctuations are averaged out,
√ (17.5) should simplify to one for averages then. Indeed, with the scaling t ∝
and
#
t/ K for K → ∞, the r.h.s. of (17.5) contains a sum of K summands multiplied
with 1/K. Hence this sum becomes an average for K → ∞ according to the law of
large numbers. Integrating over ǫi gives an average also on the l.h.s., and we obtain
the equation
−1
W 2 ave
Gave (ω) = ω−ǫ− G (ω) p(ǫ) dǫ (17.8)
16
for the disorder averaged Green function Gave (ω). This equation is just the self-
consistency equation of the so-called coherent potential approximation (CPA) for
the Bethe lattice4 . Since (17.5) is exact we have, for the special case of the Bethe
lattice, proven that the CPA becomes exact for K → ∞.
17.1.3 Monte Carlo Solution of the Stochastic Fix-Point Equation
It remains to solve the stochastic self-consistency equation (17.5) for P [Gi (ω)]. We
employ a sampling technique which is related to the Gibbs sampling method. Here
4
For an extensive review on CPA see [6].
we have to deal with infinitely many random variables instead of finitely many as in
standard Gibbs sampling.
Generally, the sampling solves any stochastic fix-point equation of the form
x = F [x, . . . , x, ǫ], where x and ǫ are random variables, F [x1 , . . . , xK , ǫ] is a
function5 that takes K values xi of x and one value of ǫ. The distribution p(ǫ)
of the external variable ǫ is known a priori. Obviously (17.5) is of that form, with
F [G1 , . . . , GK , ǫi ] given by the r.h.s. of the equation. Then, an implicit equation
has to be solved: If one already knew the solution P [x] one would obtain it again
by means of F [x, . . . , x, ǫ]. Note the difference to the prominent Monte Carlo tech-
nique of importance sampling: While the latter one performs an integral with respect
to a given known distribution, we have to construct the distribution from scratch. For
that purpose we need to represent the distribution, which is conveniently done by a
sample with a certain number Ns of entries xi . Each entry will, as soon as the solu-
tion to the fix-point equation is obtained, be a possible value of x, and the fraction of
entries in a certain range does determine P [x]. To read off P [x] from the sample, we
therefore construct a histogram by counting the appearances of entries in specified
intervals; to build up a sample to P [x] we throw Ns dice, weighted with P [x], and
take the Ns outcomes as sample entries. We note that any permutation of the sample
still represents the same distribution.
The algorithm shown below solves the stochastic fix-point equation like one is
tempted to solve any fix-point equation: By iteration. Starting with initial random
values the sample is repeatedly updated until convergence is obtained. Then the
distribution represented by the sample is a fix-point of the equation. To examine
the following algorithm closely is a good way to comprehend the interpretation of
(17.5) as a stochastic self-consistency equation.
input: distribution p(e), functional F, sample size Ns
output: sample and distribution for P[x]
(1) initialize sample S[i] with random data

(2) for i=1,Ns
(2a) find random value for e
using a random number generator for p(e)
(2b) find random indices j[1],...,j[K] within 1,...,Ns
(2c) calculate new value for S[i]=F[S[j[1]],...,S[j[K]],e]
(3) if notConverged goto 2
(4) construct distribution P[x] from S[i] as histogramm

(4’) calculate averages of P[x] by summing over S[i]
We remind ourselves that convergence of the sample does not mean conver-
gence of its entries but of the distribution represented. In practice, we may check
this by comparison of some moments extracted of the distributions before and after
each update (2). In principle, convergence of the sampling algorithm cannot be
5
For the equation to make sense, one requires F [xσ1 , . . . , xσK , ǫ] = F [x1 , . . . , xK , ǫ] for
all permutations σ.
guaranteed, but depends on convergence of the non-stochastic equation obtained for

ǫ = 0, and the properties of the fix-point distribution. Two examples for the conver-
gence of the sampling algorithm (Figs. 17.3, 17.4) illustrate this dependence. First,
take the non-stochastic fix-point equation x = f (x) with f (x) = x3 − 1.25 · x. This
equation has three fix-points x1 = 0, x2/3 = ±1.5. All fix-points are instable, since
the slope |f ′ (xi )|, i = 1, 2, 3, is larger than 1. Direct iteration of f (x) converges
to the stable two-cycle ±0.5, but misses the instable fix-point x1 . The usual trick to
avoid two-cycles, namely rewriting the equation as x = (x + f (x))/2, results for
starting values in (−1.5, 1.5) in convergence to x1 , where the slope is negative. To
check convergence of the sampling algorithm the fix-point equation is rewritten as a
K
stochastic equation x = F [x1 , . . . , xk ] = f ( i=1 xi /K), with identical fix-points.
If we initialize the sample with values in [0, 1] – any subset of (−1.5, 1.5) would
work – the distribution of x constructed in the sampling converges to a δ-peak at
the fix-point x1 = 0 of the original equation (see Fig. 17.3). As for this example,
convergence of the sampling algorithm is generally better than for direct iteration
of the original equation. This result should imply good convergence for (17.5). For
p(ǫi ) = δ(ǫi ), i.e. without disorder, already direct iteration converges to the Green
function G0 (ω) of the Bethe lattice, and sampling of the distribution is therefore
expected to converge fairly well. Nevertheless, as the second example shows, con-
vergence may worsen for the full stochastic equation even if it is pretty good for
the non-stochastic one. For the second example we apply the sampling algorithm
to the solution of (17.5) with disorder, i.e. p(ǫi ) = δ(ǫi ). While in the previous
example the convergence to the fix-point distribution is very regular, the ǫi provide
an explicit source of randomness which leads to fluctuations in the sample during
20
100
variance, average
20 updates
15 10–50 K=2
10–100
P [x]
10 updates
10
K=5
10–150
0 200 400
5 5 updates number of updates
0 updates
2 updates
0
–1 –0.5 0 0.5 1 1.5 2
x
Fig. 17.3. Convergence of a distribution within the sampling algorithm. Solving the equation
x = f (x) with f (x) = x3 − 1.25 · x as a stochastic equation with K = 2. The picture shows
the distribution P [x] of x after some updates of a sample with Ns = 5 × 104 entries; the
inset displays the arithmetic average (solid line) and variance (dashed line) of the sample for
K = 2 and K = 5. The distribution converges to a δ-distribution at the fix-point x0 = 0,
although |f ′ (x0 )| = 1.25 > 1
6 × 105
γ = 2.5
γ = 0.2
4 × 105
P [ρi]
1 γ = 1.0
2 × 105
<ρi> 0
10–15 10–10 10–5 100
ρi
0.5
γ = 2.0
0.25 γ = 2.5 (100 point average)
0 500 1000
number of updates
Fig. 17.4. Convergence of a distribution within the sampling algorithm. Fluctuations of the
average
ρi of the LDOS distribution P [ρi (ω)] to (17.5) during updates of a sample with
Ns = 5 × 104 entries. The disorder distribution p(ǫi ) is taken from (17.10), and ω = 0.
The curves to γ = 0.2 and γ = 1.0 correspond to the distributions shown in Fig. 17.8. For
γ = 2.5, the average of 100 consecutive updates is shown instead of
ρi (the fluctuations of
ρi would fill the picture). The inset displays P [ρi (ω)] for γ = 2.5. Note the logarithmic
abscissa
sampling. In Fig. 17.4 we show the fluctuations of the average of the LDOS distri-
bution P [ρi (ω)]. The larger γ in this example, i.e. the larger the variance of ǫi , the
stronger fluctuations are. This is not an artifact of the algorithm, but results unavoid-
ably from the properties of the fix-point distribution. As the inset in Fig. 17.4 shows,
the fix-point distribution has extremely large variance. Resolving this equation by a
sample with a finite number of entries results in typical large fluctuations associated
with the statistics of rare events. We will see below, that the strength of fluctuations
may even diverge, which signals a phase transition (here, the Anderson transition
from extended to localized states, see Sect. 17.2.1). With strong fluctuations, the
algorithm does not converge even in an approximate sense, and a single sample is
not a good representation of the distribution. To sample the full distribution we then
have to use a large number of consecutive samples obtained in update step (2).
Note that convergence in the first example has been faster for K = 5 than for
K = 2. For (17.5) this observation implies that convergence becomes better with
increasing K – just as one comes close to the limit K = ∞, where the stochastic
equation can be replaced by one for averages.
17.2 Applications of the LD Approach

After the construction of the LD approach and the explanation of the Monte Carlo
sampling we shall now discuss some results of the LD approach. In addition to the
examples given here we also refer the reader to [10, 11, 12, 13]. For all examples,
we set K = 2 in (17.5),
√ and measure energies in units of the bandwidth W (if we
fix W = 1, t = 1/ 32 for the K = 2-Bethe lattice).
17.2.1 Non-Interacting Disordered Systems
Let us begin with two examples of non-interacting disordered systems [14]. The first
example is the binary alloy model, which describes a solid composed of two atomic
species A, B. The on-site energies are distributed as
p(ǫi ) = cA δ(ǫi + ∆/2) + (1 − cA )δ(ǫi − ∆/2) , (17.9)
where ∆ is the separation of the energy levels of A,B atoms, and cA (cB = 1 − cA )
is the concentration of A (B) atoms.
At a first glance we should expect, for ∆ > W , two bands in the DOS centered
at ±∆/2, with weight cA and 1 − cA respectively. Indeed this is what we get by the
CPA, if we solve (17.8). If we compare to the result obtained from the stochastic
approach, solving (17.5) by the sampling algorithm, we find that the averaged CPA
description misses important features of the alloy (see Fig. 17.5). Remember that the
stochastic approach is exact in this situation: The DOS shown gives the true picture
of the system.
Why does CPA fail in this case? Physically, the electron motion is strongly af-
fected by multiple scattering on finite clusters of either A or B atoms, whereby the
DOS develops a rich structure. The most prominent peaks in the DOS can be di-
rectly attributed to small clusters, as indicated in Fig. 17.5. For the parameters cho-
sen here, the concentration cA is below the classical percolation threshold, hence all
clusters of the minority species A are finite. This is the origin of the fragmentation
3
A-BB
LD
CPA
A-BA A-BA B-AA
2
ρ(ω)
B-AB B-AB
0
–2 –1 0 1 2
ω
Fig. 17.5. DOS ρ(ω) for the binary alloy model, with ∆ = 2.0, cA = 0.1. The picture shows
both CPA and LD results. To resolve the δ-peaks in the minority band, the LD curve has been
broadened by including an artificial imaginary part η = 10−3 in the energy ω + iη. Arrows
mark contributions from small finite clusters of atoms. Figure taken from [14]
of the minority A-band. CPA, being constructed in the limit K → ∞, averages over
spatial fluctuations and does therefore not properly account for multiple scattering.
From the stochastic viewpoint, this is manifest in the LDOS distribution P [ρi (ω)]
(see Fig. 17.6), which cannot be represented by a single value. Especially it is not
senseful to replace P [ρi (ω)] by ρ(ω) as in the CPA.
The second example we consider is the Anderson model of localization, which
assumes a box distribution of on-site energies
1 γ
p(ǫi ) = Θ( − |ǫi |) , (17.10)
γ 2
with γ ≥ 0 as the strength of disorder. In contrast to the binary alloy with its dis-
crete distribution, the DOS in the Anderson model is well described by CPA, expect
for some details at the band edges (see Fig. 17.7). But, invisible in the DOS, the
character of states is different towards the band edges and in the band center, as
could already be anticipated from Fig. 17.1. While states in the band center resem-
ble distorted Bloch waves, which extend through the whole crystal, states towards
the band edge have appreciable weight only in finite (separated) regions of the crys-
tal. An electron in such a state is not itinerant any more, hence the state is called
localized in contrast to extended Bloch-like states. As localized states do not con-
tribute to the electrical conductivity, Anderson localization is a mechanism to drive
a metal into an insulator as a result of disorder. While for interaction-driven metal-
insulator transitions like the Mott or Peierls transition a gap in the DOS opens at the
transition, the DOS stays finite at the Anderson transition from localized to extended
states. It is only the conductivity which drops to zero.
Guided by our discussion of Fig. 17.1, one expects that localized and extended
states can be distinguished by means of the LDOS distribution. Fig. 17.8 shows
ρ(ω)
3
P[ρi]
0
0 0.25 0.5 0.75 1
ρi
Fig. 17.6. LDOS distribution P [ρi (ω)] for the binary alloy model at ω = 0.0, with ∆ = 0.3,
cA = 0.1. The arrow marks the DOS ρ(ω). Evidently a single value cannot represent the
distribution in any sense
0.6
0.4
ρ(ω)
0.2 LD
CPA
0
–1 –0.5 0
ω
Fig. 17.7. DOS ρ(ω) for the Anderson model, at γ = 1.5. The picture shows both CPA and
LD results. Since ρ(−ω) = ρ(ω), only one half of the figure is shown. Note the sharp band
edge within the CPA approximation, and the smooth Lifshitz tails in the LD result. These
tails result from the exponentially few (localized) states at sites with large |ǫi | which are not
resolved within CPA
P [ρi (ω)] for weak and moderate disorder. For weak disorder, the distribution re-
sembles a Gaussian peaked at the (averaged) DOS ρ(ω). With increasing disorder,
as fluctuations of the LDOS grow, the distribution becomes increasingly broad and
asymmetric. The DOS is then not representative for the distribution anymore. With
even increasing disorder, the distribution becomes singular at the transition to local-
ized states: All but infinitesimally small weight resides at ρi = 0. This singularity
in P [ρi (ω)] has to be accessed via analytical continuation of a Green function to
the real axis, as is depicted in Fig. 17.9 Although the distribution becomes singular
at the localization transition, the DOS is nevertheless still finite due to negligible
4 4
ρ(ω)
ρ(ω)
P[ρi]
P[ρi]
2 2
0 0
0 1 2 3 0 0.5 1 1.5 2 2.5 3
ρi ρi
Fig. 17.8. LDOS distribution P [ρi (ω)] for the Anderson model, in the band center ω = 0.
The arrows mark the DOS ρ(ω). Left: For weak disorder γ = 0.2, the distribution is peaked
at the ρ(ω). Right: Already for moderate disorder γ = 1.0, the DOS is not significant for
the distribution, which is very skew and broad. Compare this to the distribution shown in
Fig. 17.4 for even stronger disorder
100
108 ρ
10–6
ρ
10–12
ρgeo
P[ρi]
10–18
104
10–12 10–16 10–20
η
η = 10–8
η = 10–9
η = 10–10
100
10–10 10–5 100
ρi
Fig. 17.9. The figure shows, how P [ρi (ω)] for localized states in the Anderson model depends
on the imaginary part η in the energy argument of the Green function Gi (ω + iη). For η → 0,
numerically performing analytical continuation to the real axis, the DOS ρ(ω) stays finite, but
a typical moment, like the geometrically averaged LDOS ρgeo (ω), goes to zero
weight at infinitely large values of ρi (ω). Anderson localization therefore manifests

itself in the full distribution P [ρi (ω)] but not in an averaged value like ρ(ω). As for
the binary alloy, a description in averages is prevented by the pronounced spatial
fluctuations which constitute localization.
To obtain the phase diagram of the Anderson model (Fig. 17.10) which shows
the transition line between localized and extended states – the so-called mobility
edge –, we employ the above criterion based on the LDOS distribution. Since the
DOS does not indicate Anderson localization, the phase diagram could not be ob-
tained from CPA. Indeed, as should be apparent from our discussion, CPA misses
localization at all. Looking at the distributions, we can expect CPA to describe the
system well only for small disorder and away from the band edges, when P [ρi (ω)]
is peaked at ρi (ω) (left panel in Fig. 17.8). There, an electron propagates diffusively,
and correlations in the electron motion are weak. There is however no simple way
to extend an averaged theory like CPA to all disorder strengths or energies.
We should mention that localization also occurs in the binary alloy model. For
small enough cA and large ∆ (see Fig. 17.11 for the DOS), when all A-clusters are
finite and scattering on interlying B-atoms is strong, one expects that all states in
the A-band are localized. Tunneling processes between separated A-clusters may
nevertheless give rise to extended states. For the parameters in Fig. 17.5 states in the
A-band are localized. The DOS then consists of a series of δ-peaks which had to be
broadened with some finite η to be seen in the picture. Note that for the Anderson
model the δ-peaks densely fill the energy regime of localized states – a so-called
Dirac comb or dense pure point spectrum in mathematical terms. The DOS of the
Anderson model is therefore smooth, while for the binary alloy the tendency to gap
formation prevails. This is a precursor of percolative behavior for ∆ → ∞.
localized
2.5
states
2
γ
1.5 extended
states
1
0.5
0
0 0.5 1 1.5
ωmob
Fig. 17.10. Phase diagram of the Anderson model. Shown is the mobility edge ωmob vs. γ.
The dashed line shows the exact band edge ω = (W + γ)/2. The trajectory is symmetric
under ωmob → −ωmob . Note that for small γ, ωmob grows before it tends to zero when γ
approaches the critical value for complete localization (so-called re-entrant behavior)
2
Δ
0
–2 –1 0 1 2
ω
Fig. 17.11. Part of a phase diagram of the binary alloy model for concentration cA = 0.1,
showing the DOS for various ∆. The dashed curves show the CPA band edges, the dotted
lines mark ω = ±∆/2 ± W/2. Figure taken from [14]
17.2.2 Extension to Interacting Disordered Systems
Within DMFT, interaction properties are subsumed in a k-independent self-energy

Σ(ω). Transforming to real space, we get a local self-energy Σii (ω), which how-
ever does not depend on the lattice site i for ordered systems. The LD approach
rests on the observation, that in the presence of disorder previously site-independent
quantities become site-dependent. This applies not only to the local Green function
Gii (ω) but also to the self-energy Σii (ω). In order to extend the LD approach to
interacting systems – or the DMFT to disordered ones – one has to introduce a site-
dependent self-energy Σii (ω), which can be understood as a random variable like
the Green function Gii (ω) [13].
Remember that in DMFT Σii (ω) with Gii (ω) = G0ii (ω − Σii (ω)) is obtained
from the solution of an Anderson impurity problem, in dependence on a local prop-
agator
) *−1
Gii (ω) = Gii (ω)−1 + Σii (ω) , (17.11)
which excludes interaction at site i. Formally, Σii (ω) is a functional of Gii (ω),
Σii (ω) = Σii [Gii (ω)] , (17.12)
whose explicit form is not known in most cases. For the Bethe lattice with its semi-
circular DOS, simple expressions for Gi (ω) and Gi (ω) exist, namely
K
!−1
Gi (ω) = ω − ǫi − t2 Gj (ω) ,
j=1
) *−1
Gi (ω) = Gi (ω)−1 − Σi (ω)
K
!−1
= ω − ǫi − Σi (ω) − t2 Gj (ω) , (17.13)
j=1
– this is of course just the equivalent to (17.5) – while the complexity of (17.12)
does not reduce a single bit. Clearly, with the Green function Gii (ω) also the self-
energy Σii (ω) is a random quantity. The Equations (17.11)–(17.13) therefore have
the same status in an interacting system as (17.5) has without interaction: They form
stochastic self-consistency equations for Σii (ω) and Gii (ω). Again, what would
be an infinite number of coupled equations for self-energies and Green functions,
reduces to few self-consistency equations if reformulated by means of distributions.
Solving these equations by Monte Carlo sampling the impurity problem (17.12)
has to be solved in each update step (2c). This constitutes the main part of the
high computational complexity of the combined LD+DMFT approach. While in
DMFT one has to solve the impurity problem some times till convergence, it has to
be solved here repeatedly for each entry of the sample. The computational effort is
therefore at least Ns times larger than in DMFT.
In few cases the DMFT impurity problem can be solved exactly. With an ex-
plicit solution for (17.12) at hand, the numerical effort to perform the sampling of
Gi (ω) can be handled. One example is the single polaron Holstein model [15] with
Hamiltonian
† √ † †
H = −t ci cj − ε p ω 0 (bi + bi )c†i ci + ω0 bi bi , (17.14)
i,j i i
where an electron is coupled to optical phonons of energy ω0 . For this model, Σi (ω)
is obtained as an infinite continued fraction [16]
1εp ω0
Σi (ω) = . (17.15)
−1 2εp ω0
[Gi (ω − 1ω0 )] −
−1 3εp ω0
[Gi (ω − 2ω0 )] −
···
The continued fraction is an expansion in terms of the maximal number of vir-
tual phonons that are excited at the same time. Evidently, this expansion is non-
perturbative, and contains diagrams of arbitrary order at any truncation depth of the
fraction.
To give an impression of the physical content of the Holstein model, we show in
Fig. 17.12 the DOS ρ(ω) in the anti-adiabatic (i.e. for large ω0 ) strong coupling
regime as obtained from a DMFT calculation based on (17.15). This picture il-
lustrates the formation of a new quasi-particle which is a compound object of an
0.5
Im Σ(ω) ρ(ω)
–15
–30
–5 –4 –3 –2 –1 0 1 2 3 4 5
1
0.5
Im Σ(ω) ρ(ω)
–15 pole of
Σ(ω)
–30
–4.509 –4.508 –4.507 –4.506
ω
Fig. 17.12. The Holstein polaron at strong coupling and large phonon frequency. We show
the DOS for the Holstein model with ω0 /W = 0.5625, εp /W = 4.5. The center of the
lowest sub-band is located nearly at −εp (the polaron shift), and bands are separated by
ω0 . The bandwidth of the lowest sub-band, which is shown in detail in the lower panel, is
Wsub = 3.45 × 10−4 W
electron with a surrounding cloud of phonons. This so-called small polaron is char-
acterized by an extremely large mass resulting in a narrow quasi-particle band (in
Fig. 17.12 the effective mass of the polaron is four orders of magnitude larger than
the free electron mass). Note that, while the lowest polaron is fully coherent, as an
effect of inelastic electron-phonon interaction higher bands are incoherent. Accord-
ingly, the imaginary part of the self-energy is finite. The reader should be aware that
the properties of the polaron intimately depend on the parameter values. Here we do
by no means provide a general picture of polaron physics. For detailed discussions
see e.g. [17, 18, 19], for a DMFT study of small polarons [20].
If the Hamiltonians (17.1) and (17.14) are combined, we obtain a model to study
possible effects of Anderson localization of a polaron. Like for the polaron itself,
the physics of polaron localization is diverse and complicated. A general discussion,
as partly given in [21], is far beyond the scope of this tutorial. For the parameters
used in Fig. 17.12 however, the polaron in its lowest band is a small and heavy
quasi-particle with infinite lifetime. We therefore expect that disorder affects this
quasi-particle like a free electron, but with the mass of the polaron. We can scruti-
nize this expectation within the LD+DMFT approach, which provides the mobility
edge trajectory for the lowest sub-band (Fig. 17.13). Rescaling the trajectory prop-
erly it perfectly matches the trajectory of the Anderson model in Fig. 17.10. As a
fundamental observation we note that the critical disorder for complete localization
of all states in the polaron sub-band is renormalized by Wsub /W as compared to
the free electron: In any real material such a polaron would be localized for almost
arbitrarily small disorder.
3.5
2.5
2
γ /Wsub
1.5
1 extended
0.5
localized localized
0
–1 –0.5 0 0.5 1
ωmob [relative to (polaronic sub-) band]
Fig. 17.13. Phase diagram for Anderson localization of a Holstein polaron at strong coupling
and large phonon frequency. As in the previous figure, ω0 /W = 0.5625, εp /W = 4.5.
Shown is the mobility edge for the lowest polaronic sub-band (circles) in comparison to
the Anderson model for a free electron (crosses). γ and ωmob is rescaled to the respective
bandwidth. The energy scale of both curves accordingly differs by almost four orders of
magnitude, as Wsub = 3.45 × 10−4 W
To avoid any misconception we like to point out that polaron localization in

this example shows up as renormalization of e.g. the critical disorder only for the
reason that the polaron here is a small quasi-particle with infinite lifetime. If the
polaron would extend over some lattice sites, disorder would affect the structure of
the polaron itself, instead of affecting the polaron as a compound entity. Likewise, if
the quasi-particle lifetime is finite localization is weakened since the motion of the
particle is incoherent then. This is already expressed by the fact that Anderson lo-
calization can only be detected in the limit η → 0, as discussed before. Incidentally,
the band fragmentation we saw in the minority band of the binary alloy is not de-
stroyed by damping since finite gaps exist there. Remember that the latter one shows
up in the DOS for finite η, while the former one shows up only in the distribution
for η → 0.
17.2.3 The Holstein Model at Finite Temperature
In the previous section we addressed the Holstein model at zero temperature, and
imposed spatial fluctuations by disorder. But even without disorder, the physics of
the Holstein model (17.14) may be strongly influenced by static scattering off spa-
tial fluctuations. As mentioned in the introduction, this is the case for heavy ions,
i.e. small oscillator frequency ω0 , when ions act as static scatterers to first order. If at
finite temperature ions are displaced from their equilibrium positions, the concomi-
tant random potential acts as a static disorder potential to first order (see also [19]).
Let us consider the limit of large ionic mass M , keeping the spring constant ks =
M ω02 of the harmonic oscillator ω0 b†i bi constant. This limit, the so-called adiabatic
limit ω0 → 0 of small phonon frequency, is opposite to the regime of large phonon
frequency to which the example from the previous section (Fig. 17.12) belongs. In
the limit ω0 → 0 ions are nearly classical particles. Classical states in the context
of the harmonic oscillator can be constructed as coherent states |α. Remember
that
a coherent states is a Gaussian wavepacket centered at X̄iα = α|Xi |α =
2/(M ω0 ) Re α, with the position operator Xi = 1/(2M ω0)(bi + b†i ).
It is not difficult to convince oneself, that the thermal (Boltzmann) trace over
boson eigenstates |n can be expressed as an integral over coherent states:
∞
1 −βnω0 eβω0 − 1 2
Trβ [. . . ] = e n| . . . |n = d2 α e(1−exp(βω0 ))|α| α| . . . |α.
2 n=0 π
(17.16)
& 2
In the spirit of Monte Carlo integration the complex plane integral d α . . . has a
stochastic counterpart: The integral value is obtained by sampling the expectation
value α| . . . |α for a complex random variable α with Gaussian probability density
∝ exp[(1−exp(βω0 ))|α|2 ]. This results in a stochastic interpretation of the Holstein
model at finite temperature. The random part of the model is the initial state of the
bosonic subspace, given by random coherent states |αi at site i according to the
specific distribution for αi . The bosonic vacuum at T = 0 is therefore replaced by a
fluctuating vacuum, where the strength of fluctuations depends on T .
From a local point of view as in the previous section, we need the Green func-
tion Gαi (ω), which in contrast to the Holstein model at T = 0 is not evaluated in
the bosonic vacuum but within a certain coherent state |αi . The Green function is
given by
!−1
Gαi (ω) = Gi (ω)
−1
− 2εp ks X̄iα − Σiα (ω) . (17.17)
This expression is of the same type as (17.13), with a static disorder contribu-
tion given by the random variable X̄iα , and a self-energy contribution Σiα (ω) ac-
√
counting for finite lifetime effects, i.e. finite ω0 . Note that εp X̄iα , being an ef-
fect of interaction, enters Gα α
i (ω) but not Gi (ω). X̄i has Gaussian distribution
α α 2
P [X̄i ] ∝ exp[(1 − exp(βω0 ))M ω0 (X̄i ) /2] resulting from (17.16). Both for
high temperature (β → 0) and in the adiabatic limit (ω0 → 0), the classical result
2
P [X̄iα ] ∝ exp[−βks (X̄iα ) /2] is obtained. Note that the Green function Gα i (ω) is
evaluated in bosonic states that are not eigenstates of the bosonic number operator
b†i bi , and therefore in principle is a non-equilibrium Green function with different
analytical properties as retarded Green functions Gi (ω) used elsewhere in the text.
On average however, i.e. for the disorder averaged Green function Gα i which is
obtained as the average over αi instead of ǫi as in the previous sections, the full
analytical properties of a retarded Green function are recovered.
The self-energy Σiα (ω) can be expressed as a continued fraction like for the Hol-
stein model at zero temperature. The expression is derived at considerably less ease
than before – e.g. using Mori-Zwanzig projection techniques [22] – and acquires a
less systematic form. From the top level of the continued fraction,
√
ω0 (εp − 2i εp ω0 Im αi )
Σiα (ω) = √
2 εp ω0 (εp + ω0 ) Re αi + εp ω0 (1 − 4i Re αi Im αi )
ω− √ − ...
εp − 2i εp ω0 Im αi
(17.18)
we deduce that Σiα (ω) is of order ω0 , while X̄iα is of order 1. The expression for
Gαi (ω) therefore acquires the correct form as an expansion in ω0 . Note that (17.16)–
(17.18) hold for any parameters values, but are constructed to work in the limit of
small ω0 . The continued fraction (17.15), which is straightforwardly generalized
to arbitrary eigenstates |n of b† b, is not applicable in this case: For ω0 → 0 the
number of bosons in the thermal trace becomes large, which renders an expansion
in the number of excited bosons useless.
By (17.16)–(17.18) the Holstein model for small ω0 → 0 and finite T is cast
in a form that is amenable to the stochastic method explicated in the preceding
sections. Here, we do not supply actual calculations based on that. The bottom line
instead is the interpretation provided by our reformulation: Temperature induced
spatial fluctuations act to a certain degree like (static) disorder. In (17.17) the main
source of resistivity due to scattering off thermally excited phonons is translated
scattering: With increasing T , the amount of fluctuations of the disorder
to disorder
potential εp ks X̄iα increases, and electron motion is strongly suppressed. We know
from disordered systems that the suppression is much larger than expected from
first estimates based on uncorrelated scattering, which neglect correlations in the

electron motion which eventually lead to Anderson localization. Will an electron
subject to electron-phonon interaction ever be localized at finite T ? Exactly for ω0 =
0, with Σiα = 0, we end up with a disorder problem, and localization can occur. But
otherwise, surely not: For any ω0 = 0 the ionic potential seen by an electron is
not static but changes on a timescale ∝ 1/ω0 . Anderson localization itself is then
suppressed by incoherent scattering where the electron exchanges energy with ions,
e.g. by absorption of thermally excited phonons.6 Nevertheless strong suppression
of electron transport at small ω0 exists as a precursor of Anderson localization.
17.3 Summary
At the end of this tutorial we shall return to the initial question we raised: How
to set up a kind of mean-field theory for spatial fluctuations and correlations. The
essential idea argued for is to adopt a stochastic viewpoint: The mean-field in the
theory has to be the distribution of a certain quantity – that is a stochastic mean-field
theory which does not have a mean-field at all. We first had to convince ourselves –
taking disordered systems as the example for fluctuations of a potential in space –
that important quantities like the density of states are indeed best understood as
random quantities which should be described by their distribution. The main effort
was to construct a working scheme, the LD approach, out of this basic premise of
the stochastic viewpoint. Technically that included the derivation of a closed set of
stochastic equations for the distribution of the local density of states as the quantity
of interest. In the derivation a complicated set of equations could be collapsed into a
single equation if formulated with the help of distributions. For the solution of this
stochastic equation we discussed the application of Monte Carlo sampling.
As much as we used disordered systems to motivate the central concepts leading
to the LD approach we took them as the first example to demonstrate its application.
Notably, even a complex non-local effect like Anderson localization is correctly de-
scribed by distributions of a local quantity. This demonstrates how correlations turn
up in local distributions. On the other hand we had to accept that a disordered sys-
tem is always far from the limit d = ∞. Both the second example – Anderson lo-
calization of a Holstein polaron as an interacting disordered system – and the third
example – the Holstein model at finite temperature – show that we generally cannot
separate temporal fluctuations from spatial ones. The competition between the dif-
ferent physical mechanism present in these problems gives rise to very rich physical
behavior. The central features of such systems become accessible only within a the-
ory which accounts for both spatial and temporal fluctuations on an equal footing,
as the combined LD+DMFT approach does.
6
Remember the discussion in the previous section concerning the case of large ω0 , opposite
to the adiabatic limit addressed here. There we noted that only in a coherent polaron band
Anderson localization affects a polaron like a free – albeit heavy – particle.
There is a number of (open) questions we could not touch upon here. The cal-
culation of transport properties is one important example, which is not really un-
derstood at the present stage of development. Taking the Holstein model at finite
temperature as an example, we sketched how to address the issue of transport at
T > 0 in the notoriously difficult limit of small ω0 by means of a stochastic formu-
lation. To actually resolve this issue within the LD approach we have to specify a
way how to obtain the electric conductivity from local distributions, aside from the
need to actually perform the numerical calculations. There is no definite answer yet,
which is ready to be implemented. We nevertheless believe to have given arguments
that thinking in terms of distributions can prove worthwhile also here. Maybe we
should rephrase our introductory word of warning concerning the content of this
tutorial: It’s not just about a method, it’s about a way of thinking!
References
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18 Exact Diagonalization Techniques
Alexander Weiße and Holger Fehske
In this chapter we show how to calculate a few eigenstates of the full Hamiltonian
matrix of an interacting quantum system. Naturally, this implies that the Hilbert
space of the problem has to be truncated, either by considering finite systems or by
imposing suitable cut-offs, or both. All of the presented methods are iterative, i.e.,
the Hamiltonian matrix is applied repeatedly to a set of vectors from the Hilbert
space. In addition, most quantum many-particle problems lead to a sparse matrix
representation of the Hamiltonian, where only a very small fraction of the matrix
elements is non-zero.
18.1 Basis Construction

18.1.1 Typical Quantum Many-Particle Models
Before we can start applying sparse matrix algorithms, we need to translate the con-
sidered many-particle Hamiltonian, given in the language of second quantization,
into a sparse Hermitian matrix. Usually, this is the intellectually and technically
challenging part of the project, in particular, if we want to take into account sym-
metries of the problem.
Typical lattice models in solid state physics involve electrons, spins and phonons.
Within this part we will focus on the Hubbard model,
†

H = −t ciσ cjσ + H.c. + U ni↑ ni↓ , (18.1)
ij,σ i
(†)
which describes a single band of electrons ciσ (niσ = c†iσ ciσ ) with on-site Coulomb
interaction U . Originally [1, 2, 3], it was introduced to study correlation effects and
ferromagnetism in narrow band transition metals. After the discovery of high-TC
superconductors the model became very popular again, since it is considered as
the simplest lattice model which, in two dimensions, may have a superconducting
phase. In one dimension, the model is exactly solvable [4, 5], hence we can check
our numerics for correctness. From the Hubbard model at half-filling, taking the
limit U → ∞, we can derive the Heisenberg model

H= Jij S i · S j , (18.2)
ij
A. Weiße and H. Fehske: Exact Diagonalization Techniques, Lect. Notes Phys. 739, 529–544 (2008)
530 A. Weiße and H. Fehske
which accounts for the magnetic properties of insulating compounds that are gov-
erned by the exchange interaction J ∼ t2 /U between localized spins S i . In many
solids the electronic degrees of freedom will interact also with vibrations of the
(†)
crystal lattice, described in harmonic approximation by bosons bi (phonons). This
leads to microscopic models like the Holstein-Hubbard model
†
H =−t (ciσ cjσ + H.c.) + U ni↑ ni↓
ij,σ i

− gω0 (b†i + bi )niσ + ω0 b†i bi . (18.3)
i,σ i
With the methods described in this part, such models can be studied on finite
clusters with a few dozen sites, both at zero and at finite temperature. In special
cases, e.g., for the problem of few polarons, also infinite systems are accessible.
18.1.2 The Hubbard Model and its Symmetries
To be specific, let us derive all the general concepts of basis construction for the
Hubbard model on an one-dimensional chain or ring. For a single site i, the Hilbert
space of the model (18.1) consists of four states,
(i) |0 = no electron at site i,
(ii) c†i↓ |0 = one down-spin electron at site i,
(iii) c†i↑ |0 = one up-spin electron at site i, and
(iv) c†i↑ c†i↓ |0 = two electrons at site i.
Consequently, for a finite cluster of L sites, the full Hilbert space has dimension
4L . This is a rapidly growing number, and without symmetrization we could not go
beyond L ≈ 16 even on the biggest supercomputers.
Given a symmetry of the system, i.e. an operator A that commutes with H,
the Hamiltonian will not mix states from different eigenspaces of A. Therefore,
the matrix representing H will acquire a block structure, and we can handle each
block separately (see Fig. 18.1). The Hubbard Hamiltonian (18.1) has a number of
symmetries:
– Particle number conservation: H commutes with total particle number

Ne = niσ . (18.4)
i,σ
– SU (2) spin symmetry: H commutes with all components of the total spin
1 † α
Sα = c σ c , (18.5)
2 i μ,ν iμ μν iν
where σ α denotes the Pauli matrices, and μ, ν ∈ {↑, ↓}.

18 Exact Diagonalization Techniques 531
Fig. 18.1. With the use of symmetries the Hamiltonian matrix acquires a block structure.
Here: The matrix for the Hubbard model when particle number conservation is neglected
(left) or taken into account (right)
– Particle-hole symmetry: For an even number of lattice sites H is invariant under

the transformation
Q : ci,σ → (−1)i c†i,−σ , c†i,σ → (−1)i ci,−σ , (18.6)
except for a constant.

(†)
– Translational invariance: Assuming periodic boundary conditions, i.e., cL,σ =
(†)
c0,σ , H commutes with the translation operator
(†) (†)
T : ci,σ → ci+1,σ . (18.7)
Here L is the number of lattice sites.

– Inversion symmetry: H is symmetric with respect to the inversion
(†) (†)
I : ci,σ → cL−i,σ . (18.8)
For the basis construction the most important of these symmetries are the parti-
cle number conservation, the spin-S z conservation and the translational invariance.
Note that the conservation of both S z = (N↑ − N↓ )/2 and Ne = N↑ + N↓ is equiv-
alent to the conservation of the total number of spin-↑ and of spin-↓ electrons, N↑
and N↓ , respectively. In addition to S z we could also fix the total spin S 2 , but the
construction of the corresponding eigenstates is too complicated for most practical
computations.
18.1.3 A Basis for the Hubbard Model
Let us start with building the basis for a system with L sites and fixed electron
numbers N↑ and N↓ . Each element of the basis can be identified by the positions of
the up and down electrons, but for uniqueness we also need to define some normal
order. For the Hubbard model it is convenient to first sort the electrons by the spin
index, then by the lattice index, i.e.,
c†3↑ c†2↑ c†0↑ c†3↓ c†1↓ |0 (18.9)
is a valid ordered state. This ordering has the advantage that the nearest-neighbor
hopping in the Hamiltonian does not lead to complicated phase factors, when ap-
plied to our
basis
states. Finding all the basis states is a combinatorics problem:
There are NL↑ ways of distributing N↑ (indistinguishable) up-spin electrons on L

sites, and similarly, NL↓ ways of distributing N↓ down-spin electrons on L sites.

Hence, the total number of states in our basis is NL↑ NL↓ . If we sum up the dimen-
sions of all (N↑ , N↓ )-blocks, we obtain
L
L

L L
= 2L 2L = 4L , (18.10)
N↑ N↓
N↑ =0 N↓ =0
which is the total Hilbert space dimension we derived earlier. The biggest block in
L 2
our symmetrized Hamiltonian has N↑ = N↓ = L/2 and dimension L/2 . This
L
is roughly a factor of πL/2 smaller than the original 4 . Below we will reduce the
dimension of the biggest block by another factor of L using translational invariance.
Knowing the basic structure and the dimension of the Hilbert space with fixed
particle numbers, how can we implement it on a computer? An efficient way to
do so, is using integer numbers and bit operations that are available in many pro-
gramming languages. Assume, we work with a lattice of L = 4 sites and N↑ = 3,
N↓ = 2. We can then translate the state of (18.9) into a bit pattern,
c†3↑ c†2↑ c†0↑ c†3↓ c†1↓ |0 → (↑, ↑, 0, ↑) × (↓, 0, ↓, 0) → 1101 × 1010 . (18.11)
To build the other basis states, we need all four-bit integers with three bits set to one,
as well as all four-bit integers with two bits set. We leave this to the reader as a little
programming exercise, and just quote the result in Table 18.1.
The complete basis is given by all 24 pairs of the four up-spin and the six down-
spin states. Having ordered the bit patterns by the integer values they correspond to,
Table 18.1. Basis states of the Hubbard model on four sites with three up- and two down-spin
electrons
no. ↑-patterns no. ↓-patterns
0 0111 = 7 0 0011 = 3
1 1011 = 11 1 0101 = 5
2 1101 = 13 2 0110 = 6
3 1110 = 14 3 1001 = 9
4 1010 = 10
5 1100 = 12
we can label each state by its indices (i, j) in the list of up and down patterns, or
combine the two indices to an overall index n = i · 6 + j. Our sample state (18.9)
corresponds to the index pair (2, 4), which is equivalent to the state 2 · 6 + 4 = 16
of the total 24 states.
18.1.4 The Hamiltonian Matrix

Having found all basis states, we can now apply the Hamiltonian (18.1) to each of
them, to obtain the matrix elements. The hopping term corresponds to the left or
right shift of single bits. For periodic boundary conditions we need to take care of
potential minus signs, whenever an electron is wrapped around the boundary and the
number of electrons it commutes through is odd. The Coulomb interaction merely
counts double occupancy, i.e. bits which are set in both the up and down spin part
of the basis state. For our sample state (18.9) we obtain:
↑ -hopping : 1101 × 1010 → −t (1011 + 1110) × 1010 ,
↓ -hopping : 1101 × 1010 → −t 1101 × (0110 + 1100 + 1001 − 0011) ,
U -term : 1101 × 1010 → U 1101 × 1010 . (18.12)
Now we need to find the indices of the resulting states on the right. For the
Hubbard model with its decomposition into two spin channels, we can simply use a
table which translates the integer value of the bit pattern into the index in the list of
up and down spin states (see Table 18.1). Note, however, that this table has a length
of 2L . When simulating spin or phonon models such a table would easily exceed all
available memory. For finding the index of a given basis state we then need to resort
to other approaches, like hashing, fast search algorithms or some decomposition of
the state [6]. Having found the indices and denoting our basis in a ket-notation, |n,
(18.12) reads
↑ -hopping : |16 → −t (|10 + |22) ,
↓ -hopping : |16 → −t (|14 + |17 + |15 − |12) , (18.13)
U -term : |16 → U |16 .
To obtain the complete Hamiltonian matrix we have to repeat this procedure for all
24 basis states. In each case we obtain a maximum of 2L = 8 off-diagonal non-
zero matrix elements. Thus, the matrix is indeed very sparse (see Fig. 18.2). The
generalization of the above considerations to arbitrary values of L, N↑ , and N↓ is
straight-forward. For spatial dimensions larger than one we need to be a bit more
careful with fermionic phase factors. In general, minus signs will occur not only at
the boundaries, but also for other hopping processes.
18.1.5 Using Translation Symmetry

We mentioned earlier that the translation symmetry of the Hubbard model (or any
other lattice model) can be used for a further reduction of the Hilbert space dimen-
sion. What we need are the eigenstates of the translation operator T , which can be
-t
t
U
2U
Fig. 18.2. Schematic representation of the Hamiltonian matrix of the Hubbard model with
L = 4, N↑ = 3, N↓ = 2, and periodic boundary conditions
constructed using the projector

L−1
1 2πijk/L j
Pk = e T . (18.14)
L j=0
Clearly, for a given (unsymmetrized) state |n, the state Pk |n is an eigenstate of T ,
L−1
1 2πijk/L j+1
T Pk |n = e T |n = e−2πik/L Pk |n , (18.15)
L j=0
where the corresponding eigenvalue is exp(−2πik/L) and 2πk/L is the discrete

lattice momentum. Here we made use of the fact that T L = 1 (on a ring with L
sites, L translations by one site let you return to the origin). This property also
implies exp(−2πik) = 1, hence k has to be an integer. Due to the periodicity of the
exponential, we can restrict ourselves to k = 0, 1, . . . , (L − 1).
The normalization of the state Pk |n requires some care. We find
L−1 L−1
1 −2πijk/L −j 1 2πij ′ k/L j ′
Pk† = e T = e T = Pk
L j=0 L ′
j =0
L−1
L−1
1 1 2πij ′ k/L j ′
Pk2 = e2πi(i−j)k/L T i−j = e T = Pk , (18.16)
L2 i,j=0
L ′
j =0
as we expect for a projector. Hence, n|Pk† Pk |n = n|Pk2 |n = n|Pk |n. For
most |n the states T j |n with j = 0, 1, . . . , (L − 1) will differ from each other,
therefore n|Pk |n = 1/L. However, some states are mapped onto themselves by a
translation T νn with νn < L, i.e., T νn |n = eiφn |n with a phase φn (usually 0 or
π). Nevertheless T L |n = |n, therefore νn has to be a divider of L with qn = L/νn

an integer. Calculating the norm then gives
qn
1 i(2πk/qn +φn ) j
n|Pk |n = e , (18.17)
L j=0
which equals qn /L = 1/νn or 0 depending on k and φn .

How do the above ideas translate into a reduced dimension of our Hilbert space?
Let us first consider the ↑-patterns from Table 18.1: All four patterns (states) are
connected with a translation by one site, i.e., starting from the pattern |0↑ = 0111
the other patterns are obtained through |n↑ = T −n |0↑ ,
|0↑ = T 0 |0↑ = 0111 ,

|1↑ = T −1 |0↑ = 1011 ,
|2↑ = T −2 |0↑ = 1101 ,
|3↑ = T −3 |0↑ = 1110 . (18.18)
We can call this group of connected states a cycle, which is completely described
by knowing one of its members. It is convenient to use the pattern with the smallest
integer value to be this special member of the cycle, and we call it the representative
of the cycle.
Applying the projector to the representative of the cycle, Pk |0↑ , we can gener-
ate L linearly independent states, which in our case reads
P0 |0↑ = (0111 + 1011 + 1101 + 1110)/L ,

P1 |0↑ = (0111 − i 1011 − 1101 + i 1110)/L ,
P2 |0↑ = (0111 − 1011 + 1101 − 1110)/L ,
P3 |0↑ = (0111 + i 1011 − 1101 − i 1110)/L . (18.19)
The advantage of these new states, which are linear combinations of all members of
the cycle in a spirit similar to discrete Fourier transformation, becomes clear when
we apply the Hamiltonian: Whereas the Hamiltonian mixes the states in (18.18), all
matrix elements between the states in (18.19) vanish. Hence, we have decomposed
the four-dimensional Hilbert space into four one-dimensional blocks.
In a next step we repeat this procedure for the ↓-patterns of Table 18.1. These
can be decomposed into two cycles represented by the states |0↓ = 0011 and
|1↓ = 0101, where due to T 2 |1↓ = −|1↓ the second cycle has size ν1 = 2.
Note, that we also have phase factors here, since the number of fermions is even.
To get the complete symmetrized basis, we need to combine the up and down spin
representatives, thereby taking into account relative shifts between the states. For
our sample case the combined representatives,
|r = |n↑ T j |m↓ (18.20)

no. patterns
0 0111 × 0011
1 0111 × 0110
2 0111 × 1100
3 0111 × 1001
4 0111 × 0101
5 0111 × 1010
Fig. 18.3. Decomposition of the basis for L = 4, N↑ = 3, N↓ = 2 into six cycles
with j = 0, 1, . . . , min(νn , νm ) − 1, are given in Fig. 18.3.

The basis of each of the L fixed-k (fixed-momentum) Hilbert spaces is then
given by the states
Pk |r
|rk = , (18.21)
r|Pk |r
where we discard those |r with r|Pk |r = 0. In our example all six states
have r|Pk |r = 1/4 ∀k and no state is discarded. Therefore the dimension of each
fixed-k space is six, and summing over all four k we obtain the original number of
states, 24. For other particle numbers or lattice sizes we may obtain representatives
|r with r|Pk |r = 0 for certain k. An example is the case N↑ = N↓ = 2, L = 4
which leads to ten representatives, but two of them have r|Pk |r = 0 for k = 1 and
k = 3. Adding the dimensions
of the four k-subspaces, we find 10+8+10+8 = 36,
which agrees with NL↓ NL↑ = 62 .
When calculating the Hamiltonian matrix for a given k-sector, we can make use
of the fact that H commutes with T , and therefore also with Pk . Namely, the matrix
element between two states |rk and |rk′ is simply given by
r′ |Pk HPk |r r′ |Pk H|r

rk′ |H|rk = = , (18.22)
r′ |Pk |r′ r|Pk |r r′ |Pk |r′ r|Pk |r
i.e., we need to apply the projector only once after we applied H to the representa-
tive |r. Repeating the procedure for all representatives, we obtain the matrix for a
given k. The full matrix with fixed particle numbers N↑ and N↓ is decomposed into
L blocks with fixed k. For example, the 24×24 matrix from Fig. 18.2 is decomposed
into the four 6 × 6 matrices.
⎛ ⎞ ⎛ ⎞
2U −t −t t t 0 2U −t −it −it t 0
⎜ −t 2U −t −t 0 t ⎟ ⎜ −t 2U −t −t −2it t ⎟
⎜ ⎟ ⎜ ⎟
⎜ −t −t 2U 0 −t −t⎟ ⎜ it −t 2U 0 −t −it⎟
Hk=0 = ⎜
⎜ t −t 0 U −t t ⎟
⎟ Hk=1 = ⎜
⎜ it −t 0 U −t −it⎟
⎟
⎜ ⎟ ⎜ ⎟
⎝ t 0 −t −t U −t⎠ ⎝ t 2it −t −t U −t ⎠
0 t −t t −t U 0 t it it −t U
⎛ ⎞ ⎛ ⎞
2U −t t −t t 0 2U −t it it t 0
⎜ −t 2U −t −t 0 t ⎟ ⎜ −t 2U −t −t 2it t ⎟
⎜ ⎟ ⎜ ⎟
⎜ t −t 2U 0 −t t ⎟ ⎜−it −t 2U 0 −t it ⎟
Hk=2 = ⎜
⎜ −t −t 0 U −t −t⎟
⎟ Hk=3 = ⎜
⎜−it −t 0 U −t it ⎟
⎟
⎜ ⎟ ⎜ ⎟
⎝ t 0 −t −t U −t⎠ ⎝ t −2it −t −t U −t⎠
0 t t −t −t U 0 t −it −it −t U
(18.23)
Note that except for k = 0 and k = 2, which correspond to the momenta zero and
π, the matrices Hk are complex. Their dimension, however, is a factor of L smaller
than the dimension of the initial space with fixed particle numbers. At first glance,
the above matrices look rather dense. This is due to the small dimension of our
sample system. For larger L and Ne the Hamiltonian is as sparse as the example of
Fig. 18.1.
18.1.6 A few Remarks about Spin Systems

We mentioned earlier that the Heisenberg model (18.2) can be derived from the
Hubbard model (18.1) considering the limit U → ∞. Consequently, the numerical
setup for both models is very similar. For a model with |S i | = 1/2, we can choose
the z-axis as the quantization axis and encode the two possible spin directions ↓ and
↑ into the bit values zeroand one, e.g., ↓↑↓↓→ 0100. If applicable, the conservation
of the total spin S z = i Siz is similar to a particle number conservation, i.e., we
can easily construct all basis states with fixed S z using the ideas described earlier.
The same holds for translational invariance, where now the construction of a sym-
metric basis is made easier by the lack of fermionic phase factors (spin operators
at different sites commute). When calculating matrix elements it is convenient to
rewrite the exchange interaction as
1 + −
SiSj = Si Sj + Si− Sj+ + Siz Sjz , (18.24)
2
where the operators Si± = Six ± iSiy rise or lower the Siz value at site i, which
is easy to implement in our representation. Note also, that from this equation the
conservation of the total S z is obvious.
If the considered solid consists of more complex ions with partially filled shells,
we may also arrive at Heisenberg type models with |S i | > 1/2. In this case we need
2|S i | + 1 states per site to describe all possible S z -orientations and, of course, this
requires more than one bit per site. Numbering all possible states with a given total
S z is slightly more complicated. For instance, we can proceed recursively adding
one site at each time.
18.1.7 Phonon Systems
Having constructed a symmetrized basis for the Hubbard and Heisenberg type mod-
els, let us now comment on bosonic models and phonons, in particular. For such sys-
tems the particle number is usually not conserved, and the accessible Hilbert space
is infinite even for a single site. For numerical studies we therefore need an appro-
priate truncation scheme, which preserves enough of the Hilbert space to describe
the considered physics, but restricts the dimension to manageable values. Assume
we are studying a model like the Holstein-Hubbard model (18.3), where the pure
phonon part is described by a set of harmonic Einstein oscillators, one at each site.
For an L-site lattice the eigenstates of this phonon system are given by the Fock
states
L−1
0 (b† )mi
|m0 , . . . , mL−1 = √i |0 (18.25)
i=0
mi !
and the corresponding eigenvalue is
L−1

Ep = ω0 mi . (18.26)
i=0
If we are interested in the ground state or the low energy properties of the interacting
electron-phonon model (18.3), certainly only phonon states with a rather low energy
will contribute. Therefore, a good truncated basis for the phonon Hilbert space is
given by the states
L−1

|m0 , . . . , mL−1 with mi ≤ M , (18.27)
i=0
which include all states with Ep ≤ ω0 M . The dimension of the resulting Hilbert

space is L+M
M .
To keep the required M small, we apply another trick [7]. After Fourier trans-
forming the phonon subsystem,
L−1
1 2πiik/L#
bi = √ e bk , (18.28)
L k=0
we observe that the phonon mode with k = 0 couples to a conserved quantity: The
total number of electrons Ne ,
† †
H = −t (ciσ cjσ + H.c.) + U ni↑ ni↓ + ω0 #b #b
k k
ij,σ i k
gω0 −2πiik/L #† # gω0
−√ e (bk + b−k )niσ − √ (#b†0 + #b0 )Ne . (18.29)
L i,σ k=0 L
√
With a constant shift #b0 = b0 + gNe / L this part of the model can thus be solved
analytically. Going back to real space and using the equivalently shifted phonons
bi = b̄i + gNe /L, the transformed Hamiltonian reads

H = −t (c†iσ cjσ + H.c.) + U ni↑ ni↓ + ω0 b̄†i b̄i
ij,σ i i
†
−gω0 (b̄i + b̄i )(ni↑ + ni↓ − Ne /L) − ω0 (gNe )2 /L . (18.30)
i
(†)
Since the shifted phonons b̄i couple only to the local charge fluctuations, in a sim-
ulation the same accuracy can be achieved with a much smaller cutoff M , compared
(†)
to the original phonons bi . This is particularly important in the case of strong in-
teraction g.
As in the electronic case, we can further reduce the basis dimension using the
translational symmetry of our lattice model. Under periodic boundary conditions,
the translation operator T transforms a given basis state like
T |m0 , . . . , mL−1 = |mL−1 , m0 , . . . , mL−2 . (18.31)
Since we are working with bosons, no additional phase factors can occur, and every-
thing is a bit easier. As before, we need to find the representatives |rp of the cycles
generated by T , and then construct eigenstates of T with the help of the projection
operator Pk . When combining the electronic representatives |re from (18.20) with
the phonon representatives |rp , we proceed in the same way, as we did for the up
and down spin channels, |r = |re T j |rp . A full symmetrized basis state of the
interacting electron-phonon model is then given by Pk |r. Note that the product
structure of the electron-phonon basis is preserved during symmetrization, which is
a big advantage for parallel implementations [8].
Having explained the construction of a symmetrized basis and of the correspond-
ing Hamiltonian matrix for both electron and phonon systems, we are now ready to
work with these matrices. In particular, we will show how to calculate eigenstates
and dynamic correlations of our physical systems.
18.2 Eigenstates of Sparse Matrices

18.2.1 The Lanczos Algorithm
The Lanczos algorithm is one of the simplest methods for the calculation of ex-
tremal (smallest or largest) eigenvalues of sparse matrices [9]. Initially it was devel-
oped for the tridiagonalization of Hermitian matrices [10], but it turned out, not to
be particularly successful for this purpose. The reason for its failure as a tridiagonal-
ization algorithm is the underlying recursion procedure, which rapidly converges to
eigenstates of the matrix and therefore looses the orthogonality between subsequent
vectors that is required for tridiagonalization. Sometimes, however, deficiencies turn
into advantages, and the Lanczos algorithm made a successful career as an eigen-
value solver.
The basic structure and the implementation of the algorithm is very simple.
Starting from a random initial state (vector) |φ0 , we construct the series of states
H n |φ0 by repeatedly applying the matrix H (i.e., the Hamiltonian). This series of
states spans what is called a Krylov space in the mathematical literature, and the
Lanczos algorithm therefore belongs to a broader class of algorithms that work on
Krylov spaces [11]. Next we orthogonalize these states against each other to obtain
a basis of the Krylov space. Expressed in terms of this basis, the matrix turns out
to be tridiagonal. We can easily perform these two steps in parallel, and obtain the
following recursion relation:
|φ′ = H|φn − βn |φn−1 ,

αn = φn |φ′ ,
|φ′′ = |φ′ − αn |φn ,

βn+1 = ||φ′′ || = φ′′ |φ′′ ,
|φn+1 = |φ′′ /βn+1 , (18.32)
where |φ−1 = 0 and |φ0 is a random normalized state, ||φ0 || = 1.

The coefficients αn and βn form the tridiagonal matrix, which we are looking
for, ⎛ ⎞
α0 β1 0 . . . . . . . . . . . 0
⎜β1 α1 β2 0 . . . . . 0 ⎟
⎜ ⎟
⎜ 0 β2 α2 β3 0 0 ⎟
#N = ⎜⎜ ⎟
H .. .. .. ⎟ . (18.33)
⎜ . . . ⎟
⎜ ⎟
⎝ 0 . . 0 βN −2 αN −2 βN −1 ⎠
0 . . . . . 0 βN −1 αN −1
With increasing recursion order N the eigenvalues of H # N – starting with the ex-
tremal ones – converge to the eigenvalues of the original matrix H. In Fig. 18.4 we
illustrate this for the ground-state energy of the one-dimensional Hubbard model
(18.1) on a ring of 12 and 14 sites. Using only particle number conservation, the
2 2
corresponding matrix dimensions are D = 12 6 = 853776 and D = 14 7 =
11778624, respectively. With about 90 iterations the precision of the lowest eigen-
value is better than 10−13 , where we compare with the exact result obtained with
Bethe ansatz [4]. The eigenvalues of the tridiagonal matrix were calculated with
standard library functions from the LAPACK collection [12]. Since N ≪ D, this
accounts only for a tiny fraction of the total computation time, which is governed
by the application of H on |φn .
Having found the extremal eigenvalues, we can also calculate the corresponding
eigenvectors of the matrix. If the eigenvector |ψ of the tridiagonal matrix H # N has
the components ψj , i.e., |ψ = {ψ0 , ψ1 , . . . , ψN −1 }, the eigenvector |Ψ of the
original matrix H is given by
N
−1
|Ψ = ψj |φj . (18.34)
j=0
Fig. 18.4. Convergence of the Lanczos recursion for the ground-state energy of the Hubbard
model on a ring of L = 12 and L = 14 sites
To calculate this sum we simply need to repeat the above Lanczos recursion with
the same start vector |φ0 , thereby omitting the scalar products for αj and βj , which
we know already.
The efficiency of the Lanczos algorithm is based on three main properties:
(i) It relies only on matrix vector multiplications (MVM) of the matrix H with a
certain vector |φn . If H is sparse, this requires only of the order of D opera-
tions, where D is the dimension of H.
(ii) When calculating eigenvalues, the algorithm requires memory only for two
vectors of dimension D and for the matrix H. For exceptionally large prob-
lems, the matrix can be re-constructed on-the-fly for each MVM, and the mem-
ory consumption is determined by the vectors. When calculating eigenvectors
we need extra memory.
(iii) The first few eigenvalues on the upper and lower end of the spectrum of H
usually converge very quickly. In most cases N 100 iterations are sufficient.
Extensions of the Lanczos algorithm can also be used for calculating precise
estimates of the full spectral density of H, or of dynamical correlation functions
that depend on the spectrum of H and on the measured operators. We will discuss
more details in Chap. 19 when we describe Chebyshev expansion based methods,
such as the Kernel Polynomial Method.
18.2.2 The Jacobi-Davidson Algorithm
The Jacobi-Davidson method is a recent, more involved approach to the sparse

eigenvalue problem, which was suggested by Sleijpen and van der Vorst [13] as
a combination of Davidson’s method [14] and a procedure described by Jacobi [15].
It has the advantage that not only the lowest eigenstates but also excitations converge
rapidly. In addition, it can correctly resolve degeneracies.
In the Jacobi-Davidson algorithm, like in the Lanczos algorithm, a set of vectors
VN = {|v0 , . . . , |vN −1 } is constructed iteratively, and the eigenvalue problem
for the Hamiltonian H is solved within this subspace. However, in contrast to the
Lanczos algorithm, we do not work in the Krylov space of H, but instead expand
VN with a vector that is orthogonal to our current approximate eigenstates. In more
detail, the procedure is as follows:
(i) Initialize the set V with a random normalized start vector, V1 = {|v0 }.
(ii) Compute all unknown matrix elements vi |H|vj of H # N with |vi ∈ VN .
#
(iii) Compute an eigenstate |s of HN with eigenvalue θ, and express |s in the
original basis, |u = i |vi vi |s.
(iv) Compute the associated residual vector |r = (H −θ)|u and stop the iteration,
if its norm is sufficiently small.
(v) Otherwise, (approximately) solve the linear equation
(1 − |uu|)(H − θ)(1 − |uu|)|t = −|r . (18.35)
(vi) Orthogonalize |t against VN with the modified Gram-Schmidt method and
append the resulting vector |vN to VN , obtaining the set VN +1 .
(vii) Return to step (ii).
–6 –6
Lanczos Jacobi-Davidson
–6.5 Hubbard model –6.5

L = 12, N↓ = 5, N ↑ = 6
D = 731808
–7 –7
E
artificial 3-fold
degeneracy
–7.5 –7.5
–8 –8
0 200 400 600 800 0 200 400 600 800

MVM MVM
Fig. 18.5. Comparison of the Jacobi-Davidson algorithm and the Lanczos algorithm applied
to the four lowest eigenstates of the Hubbard model with L = 12, N↓ = 5, N↑ = 6. Jacobi-
Davidson correctly resolves the two-fold degeneracy, standard Lanczos (although faster) can-
not distinguish true and artificial degeneracy
For (18.35) we only need an approximate solution, which can be obtained, for
instance, with a few steps of the Generalized Minimum Residual Method (GMRES)
or the Quasi Minimum Residual Method (QMR) [16]. If more than one eigenstate
(1 − |uu|) needs to be extended by the already
is desired, the projection operator
converged eigenstates, (1 − k |uk uk |), such that the search continues in a new,
yet unexplored direction. Since the Jacobi-Davidson algorithm requires memory for
all the vectors in VN , it is advisable to restart the calculation after a certain number
of steps. There are clever strategies for this restart, and also for the calculation of
interior eigenstates, which are hard to access with Lanczos. More details can be
found in the original papers [13, 17] or in text books [18].
In Fig. 18.5 we give a comparison of the Lanczos and the Jacobi-Davidson al-
gorithms, calculating the four lowest eigenstates of the Hubbard model on a ring
of L = 12 sites with N↓ = 5 and N↑ = 6 electrons. The matrix dimension is
D = 731808, and each of the lowest states is two-fold degenerate. In terms of speed
and memory consumption the Lanczos algorithm has a clear advantage, but with
the standard setup we have difficulties resolving the degeneracy. The method tends
to create artificial copies of well converged eigenstates, which are indistinguishable
from the true degenerate states. The problem can be circumvented with more ad-
vanced variants of the algorithm, such as Block or Band Lanczos [9, 18], but we
loose the simplicity of the method and part of its speed. Jacobi-Davidson then is
a strong competitor. It is not much slower and it correctly detects the two-fold de-
generacy, since the converged eigenstates are explicitly projected out of the search
space.
References
1. J. Hubbard, Proc. Roy. Soc. London, Ser. A 276, 238 (1963) 529
2. M.C. Gutzwiller, Phys. Rev. Lett. 10, 159 (1963) 529
3. J. Kanamori, Prog. Theor. Phys. 30, 275 (1963) 529
4. E.H. Lieb, F.Y. Wu, Phys. Rev. Lett. 20, 1445 (1968) 529, 540
5. F.H.L. Essler, H. Frahm, F. Göhmann, A. Klümper, V.E. Korepin, The One-Dimensional
Hubbard Model (Cambridge University Press, Cambridge, 2005) 529
6. R. Sedgewick, Algorithmen (Addison-Wesley, Bonn, 1992) 533
7. S. Sykora, A. Hübsch, K.W. Becker, G. Wellein, H. Fehske, Phys. Rev. B 71, 045112
(2005) 538
8. B. Bäuml, G. Wellein, H. Fehske, Phys. Rev. B 58, 3663 (1998) 539
9. J.K. Cullum, R.A. Willoughby, Lanczos Algorithms for Large Symmetric Eigenvalue
Computations, vol. I & II (Birkhäuser, Boston, 1985) 539, 543
10. C. Lanczos, J. Res. Nat. Bur. Stand. 45, 255 (1950) 539
11. Y. Saad, Numerical Methods for Large Eigenvalue Problems (University Press, Manch-
ester, 1992). URL http://www-users.cs.umn.edu/ saad/books.html 540
12. Linear Algebra PACKage. URL http://www.netlib.org 540
13. G.L.G. Sleijpen, H.A. van der Vorst, SIAM J. Matrix Anal. Appl. 17, 401 (1996) 541, 543
14. E.R. Davidson, J. Comput. Phys. 17, 87 (1975) 541
15. C.G.J. Jacobi, J. Reine und Angew. Math. 30, 51 (1846) 541
16. Y. Saad, Iterative Methods for Sparse Linear Systems, 2nd edn. (SIAM, Philadelphia,
2003). URL http://www-users.cs.umn.edu/ saad/books.html 543
17. D.R. Fokkema, G.L.G. Sleijpen, H.A. van der Vorst, SIAM J. Sci. Comp. 20, 94 (1998) 543
18. Z. Bai, J. Demmel, J. Dongarra, A. Ruhe, H. van der Vorst (eds.), Templates for the
Solution of Algebraic Eigenvalue Problems: A Practical Guide (SIAM, Philadelphia,
2000). URL http://www.cs.utk.edu/ dongarra/etemplates/ 543
19 Chebyshev Expansion Techniques
Alexander Weiße and Holger Fehske
With the Lanczos and the Jacobi-Davidson algorithm we are able to calculate a
few of the many eigenstates of a sparse matrix. However, it is hardly feasible to
calculate all eigenstates of matrices with dimensions larger than a million, not to
speak of dimensions like 109 . Nevertheless, we are interested in dynamic correlation
functions and finite temperature properties, which depend on the complete spectrum
of the Hamiltonian.
In this chapter we introduce the Kernel Polynomial Method (KPM), a numerical
approach that on the basis of Chebyshev expansion allows a very precise calcula-
tion of the spectral properties of large sparse matrices and of the static and dynamic
correlation functions, which depend on them. In addition, we show how the KPM
successfully competes against the very popular Lanczos Recursion and Maximum
Entropy Method and can be easily embedded into other numerical techniques, such
as Cluster Perturbation Theory or Monte Carlo simulation. Characterized by a re-
source consumption that scales linearly with the problem dimension the KPM en-
joyed growing popularity over the last decade and found broad application not only
in physics (for a recent more detailed review see [1]).
19.1 Chebyshev Expansion and Kernel

Polynomial Approximation
19.1.1 General Aspects
Let us first recall the basic properties of expansions in orthogonal polynomials and
of Chebyshev expansion in particular. Given a positive weight function w(x) defined
on the interval [a, b] we can introduce a scalar product
b
f |g = w(x)f (x)g(x) dx (19.1)
a
between two integrable functions f, g:[a, b] → R. With respect to this scalar product
there exists a complete set of polynomials pn (x), which fulfil the orthogonality
relations pn |pm = δn,m /hn , where hn = 1/pn |pn denotes the inverse of the
squared norm of pn (x). These orthogonality relations allow for an easy expansion
A. Weiße and H. Fehske: Chebyshev Expansion Techniques, Lect. Notes Phys. 739, 545–577 (2008)
of a given function f (x) in terms of the pn (x), since the expansion coefficients are
proportional to the scalar products of f and pn ,
∞

f (x) = αn pn (x) (19.2)
n=0
with αn = pn |f hn .
In general, all types of orthogonal polynomials can be used for such an expan-
sion and for the KPM approach which we discuss in this chapter (see e.g. [2]).
However, as we frequently observe whenever we work with polynomial expansions
[3], Chebyshev polynomials [4, 5] of first and second kind turn out to be the best
choice for most applications, mainly due to the good convergence properties of the
corresponding series and the close relation to Fourier transform [6, 7]. The latter
is also an important prerequisite for the derivation of optimal kernels (see below),
which are required for the regularization of finite-order expansions, and which so
far have not been derived for other sets of orthogonal polynomials.
There are two sets of Chebyshev polynomials, √ both defined on the interval
−1
[a, b] = [−1, 1]: The weight function w(x) = (π 1 − x2 )√ yields the polyno-
mials of first kind, Tn , and the weight function w(x) = π 1 − x2 those of sec-
ond kind, Un . In what follows we focus on the Tn = cos(n arccos(x)), which
after substituting x = cos(ϕ) can be shown to fulfil the orthogonality relation
Tn |Tm = δn,m (1 + δn,0 )/2. Moreover, we can easily prove the recursion relation
Tm+1 (x) = 2 x Tm (x) − Tm−1 (x) , (19.3)
and the addition formula
2 Tm (x)Tn (x) = Tm+n (x) + Tm−n (x) , (19.4)
where T−n (x) = Tn (x) and T0 (x) = 1.
Expanding a function f in the standard way of (19.2), the determination of the
coefficients Tn |f requires integrations over the weight function w(x), see (19.1).
In practical applications to matrix problems this prohibits a simple iterative scheme,
but a solution follows from a slight rearrangement of the expansion, namely
1 ∞
2
1
f (x) = √ μ0 + 2 μn Tn (x) (19.5)
π 1 − x2 n=1
with the modified coefficients (moments)

1
μn = f (x)Tn (x) dx . (19.6)
−1
These two equations are the general basis for the Chebyshev expansion. In the
remaining sections we will explain how to translate physical quantities into polyno-
mial expansions of the form of (19.5), how to calculate the moments μn in practice,
and how to improve the convergence of the approach.
19 Chebyshev Expansion Techniques 547
19.1.2 Calculation of Moments
A common feature of basically all Chebyshev expansions is the requirement for a

rescaling of the underlying matrix or Hamiltonian H. While Chebyshev polynomi-
als are defined on the real interval [−1, 1], the quantities we are interested in usually
depend on the eigenvalues {Ek } of the considered (finite-dimensional) matrix. To
fit this spectrum into the interval [−1, 1] we apply a simple linear transformation to
the Hamiltonian and all energy scales,
# = H −b ,
H # = E−b ,
E (19.7)
a a
and denote all rescaled quantities with a tilde hereafter. Given the extremal eigen-
values of the Hamiltonian, Emin and Emax , which can be calculated, e.g. with the
Lanczos algorithm [8], or for which bounds may be known analytically, the scaling
factors a and b read a = (Emax −Emin )/(2−ǫ), b = (Emax +Emin )/2. The parameter
ǫ is a small cut-off introduced to avoid stability problems that arise if the spectrum
includes or exceeds the boundaries of the interval [−1, 1]. It can be fixed, e.g. to
ǫ = 0.01, or adapted to the resolution of the calculation, which for an expansion of
finite order N is proportional 1/N (see below).
The next similarity of most Chebyshev expansions is the form of the moments,
namely their dependence on the matrix or Hamiltonian H. # In general, we find two
types of moments: Simple expectation values of Chebyshev polynomials in H, #
#
μn = β|Tn (H)|α , (19.8)
where |α and |β are certain states of the system, or traces over such polynomials
and a given operator A,
μn = Tr[A Tn (H)]# . (19.9)
Handling the first case is rather straightforward. Starting from the state |α we
#
can iteratively construct the states |αn = Tn (H)|α by using the recursion relations
for the Tn (see (19.3)),
|α0 = |α , # 0 ,
|α1 = H|α # n − |αn−1 .
|αn+1 = 2H|α
(19.10)
Scalar products with |β then directly yield μn = β|αn .

The iterative calculation of the moments, in particular the application of H# to
the state |αn , represents the most time consuming part of the whole expansion ap-
proach and determines its performance. If H # is a sparse matrix of dimension D
the MVM is an order O(D) process and the calculation of N moments therefore
requires O(N D) operations and time. The memory consumption depends on the
implementation. For moderate problem dimension we can store the matrix and, in
addition, need memory for two vectors of dimension D. For very large D the ma-
trix certainly does not fit into the memory and has to be reconstructed on-the-fly in
each iteration or retrieved from disc. The two vectors then determine the memory
consumption of the calculation. Overall, the resource consumption of the moment

iteration is similar or even slightly better than that of the Lanczos algorithm, which
requires a few more vector operations (see our comparison in Sect. 19.3). In con-
trast to Lanczos, Chebyshev iteration is completely stable and can be carried out to
arbitrary high order.
The moment iteration can be simplified even further, if |β = |α. In this case
the product relation (19.4) allows for the calculation of two moments from each
new |αn
μ2n = 2αn |αn − μ0 , μ2n+1 = 2αn+1 |αn − μ1 , (19.11)
which is equivalent to two moments per MVM. The numerical effort for N moments
is thus reduced by a factor of two. In addition, like many other numerical approaches
KPM benefits considerably from the use of symmetries that reduce the Hilbert space
dimension.
The second case where the moments depend on a trace over the whole Hilbert
space, at first glance, looks far more complicated. Based on the previous considera-
tions we would estimate the numerical effort to be proportional to D2 , because the
iteration needs to be repeated for all D states of a given basis. It turns out, however,
that extremely good approximations of the moments can be obtained with a much
simpler approach: The stochastic evaluation of the trace [2, 9, 10], i.e., an estimate
of μn based on the average over only a small number R ≪ D of randomly chosen
states |r
R−1

μn = Tr[A Tn (H)]# ≈ 1 #
r|A Tn (H)|r . (19.12)
R r=0
The number of random states R does not scale with D. It can be kept constant
or even reduced with increasing D. To understand this, let us consider the conver-
gence properties of the above estimate. Given an arbitrary basis {|i} and a set of
independent identically distributed random variables ξri ∈ C, which in terms of the
statistical average . . . fulfil
∗
ξri = 0 , ξri ξr′ j = 0 , ξri ξr′ j = δrr′ δij , (19.13)
D−1
a random vector is defined through |r = i=0 ξri |i. We can now calculate the
R−1
statistical expectation value of the trace estimate Θ = R1 r=0 r|B|r for some
Hermitian operator B with matrix elements Bij = i|B|j, and indeed find,
1 R−1
R−1 D−1
1 ∗
D−1

Θ = r|B|r = ξri ξrj Bij = Bii = Tr(B).
R r=0 R r=0 i,j=0 i=0
(19.14)
Of course, this only shows that we obtain the correct result on average. To assess
the associated error we also need to study the fluctuation of Θ, which is character-
ized by (δΘ)2 = Θ2 − Θ2 . Evaluating Θ2 , we get for the fluctuation
⎡ ⎤
D−1
1 ⎣ 2
(δΘ)2 = Tr(B 2 ) + |ξri |4 − 2 Bjj ⎦ . (19.15)
R j=0
The trace of B 2 will usually be of order

√ O(D), and the relative error of the trace
estimate, δΘ/Θ, is thus of order O(1/ RD). It is this favorable behavior, which
ensures the convergence of the stochastic approach, and which was the basis for our
initial statement that the number of random states R ≪ D can be kept small or even
be reduced with the problem dimension D.
19.1.3 Damping of Gibbs Oscillations – Kernel Polynomials
In the preceding sections we introduced the basic ideas underlying the expansion
of a function f (x) in an infinite series of Chebyshev polynomials, and gave a few
hints for the numerical calculation of the expansion coefficients μn . For a numerical
approach, however, the total number of moments will remain finite, and we have to
look for the best (uniform) approximation to f (x) by polynomials of given maxi-
mal degree N . Introducing the concept of kernels, we will investigate and optimize
the convergence properties of the mapping f (x) → fKPM (x) from the considered
function f (x) to our approximation fKPM (x).
Experience shows that a simple truncation of an infinite series,
1 N
−1
f (x) ≈ √ μ0 + 2 μn Tn (x) , (19.16)

π 1 − x2 n=1
leads to poor precision and fluctuations – also known as Gibbs oscillations – near
points where the function f (x) is not continuously differentiable. The situation is
even worse for discontinuities or singularities of f (x), as we illustrate in Fig. 19.1.
A common procedure to damp these oscillations relies on an appropriate modifica-
tion of the expansion coefficients, μn → gn μn , which depends on the order of the
approximation N ,
1 N
−1
fKPM (x) = √ g0 μ0 + 2 gn μn Tn (x) . (19.17)

π 1 − x2 n=1
This truncation of the infinite series to order N together with the corresponding
modification of the coefficients is equivalent to the convolution of f (x) with a kernel
KN (x, y),
1
fKPM (x) = π 1 − y 2 KN (x, y)f (y) dy , (19.18)
where −1 N −1

KN (x, y) = g0 φ0 (x)φ0 (y) + 2 gn φn (x)φn (y) , (19.19)
n=1
30 1.5
plain series
25
Jackson kernel 1
20
step function
N = 64
δ function
0.5
15
10
0
5
σ = π/N
–0.5
0
–5 –1
0 0.5 1
x
Fig. 19.1. Order N = 64 expansions of δ(x) and a step. Whereas the truncated series (Dirich-
let kernel) strongly oscillate, the Jackson results smoothly converge to the expanded functions
√
and φn (x) = Tn (x)/(π 1 − x2 ). This way the problem translates into finding an
optimal kernel KN (x, y), i.e., coefficients gn . Clearly the notion of optimal depends
on the application considered.
The standard truncated series corresponds to the choice gnD = 1, which leads to
what is usually called the Dirichlet kernel,
D
KN (x, y) = [φN (x)φN −1 (y) − φN −1 (x)φN (y)]/(x − y) . (19.20)
An approximation
based on this kernel for N → ∞ converges within the integral
norm ||f ||2 = f |f , i.e. we have
N →∞
||f − fKPM ||2 −−−−→ 0 . (19.21)
This is, of course, not particularly restrictive and leads to the disadvantages we
mentioned earlier.
A much better criterion would be uniform convergence,
N →∞
||f − fKPM ||∞ = max |f (x) − fKPM (x)| −−−−→ 0 , (19.22)
−1<x<1
and, indeed, this can be achieved for continuous functions f under very general
conditions. Specifically, it suffices to demand that:
(i) The kernel is positive: KN (x, y) > 0 ∀x, y ∈ [−1, 1].
&1
(ii) The kernel is normalized, −1 K(x, y) dx = φ0 (y), which is equivalent to
g0 = 1.
(iii) The second coefficient g1 approaches 1 as N → ∞.
The conditions (i) and (ii) are very useful for practical applications: The first ensures
that approximations of positive quantities become positive, the second conserves
&1 &1
the integral of the expanded function, −1 fKPM (x) dx = −1 f (x) dx. Applying
the kernel, for example, to a density of states thus yields an approximation which is
strictly positive and normalized.
The simplest kernel which fulfils all three conditions is the Fejér kernel [11],
N
F 1 D
KN (x, y) = K (x, y) , (19.23)
N ν=1 ν
i.e., gnF = 1 − n/N , which is the arithmetic mean of all Dirichlet approximations
of order less or equal N . However, with the coefficients gnF of the Fejér kernel we
have not fully exhausted the freedom offered by the above conditions. We can hope
to further improve the kernel by optimizing the gn in some sense, which will lead
us to recover old results by Jackson [12, 13]. In particular, let us tighten the third
condition by demanding that the kernel has optimal resolution in the sense that
1 1
Q := (x − y)2 KN (x, y) dx dy (19.24)
−1 −1
is minimal. Since KN (x, y) is peaked at x = y, Q is basically the squared width

of this peak and a measure for the resolution of the kernel. For sufficiently smooth
functions this more stringent condition will minimize the error ||f −fKPM ||∞ , and in
all other cases lead to optimal resolution and smallest broadening of sharp features.
The optimization [1, 12, 13] leads to a kernel first described by Jackson,
J
KN (x, y) with
(N − n + 1) cos (πn/(N + 1)) + sin(πn/(N + 1)) cot(π/(N + 1))
gnJ = ,
N +1
(19.25)
which yields the minimal value of Q,
π 1 π
2
Qmin = 1 − cos ≃ . (19.26)
N +1 2 N
√
This shows that for large N the resolution Q of the new kernel is proportional
to 1/N . √
The quantity Qmin obtained in (19.26) is mainly a measure for the spread
J
of the kernel KN (x, y) in the x-y-plane. For practical calculations, which may
also involve singular functions, it is reasonable to ask for the broadening of a
δ-function under convolution with the kernel, δKPM (x − a) = g0 φ0 (x)T0 (a) +
−1
2 N 2
n=1 gn φn (x)Tn (a). It can be characterized by the variance σ = x −
2
2
x , which after a short calculation is found to be
π
2 4a2 − 3

2 2
σ ≃ 1−a + . (19.27)
N N
Using the Jackson kernel, an order N expansion of a δ-function at x = 0 thus

results in a broadened peak of width σ = π/N , whereas close to the boundaries,
a = ±1, we find σ = π/N 3/2 . It turns out that this peak is a good approximation to
a Gaussian (see Fig. 19.1),
1 2 2
J
δKPM (x) ≈ √ e−x /(2σ ) . (19.28)
2πσ 2
The Jackson kernel is the best choice for most of the applications we dis-
cuss below. In some situations, however, special analytical properties of the ex-
panded functions become important, which only other kernels can account for.
Single-particle Green functions that appear in the Cluster Perturbation Theory (see
Sect. 19.3), are an example. Considering the imaginary part of the Plemelj-Dirac
formula, limǫ→0 1/(x + iǫ) = P(1/x) − iπδ(x) (here P denotes the principal
value), which frequently occurs in connection with Green functions, the δ-function
on the right hand side is approached in terms of a Lorentz curve,
1 1 ǫ
δ(x) = − lim Im = lim . (19.29)
π ǫ→0 x + iǫ ǫ→0 π(x + ǫ2 )
2
It has a different and broader shape compared to the approximations of δ(x)

we get with the Jackson kernel. We can construct [1] a positive normalized kernel
which perfectly mimics the above behavior, and consequently call it the Lorentz
L
kernel KN (x, y) with
sinh[λ(1 − n/N )]
gnL = . (19.30)
sinh(λ)
Here, λ is a free parameter which as a compromise between good resolution
and sufficient damping of the Gibbs oscillations we empirically choose in order of
four. It is related to the ǫ-parameter of the Lorentz curve, i.e. to its resolution, via
F
ǫ = λ/N . Note also, that in the limit λ → 0 we recover the Fejér kernel KN (x, y),
suggesting that both kernels share many of their convergence properties.
19.1.4 Multi-Dimensional Expansions

For the calculation of finite-temperature dynamical correlation functions we will
later need expansions of functions of two variables. Let us therefore briefly comment
on the generalization of the above considerations to d-dimensional space, which is
easily obtained by extending the scalar products .|. to functions f, g : [−1, 1]d →
R. As in the one-dimensional case, a simple truncation of the infinite series will lead
to Gibbs oscillations and poor convergence. Fortunately, we can easily generalize
our results for kernel approximations. In particular, we find that the extended kernel
Ad
KN (x, y) = j=1 KN (xj , yj ) maps an infinite series onto a truncated series
N
−1 A
d
μn hn gnj Tnj (xj )
n=0 j=1
fKPM (x) = 3 , (19.31)
A
d
π 1 − x2j
j=1
where we can take the gn of any of the previously discussed kernels. If we use the
J
gnJ of the Jackson kernel, KN (x, y) fulfils generalizations of our conditions for an
optimal kernel, namely
J
(i) KN (x, y) is positive ∀ x, y ∈ [−1, 1]d .
J
(ii) KN (x, y) is normalized with
1 1 1 1
··· fKPM (x) dx1 . . . dxd = ··· f (x) dx1 . . . dxd . (19.32)
−1 −1 −1 −1
J
(iii) KN (x, y) has optimal resolution in the sense that
1 1
Q= ··· (x − y)2 KN (x, y) dx1 . . . dxd dy1 . . . dyd = d(g0 − g1 )
−1 −1
(19.33)
is minimal.
Note that for simplicity the order of the expansion, N , was chosen to be the same
for all spatial directions. Of course, we could also define more general kernels,
Ad
KN (x, y) = j=1 KNj (xj , yj ), where the vector N denotes the orders of ex-
pansion for the different spatial directions.
19.1.5 Numerical Implementation
Having discussed the theory behind Chebyshev expansion, the calculation of mo-
ments, and the various kernel approximations, let us now come to the practical is-
sues of the implementation of KPM, namely to the reconstruction of the expanded
function f (x) from its moments μn . Knowing a finite number N of coefficients
μn , we usually want to reconstruct f (x) on a finite set of abscissas xk . Naively we
could sum up (19.17) separately for each point, thereby making use ofthe recur-
sion relations for Tn , i.e., f (xk ) = (g0 μ0 + 2 N −1
n=1 gn μn Tn (xk ))/(π 1 − xk ).
2
#
For a set {xk } containing N points these summations would require of the order
of N N# operations. We can do much better, remembering the definition Tn (x) =
cos(n arccos(x)) and the close relation between KPM and Fourier expansion: First,
we may introduce the short-hand notation μ #n = μn gn for the kernel improved mo-
ments. Second and more important, we make a special choice for our data points,
π(k + 1/2)
xk = cos (19.34)
#
N
# − 1), which coincides with the abscissas of Chebyshev nu-
with k = 0, . . . , (N
merical integration [4]. The number N# of points in the set {xk } is not necessarily
the same as the number of moments N . Usually we will consider N # ≥ N and a
# = 2N . All values f (xk ) can now be obtained through

reasonable choice is, e.g. N
a discrete cosine transform,
3 N
−1
πn(k + 1/2)
γk = π 1− x2k f (xk ) = μ
#0 + 2 μ
#n cos (19.35)
N#
n=1
which allows for the use of divide-and-conquer type algorithms that require only
N# log N
# operations – a clear advantage over the above estimate N N #.
Routines for fast discrete cosine transform are implemented in many mathe-
matical libraries or Fast Fourier Transform (FFT) packages, for instance, in FFTW
[14, 15] that ships with most Linux distributions. If no direct implementation is at
hand we may also use fast discrete Fourier transform. With
/ #
#n eiπn/(2N )
(2 − δn,0 ) μ 0<n<N
λn = (19.36)
0 otherwise
and the standard definition of discrete Fourier transform,

# −1
N
#
#k =
λ λn e2πink/N , (19.37)
n=0
after some reordering we find for an even number of data points
#j ) ,
γ2j = Re(λ ##
γ2j+1 = Re(λN −1−j ) , (19.38)
# /2 − 1. If we need only a discrete cosine transform this setup

with j = 0, . . . , N
is not optimal, as it makes no use of the imaginary part which the complex FFT
calculates. It turns out, however, that the wasted imaginary part is exactly what we
need when we later calculate Green functions and other complex quantities, i.e., we
can use the setup
γ2j = λ#j , #∗
γ2j+1 = λN# −1−j , (19.39)
to evaluate (19.58).
19.2 Applications of the Kernel Polynomial Method

Having described the mathematical background of the KPM, we are now in the
position to present practical applications of the approach. KPM can be used when-
ever we are interested in the spectral properties of large matrices or in correlation
functions that can be expressed through the eigenstates of such matrices. In what
follows, we try to cover all types of accessible quantities, focusing on lattice models
from solid state physics.
19.2.1 Density of States
The first and basic application of Chebyshev expansion and KPM is the calculation
of the spectral density of Hermitian matrices, which could correspond to the densi-
ties of states of both interacting or non-interacting quantum models [2, 9, 16, 17]. To
be specific, let us consider a D-dimensional matrix M with eigenvalues Ek , whose
spectral density is defined as
D−1
1
ρ(E) = δ(E − Ek ) . (19.40)
D
k=0
As described earlier, the expansion of ρ(E) in terms of Chebyshev polynomials

requires a rescaling of M → M B, such that the spectrum of M
B = (M − b)/a fits
# B # reads
the interval [−1, 1]. Given the eigenvalues Ek of M the rescaled density ρ#(E)
# =D −1
D−1 # #
ρ#(E) k=0 δ(E − Ek ) , and according to (19.6) the expansion coefficients
become
1 D−1

μn = # Tn (E)
ρ#(E) #= 1
# dE #k )
Tn (E
D
−1 k=0
D−1
1 B)|k = 1 Tr(Tn (M
B)) .
= k|Tn (M (19.41)
D D
k=0
This is exactly the trace form that we introduced in Sect. 19.1, and we can imme-
diately calculate the μn using the stochastic techniques described before. Knowing
the moments we can reconstruct ρ#(E) # for the whole range [−1, 1], and a final rescal-
ing yields ρ(E).
As the first physical example let us consider percolation of non-interacting
fermions in disordered solids. The percolation problem is characterized by the in-
terplay of pure classical and quantum effects. Besides the question of finding a per-
colating path of accessible sites through a given lattice the quantum nature of the
electrons imposes further restrictions on the existence of extended states and, con-
sequently, of a finite dc-conductivity. As a particularly simple model describing this
situation we consider a tight-binding one-electron Hamiltonian
† †
H= ǫ i ci ci − t ci cj + H.c. (19.42)
i=1 ij
on a simple cubic lattice with L3 sites and random on-site energies ǫi drawn from
the bimodal distribution p(ǫi ) = p δ(ǫi − ǫA ) + (1 − p) δ(ǫi − ǫB ), also known as
the binary alloy model (see Chap. 17). In the limit ∆ = (ǫB − ǫA ) → ∞ the wave-
function of the A sub-band vanishes identically on the B-sites, making them com-
pletely inaccessible for the quantum particles. We then arrive at a situation where
non-interacting electrons move on a random ensemble of lattice points, which, de-
pending on p, may span the entire lattice or not. The corresponding Hamiltonian

reads H = −t ij∈A(c†i cj + H.c.), where the summation extends over nearest-
neighbor A-sites only and, without loss of generality, ǫA is chosen to be zero.
In the theoretical investigation of disordered systems it turned out that distribu-
tion functions for the random quantities take the center stage [18, 19]. The distribu-
tion f (ρi (E)) of the local density of states (LDOS)
N

ρi (E) = |ψn (r i )|2 δ(E − En ) (19.43)
n=1
is particularly suited because ρi (E) measures the local amplitude of the wavefunc-
tion at site r i . It therefore contains direct information about the localization proper-
ties. In contrast to the (arithmetically averaged) mean DOS, ρme (E) = ρi (E),
the LDOS becomes critical at the localization transition [20, 21]. Therefore the
(geometrically averaged) so-called typical DOS, ρty (E) = exp(ln ρi (E)), is fre-
quently used to monitor the transition from extended to localized states. The typical
DOS puts sufficient weight on small values of ρi and a comparison to ρme (E) allows
to detect the localization transition.
Using the KPM the LDOS can be easily calculated for a large number of sam-
ples, Kr , and sites, Ks . The mean and typical DOS are then simply obtained from
Kr Ks Kr Ks
1 1
ρme (E) = ρi (E) , ρty (E) = exp ln(ρi (E)) ,
Kr Ks Kr Ks
k=1 i=1 k=1 i=1
(19.44)
respectively. We classify a state at energy E with ρme (E) = 0 as localized if
ρty (E) = 0 and as extended if ρty (E) = 0.
In order to discuss possible localization phenomena let us investigate the be-
havior of the mean DOS for the quantum percolation models (19.42). As long as
ǫA and ǫB do not differ too much there exists an asymmetric (if p = 0.5) but still
connected electronic band [22]. At about ∆ ≃ 4tD this band separates into two
sub-bands centered at ǫA and ǫB , respectively. The most prominent feature in the
split-band regime is the series of spikes at discrete energies within the band. As an
obvious guess, we might attribute these spikes to eigenstates on islands of A or B
sites being isolated from the main cluster [23, 24]. It turns out, however, that some
of the spikes persist, even if we neglect all finite clusters and restrict the calcula-
tion to the spanning cluster of A sites, A∞ . This is illustrated in the upper panels
of Fig. 19.2, where we compare the DOS of the model (19.42) (at ∆ → ∞) to that
of the spanning cluster only Hamiltonian. Increasing the concentration of accessible
sites the mean DOS of the spanning cluster is evocative of the DOS of the simple cu-
bic lattice, but even at large values of p a sharp peak structure remains at E = 0 √
(cf.
Fig.
19.2,
√ lower panels). Note that the most dominant peaks at E/t = 0, ±1, ± 2,
±1 ± 5 /2, . . . correspond to eigenvalues of the tight-binding model on small
clusters with different geometries. We can thus argue that the wavefunctions, which
belong to these special energies, are localized on some dead ends of the spanning
cluster. The assumption that the distinct peaks correspond to localized wavefunc-
tions is corroborated by the fact that the typical DOS vanishes or, at least, shows
p = 0.405 p = 0.405
0.3 all A sites A∈A∞
0.2
ρme, ρty 0.1
p = 0.7 p = 0.92
0.3 A∈A∞ A∈A∞
0.2
0.1
–4 –2 0 2 4 –4 –2 0 2 4
E/t E/t
Fig. 19.2. Mean (upper curves) and typical (lower curves) DOS for the quantum percolation
model in the limit ∆ → ∞. While in the upper left panel all A-sites are taken into account, the
other three panels show data for the restricted model on the spanning cluster A∞ only (note
that ρty is smaller in the former case because there are more sites with vanishing amplitude of
the wavefunction). System sizes were adapted to ensure that A∞ always contains the same
number of sites, i.e., 573 for p = 0.405, 463 for p = 0.70, and 423 for p = 0.92. In
order to obtain these high-resolution date we used N = 32768 Chebyshev moments and
Ks × Kr = 32 × 32
a dip at these energies. Occurring also for finite ∆, this effect becomes more pro-
nounced as ∆ → ∞ and in the vicinity of the classical percolation threshold pc . For
a more detailed discussion see [25].
19.2.2 Correlation Functions at Finite Temperature
Densities of states provide only the most basic information about a given quantum
system, and much more details can usually be learned from the study of correlation
functions.
Given the eigenstates |k of an interacting quantum system the thermodynamic
expectation value of an operator A reads
D−1
1 1
A = Tr(Ae−βH ) = k|A|k e−βEk , (19.45)
ZD ZD
k=0
where H is the Hamiltonian of the system, Ek the energy of the eigenstate |k, and
D−1
Z = Tr(exp(−βH))/D = D−1 k=0 exp(−βEk ) the partition function. Using
D−1
the function a(E) = D−1 k=0 k|A|k δ(E − Ek ) and the (canonical) density of
states ρ(E), we can express the thermal expectation value in terms of integrals over
the Boltzmann weight,
∞ ∞
1 −βE
A = a(E) e dE , Z= ρ(E) e−βE dE . (19.46)
Z
−∞ −∞
Of course, similar relations hold also for non-interacting fermion systems, where
the Boltzmann weight exp(−βE) has to be replaced by the Fermi function f (E) =
1/(1 + exp(β(E − μ))) and the single-electron wave functions play the role of |k.
Again, the particular form of a(E) suggests an expansion in Chebyshev polyno-
mials, and after rescaling we find
1 D−1
1 #k ) = 1 Tr ATn (H)
#
μn = #
a(E) Tn (E) dE = k|A|k Tn (E ,
D D
−1 k=0
(19.47)
which can be evaluated employing the stochastic approach, outlined in Sect. 19.1.
For interacting systems at low temperature the expression in (19.46) is a bit
problematic, since the Boltzmann factor puts most of the weight on the lower end
of the spectrum and heavily amplifies small numerical errors in ρ(E) and a(E). We
can avoid these problems by calculating the ground state and some of the lowest
excitations exactly, using standard iterative diagonalization methods like Lanczos
or Jacobi-Davidson (see Sect. 18.2). Then we split the expectation value of A and
the partition function Z into contributions from the exactly known states and con-
tributions from the rest of the spectrum,
C−1 ∞
1 −βEk 1
A = k|A|k e + as (E)e−βE dE ,
ZD Z
k=0 −∞
C−1
∞
1
Z= e−βEk + ρs (E)e−βE dE . (19.48)
D
k=0 −∞
−1
D−1 −1
D−1
Here as (E) = D k=C k|A|k δ(E −Ek ) and ρs (E) = D k=C δ(E −
Ek ) describe the rest of the spectrum and can be expanded in Chebyshev polyno-
mials easily.
C−1 Based on the known states we can introduce the projection operator
P = 1 − k=0 |kk| and find for the expansion coefficients of #as (E)
R−1

1 # ≈ 1 # |r ,
μn = Tr(P ATn (H)) r|P ATn (H)P (19.49)
D RD r=0
and similarly for those of ρ#s (E):

R−1

1 # ≈ 1 # |r .
μn = Tr(P Tn (H)) r|P Tn (H)P (19.50)
D RD r=0
Note, that in addition to the two vectors for the Chebyshev recursion we now
need memory also for the eigenstates |k. Otherwise the resource consumption is
the same as in the standard scheme.
0.2 open circles = ED results

lines = KPM results
Δ=
–1
.0
0.1
〈−L Σi (Si Si+x + Si Si+y)〉
.0
–9
z
Δ = –0.5
Δ=
z
0.0
z z
0.0
Δ= Δ = 0.5
1
–0.1
1.0
Δ=
KPM 4 x 4, C = 0
KPM 4 x 4, C = 2 .. 9
–0.2 KPM 4 x 6, C = 2 .. 8
ED 4 x 4
0 1 2 3
T
z z
Fig. 19.3. Nearest-neighbor S -S correlations of the XXZ model on a square lattice. Lines
represent the KPM results with separation of low-lying eigenstates (bold solid and bold
dashed) and without (thin dashed), open symbols denote exact results from a complete diag-
onalization of a 4 × 4 system
We illustrate the accuracy of this approach in Fig. 19.3 considering the nearest-
neighbor S z -S z correlations of the square-lattice spin-1/2 XXZ model as an
example,

H= (Six Si+δ
x
+ Siy Si+δ
y
+ ∆Siz Si+δ
z
). (19.51)
i,δ
As a function of temperature and for an anisotropy −1 < ∆ < 0 this model

shows a quantum to classical crossover in the sense that the correlations are anti-
ferromagnetic at low temperature (quantum effect) and ferromagnetic at high tem-
perature (as expected for the classical model) [26, 27, 28]. Comparing the KPM
results with the exact correlations of a 4 × 4 system, which were obtained from a
complete diagonalization of the Hamiltonian, the improvement due to the separation
of only a few low-lying eigenstates is obvious. Whereas for C = 0 the data is more
or less random below T ≈ 1, the agreement with the exact data is perfect, if the
ground state and one or two excitations are considered separately. The numerical
effort required for these calculations differs largely between complete diagonaliza-
tion and the KPM method. For the former, 18 or 20 sites are practically the limit,
whereas the latter can easily handle 30 sites or more.
Note that for non-interacting systems the above separation of the spectrum is not
required, since for T → 0 the Fermi function converges to a simple step function
without causing any numerical problems.
19.2.3 Spectral Functions and Dynamical Response
19.2.3.1 General Considerations
Having discussed simple expectation values and static correlations, the calculation
of time dependent quantities is the natural next step in the study of complex quan-
tum models. This is motivated also by many experimental setups, which probe the
response of a physical system to time dependent external perturbations. Examples
are inelastic scattering experiments or measurements of transport coefficients. In
the framework of linear response theory and the Kubo formalism the system’s re-
sponse is expressed in terms of dynamical correlation functions, which can also be
calculated efficiently with Chebyshev expansion and KPM.
Given two operators A and B a general dynamical correlation function can be
defined through
D−1
0|A|kk|B|0
1
A; B±
ω = lim 0|A B|0 = lim , (19.52)
ǫ→0 ω + iǫ ∓ H ǫ→0 ω + iǫ ∓ Ek
k=0
where Ek is the energy of the many-particle eigenstate |k of the Hamiltonian H,

|0 its ground state, and ǫ > 0.
If we assume that the product 0|A|kk|B|0 is real the imaginary part
D−1

ImA; B±
ω = −π 0|A|kk|B|0 δ(ω ∓ Ek ) (19.53)
k=0
has a similar structure as, e.g., the local density of states in (19.43), and in fact,
with ρi (E) we already calculated a dynamical correlation function. Rescaling the
Hamiltonian H → H # and all energies ω → ω # we can proceed as usual and expand
±
ImA; Bω in Chebyshev polynomials,
1 ∞
2
1
±
ImA; Bω# = − √ μ0 + 2 μn Tn (#ω) . (19.54)
1−ω #2 n=1
Again, the moments are obtained from expectation values

1
1 #
μn = ImA; B±
# Tn (#
ω ω ) d#
ω = 0|ATn (∓H)B|0 . (19.55)
π
−1
In many cases, especially for the spectral functions and optical conductivities
studied below, only the imaginary part of A; B±
ω is of interest, and the above setup
is all we need. Sometimes however – e.g., within the cluster perturbation theory
discussed in Sect. 19.3 – also the real part of a general correlation function A; B±
ω
is required. Fortunately it can be calculated with almost no additional effort: The
analytical properties of A; B± ω arising from causality imply that its real part is
fully determined by the imaginary part. Indeed, using the Hilbert transforms of the
Chebyshev polynomials,
1
Tn (y) dy
P = π Un−1 (x) ,
(y − x) 1 − y 2
−1
1
1 − y 2 Un−1 (y) dy
P = −π Tn (x) , (19.56)
(y − x)
−1
we obtain
D−1

1
ReA; B±
# =
ω 0|A|kk|B|0 P
ω #k
#∓E
k=0
1 ∞
1 ImA; B±#′
ω ′
=− P dω = −2 μn Un−1 (#
ω) . (19.57)
π ω
#−ω #′ n=1
−1
The full correlation function

∞
−iμ0 i Tn (#
ω)
A; B±
ω
# = √ − 2 μ n U n−1 (#
ω ) + √
1−ω #2 n=1
1−ω #2
1 ∞
2
−i
= √ μ0 + 2 μn e−in arccos ω# (19.58)
1−ω # 2
n=1
can thus be reconstructed from the same moments μn that we derived for its imag-
inary part (19.55). In contrast to the real quantities we considered so far, the recon-
struction merely requires complex Fourier transform (see (19.39)). If only the imag-
inary or real part of A; B±ω is needed, a cosine or sine transform, respectively, is
sufficient.
Note that the calculation of dynamical correlation functions for non-interacting
electron systems is not possible with the scheme discussed in this section, not even
at zero temperature. At finite band filling (finite chemical potential) the ground state
consists of a sum over occupied single-electron states, and dynamical correlation
functions thus involve a double summation over matrix elements between all single-
particle eigenstates, weighted by the Fermi function. See the section on the optical
conductivity for a discussion of this case, which covers also the calculation of dy-
namical correlation functions at finite temperature.
19.2.3.2 One-Particle Spectral Function
An important example of a dynamical correlation function is the (retarded) Green

function in momentum space,
Gσ (k, ω) = ck,σ ; c†k,σ + † −

ω + ck,σ ; ck,σ ω , (19.59)
and the associated spectral function

1
Aσ (k, ω) = − Im Gσ (k, ω) = A+ −
σ (k, ω) + Aσ (k, ω) , (19.60)
π
which characterizes the electron absorption or emission of an interacting system.
For instance, A− can be measured experimentally in angle resolved photo-emission
spectroscopy (ARPES).
Exemplarily let us consider the one-dimensional Holstein model
† † †
H = −t (ci ci+1 + H.c.) − gω0 (bi + bi )ni + ω0 bi bi , (19.61)
i i,σ i
which is one of the basic models for the study of electron-lattice interaction in elec-
tronically low-dimensional solids. In (19.61), the electrons are approximated by
(†)
spinless fermions ci , the density of which couples to the local lattice distortion
(†)
described by dispersionless phonons bi . At half-filling, i.e., 0.5 fermions per site,
the model allows for the study of quantum effects at the transition from a (Luttinger
liquid) metal to a (Peierls) insulator, marked by the opening of a gap at the Fermi
wave vector and the development of charge-density-wave (CDW) long-range order
and a matching lattice distortion [29, 30, 31]. The Peierls insulator can be classified
as traditional band insulator and polaronic superlattice in the strong electron-phonon
coupling adiabatic (ω0 /t ≪ 1) and anti-adiabatic (ω0 /t ≫ 1) regimes, respectively.
Figure 19.4 shows KPM data for the spectral function of the half-filled Holstein
model and assesses its quality by comparing with results from Dynamical Density
Matrix Renormalization Group (DDMRG) [32] calculations. In the spinless case,
the photo-emission (A− ) and inverse photo-emission (A+ ) parts read

A− (k, ω) = |l, Ne − 1| ck |0, Ne |2 δ[ω + (El,Ne −1 − E0,Ne )] ,
l

+
A (k, ω) = |l, Ne + 1| c†k |0, Ne |2 δ[ω − (El,Ne +1 − E0,Ne )] , (19.62)
l
where |l, Ne denotes the lth eigenstate with Ne electrons and energy El,Ne . For
the parameters of Fig. 19.4 the system is in an insulating phase with a finite charge
excitation gap at the Fermi momentum k = ±π/2. Below and above the gap the
spectrum is characterized by broad multi-phonon absorption, reflecting the Poisson-
like phonon distribution in the ground state. Compared to DDMRG, KPM offers
the better resolution and unfolds all the discrete phonon sidebands. Concerning nu-
merical performance DDMRG has the advantage of a small optimized Hilbert space
2
k=0
1
x10
A+(k,ω), A−(k,ω)
0
k = ±π/4
1
x10
0
k = ±π/2
1
n = 0.5
0
–4 –2 0 2 4
ω/t
Fig. 19.4. Single-particle spectral functions A(k, ω) (for electron removal, ω < 0, and elec-
tron injection, ω > 0) of the spinless Holstein model at half-filling on an eight-site lat-
tice with periodic boundary conditions. The system is in the Peierls/CDW insulating phase
(ω0 /t = 0.1 and g = 4). The rapidly oscillating thin lines are the KPM results (M = 32)
while the smooth thick line are the DDMRG data (M = 16) obtained with the pseudo-site
method for the same lattice size
[33, 34], which can be handled with standard workstations. However, the basis opti-
mization is rather time consuming and, in addition, each frequency value ω requires
a new simulation. The KPM calculations, on the other hand, involved matrix dimen-
sions between 108 and 1010 , and we therefore used high-performance computers
such as Hitachi SR8000-F1 or IBM p690 for the moment calculation. For the recon-
struction of the spectra, of course, a desktop computer is sufficient.
19.2.3.3 Optical Conductivity

The next example of a dynamical correlation function is the optical conductivity.
Here the imaginary and real parts of our general correlation functions A; Bω
change their roles due to an additional frequency integration. The so-called regu-
lar contribution to the real part of the optical conductivity is thus given by,
1
σ reg (ω) = |k|J|0|2 δ(ω − (Ek − E0 )) , (19.63)
ω
Ek >E0

with the current operator J = −iqt i,σ (c†i,σ ci+1,σ − H.c.). The latter follows
from the continuity equation ṅiσ = i[H, niσ ] = ji−1,σ − jiσ , where jiσ is the local
particle current. After rescaling the energy and shifting the frequency, ω = ω# +E #0 ,
the sum can be expanded as described earlier, now with J|0 as the initial state for
the Chebyshev recursion. Back-scaling and dividing by ω then yields the final result.
The finite-temperature extension of (19.63) is given by
|k|J|q|2 (e−βEk − e−βEq )
σ reg (ω) = δ(ω − ωqk ) , (19.64)
ZD ω
k,q
with ωqk = Eq −Ek . Compared to (19.63) a straight-forward expansion of the finite

temperature conductivity is spoiled by the presence of the Boltzmann weighting
factors. A solution comes from the current matrix element density
1
j(x, y) = |k|J|q|2 δ(x − Ek ) δ(y − Eq ) . (19.65)
D
k,q
Being a function of two variables, j(x, y) can be expanded with two-dimensional

KPM,
N−1
# μnm hnm gn gm Tn (x)Tm (y)
j(x, y) = , (19.66)
n,m=0 π 2 (1 − x2 )(1 − y 2 )
where #
j(x, y) refers to the rescaled j(x, y), gn are the usual kernel damping factors,
and hnm account for the correct normalization. The moments μnm are obtained
from
1 1
1
μnm = #
j(x, y)Tn (x)Tm (y) dx dy = #
Tr Tn (H)JT #
m (H)J , (19.67)
D
−1 −1
and again the trace can be replaced by an average over a relatively small number
R of random vectors |r. The numerical effort for an expansion of order n, m <
N ranges between 2RDN and RDN 2 operations, depending on whether memory
is available for up to N vectors of the Hilbert space dimension D or not. Given
the operator density j(x, y) we find the optical conductivity by integrating over
Boltzmann factors,
∞
1
reg
σ (ω) = j(y + ω, y) e−βy − e−β(y+ω) dy
Zω
−∞
|k|J|q|2 (e−βEk − e−βEq )
= δ(ω − ωqk ) , (19.68)
ZDω
k,q
and, as above, we get the partition function Z from an integral over the density of
states ρ(E). The latter can be expanded in parallel to j(x, y). Note that the calcu-
lation of the conductivity at different temperatures is based on the same operator
density j(x, y), i.e., it needs to be expanded only once for all temperatures.
As a physical example, we consider the conductivity for the Anderson model of
non-interacting fermions moving in a random potential [18],
† †
H = −t ci cj + ǫ i ci ci . (19.69)
ij i
Here hopping occurs along nearest neighbor bonds ij on a simple cubic lattice
and the local potential ǫi is chosen randomly with uniform distribution in the inter-
val [−γ/2, γ/2]. With increasing strength of disorder, γ, the single-particle eigen-
states of the model tend to become localized in the vicinity of a particular lattice
site, which excludes these states from contributing to electronic transport. Disorder
can therefore drive a transition from metallic behavior with delocalized fermions to
insulating behavior with localized fermions [35, 36, 37].
Since the Anderson model describes non-interacting fermions, the eigenstates
|k occurring in σ(ω) now denote single-particle wave functions and the Boltzmann
weight has to be replaced by the Fermi function,
|k|J|q|2 (f (Ek ) − f (Eq ))
σ reg (ω) = δ(ω − ωqk ) . (19.70)
ω
k,q
Clearly, from a computational point of view this expression is of the same com-
plexity for both, zero and finite temperature, i.e. we need the more advanced 2D
KPM approach [38].
Figure 19.5 shows the optical conductivity of the Anderson model at γ/t = 12
for different inverse temperatures β = 1/T . The chemical potential is chosen as
μ = 0, i.e., the system is still in the metallic phase. However, the conductivity
shows a pronounced dip near ω = 0 with the functional form σ(ω) ∼ σ0 + |ω|α .
For stronger disorder γ or a different chemical potential μ, the system will become
insulating and the dc-conductivity σ0 will vanish. The role of temperature, in this
example, is limited to suppressing σ(ω), mainly through the (f (Ek ) − f (Eq )) term
in (19.70). The model (19.69) does not describe thermally activated hopping, since
there are no phonons included.
0.014
γ = 12 t3
D = 1003
0.012
S = 440
N = 2048
0.01
σreg(ω)
0.008
/t
00
0.006
0
... 1
0.004
1
0.0
β=
0.002
0
–15 –10 –5 0 5 10 15
ω/t
Fig. 19.5. Optical conductivity of the 3D Anderson model with γ = 12. Note that all curves
are derived from the same matrix element density j(x, y), which was calculated for a 1003
site cluster with expansion order N = 2048 and averaged over Kr = 440 samples
19.2.4 Time Evolution of Quantum Systems
Dynamical correlation functions are an important aspect in the description of in-

teracting quantum systems and, in many cases, are directly related to experimental
results, in particular spectroscopy data. On the other hand, new experimental setups
and techniques led to an increased interest in the real time dynamics of quantum
systems. Chebyshev expansion is applicable also in this situation.
Starting from the time dependent Schrödinger equation,
i∂t |ψ = H|ψ , (19.71)
the approach is surprisingly simple: Assuming that at time t = 0 the system is in

the state |ψ0 , its state at a later time is
|ψt = e−iHt |ψ0 , (19.72)
and the problem translates into calculating the time evolution operator U (t) =
exp(−iHt) for a given Hamiltonian H and time t. Using the rescaling introduced
in (19.7), we can expand U (t) in a series of Chebyshev polynomials [39, 40, 41],
1 N
2
#
U (t) = e −i(aH+b)t
=e −ibt
c0 + 2 #
ck Tk (H) , (19.73)
k=1
where the expansion coefficients ck are given by
1
Tk (x)e−iaxt
ck = √ dx = (−i)k Jk (at) , (19.74)
π 1 − x2
−1
and Jk (at) denotes the Bessel function of order k. The Chebyshev polynomials of
# are calculated with the recursion we introduced earlier, see
the Hamiltonian, Tk (H),
(19.3). Thus, the wave function at a later time is obtained simply through a set of
MVMs with the Hamiltonian.
Asymptotically the Bessel function behaves as
1 z
k 1 ez
k
Jk (z) ∼ ∼ √ (19.75)
k! 2 2πk 2k
for k → ∞, hence for k ≫ at the expansion coefficients ck decay superexponen-
tially and the series can be truncated with negligible error. With an expansion order
of N 1.5at we are usually on the safe side. Moreover, we can check the quality
of our approximation by comparing the norms of |ψt and |ψ0 . For sparse matrices
the whole time evolution scheme is therefore linear in both, the matrix dimension
and the time.
The Chebyshev expansion method converges much faster than other time inte-
gration methods, in particular, it is faster than the popular Crank-Nicolson method
[42]. Within this approach the time interval t is divided into small steps ∆t = t/N ,
and the wave function is propagated in a mixed explicit/implicit manner,
(1 + 21 iH∆t)|ψn+1 = (1 − 12 iH∆t)|ψn . (19.76)
Thus, each step requires both a sparse MVM and the solution of a sparse linear
system. Obviously, this is more complicated than the Chebyshev recursion, which
requires only MVMs. In the Crank-Nicolson method the time evolution operator is
approximated as
N
1 − iHt/(2N )
U (t) = . (19.77)
1 + iHt/(2N )
In Fig. 19.6 we compare this approximation with the Chebyshev approximation

by replacing H with the real variable x (this is equivalent to working with a diagonal
matrix H). In both cases we consider time t = 10 and expansion order N = 15.
Whereas the Chebyshev result agrees perfectly with the exact result exp(ixt), the
Crank-Nicolson approximation needs much higher N to achieve the same accuracy
(N ≈ 90).
Having explained the time evolution algorithm, let us now consider a specific
example: the formation of a polaron on an one-dimensional lattice. The Hamiltonian
for this problem was introduced at the beginning of this chapter, see (18.3). The
polaron problem corresponds to the case of a single electron interacting with finite
frequency lattice vibrations, i.e., we can omit the spin indices and the Hubbard term
does not contribute. Bonča, Trugman and co-workers [43, 44] introduced a highly
efficient variational basis for the polaron problem, which can be used to study its
ground-state properties and lowest excitations on an infinite lattice, as well as the
1 exact
Chebyshev
0.5 Crank Nicolson
Re[U(x)]
0
–0.5
–1
1
0.5
Im[U(x)]
0
–0.5
–1
–1 –0.5 0 0.5 1
x
Fig. 19.6. Comparison of the Chebyshev and the Crank-Nicolson approximation of the func-
tion U (t) = exp(ixt) with t = 10 and expansion order N = 15
0.2 polaron
g = 0.4 free electron
〈ni〉 0.15 ω0 = 1
0.1 2
speed
0.05 difference
1
0
ε(k), ε’(k)
0.2 0
time
0.15
〈ni〉
–1
0.1
0.05 –2
0
0 50 100 150 0 0.1 0.2 0.3 0.4 0.5
i p / 2π
Fig. 19.7. Formation of a polaron for electron-lattice coupling g = 0.4 and phonon frequency
ω0 = 1 (upper panel), compared to the motion of a non-interacting wave packet (lower
panel). The right panel shows the underlying dispersions (lower curves) and velocities (upper
curves)
quantum dynamics of such a system (for a recent review see also [45]). In Fig. 19.7
we show the time evolution of a single-electron wave packet
2 2
|ψ0 = eipj−(j−j0 ) /(2σ ) c†j |0 , (19.78)
j
where in the upper and lower panels the electron-phonon coupling g is finite or
zero, respectively. For finite g, within the first few time steps a polaron is formed,
which then travels at lower speed, compared to the non-interacting wave packet. The
speed difference is given by the difference of the derivatives ε′ (k) of the underlying
dispersions ε(k) at the mean momentum p, see right hand panel. The Chebyshev ex-
pansion method allows for a fast and reliable simulation of this interesting problem.
19.3 KPM in Relation to other Numerical Approaches

19.3.1 KPM and CPT
The spectrum of a finite system of L sites, which we obtain through KPM, differs in
many respects from that of an infinite system, L → ∞, especially since for a finite
system the lattice momenta K = π m/L and the energy levels are discrete. While
we cannot easily increase L without reaching computationally inaccessible Hilbert
space dimensions, we can try to extrapolate from a finite to the infinite system.
With the Cluster Perturbation Theory (CPT) [46, 47, 48] a straightforward way
to perform this task approximatively has recently been devised. In this scheme one
first calculates the Green function Gcij (ω) for all sites i, j = 1, . . . , L of a L-size
cluster with open boundary conditions, and then recovers the infinite lattice by past-
ing identical copies of this cluster at their edges. The glue is the hopping V between
these clusters, where Vmn = t for |m − n| = 1 and m, n ≡ 0, 1(modL), which is
dealt with in first order perturbation theory. Then the Green function Gij (ω) of the
infinite lattice is given through a Dyson equation

Gij (ω) = Gcij (ω) + Gcik (ω)Vmn Gnj (ω) , (19.79)
mn
c
where indices of G (ω) are counted modulo L. Obviously this order of perturba-
tion in V is exact for the non-interacting system. The Dyson equation is solved by
Fourier transformation over momenta K = kL corresponding to translations by L
sites
Gc (ω)
Gij (K, ω) = . (19.80)
1 − V (K)Gc (ω) ij
from which one finally obtains
L
1 c
G(k, ω) = G (Lk, ω)e−ik(i−j) . (19.81)
L i,j=1 ij
Hence, from the Green function Gcij (ω) on a finite cluster we construct a Green
function G(k, ω) with continuous momenta k.
Two approximations are made, one by using first order perturbation theory in
V = t, the second on assuming translational symmetry in Gij (ω) which is satisfied
only approximately. In principle, the CPT spectral function G(k, ω) does not con-
tain any more information than the cluster Green function Gcij (ω) already does. But
extrapolating to the infinite system it gives a first hint at the scenario in the ther-
modynamic limit. Providing direct access to spectral functions, still without relying
on possibly erroneous approximations, CPT occupies a niche between variational
approaches like (D)DMRG [32, 49] and methods directly working in the thermody-
namic limit like the variational ED method [43].
On applying the CPT crucial attention has to be paid to the kernel used in the
reconstruction of Gcij (ω). As it turns out, the Jackson kernel is an inadequate choice
here, since already for the non-interacting tight-binding model it introduces spuri-
ous structures into the spectra [1]. The failure can be attributed to the shape of the
Jackson kernel: Being optimized for high resolution, a pole in the Green function
will give a sharp peak with most of its weight concentrated at the center, and rapidly
decaying tails. The reconstructed (cluster) Green function therefore does not satisfy
the correct analytical properties required in the CPT step. To guarantee these prop-
erties, instead, we use the Lorentz kernel, which is constructed in order to mimic the
effect of a finite imaginary part in the energy argument of a Green function.
Using Gcij (ω) = Gcji (ω) (no magnetic field), for a L-site chain L diagonal and
L(L − 1)/2 off-diagonal elements of Gcij (ω) have to be calculated. The latter can be
(†) (†)
reduced to Chebyshev iterations for the operators ci + cj . The numerical effort
can be further reduced by a factor 1/L: If we keep the ground state |0 of the system
we can calculate the moments μij # †
n = 0|ci Tn (H)cj |0 for L elements i = 1, . . . , L
of Gcij (ω) in a single Chebyshev iteration. To achieve a similar reduction within
the Lanczos recursion we had to explicitly construct the eigenstates to the Lanczos
eigenvalues. Then the factor 1/L is exceeded by at least N D additional operations
for the construction of N eigenstates of a D-dimensional sparse matrix. Hence using
KPM for the CPT cluster diagonalization the numerical effort can be reduced by a
factor of 1/L in comparison to the Lanczos recursion.
As an example we consider the 1D Hubbard model
†
H = −t (ci,σ ci+1,σ + H.c.) + U ni↑ ni↓ , (19.82)
i,σ i
which is exactly solvable by Bethe ansatz [50] and was also extensively studied with
DDMRG [51]. It thus provides the opportunity to assess the precision of the KPM-
based CPT. The top left panel of Fig. 19.8 shows the one-particle spectral function
at half-filling, calculated on the basis of L = 16 site clusters and an expansion order
of N = 2048. The matrix dimension is D ≈ 1.7 · 108 . Remember that the cluster
Green function is calculated for a chain with open boundary conditions. The reduced
symmetry compared to periodic boundary conditions results in a larger dimension
of the Hilbert space that has to be dealt with numerically.
In the top right panel the dots show the Bethe ansatz results for a L = 64 site
chain, and the lines denote the L → ∞ spinon and holon excitations each electron
separates into (spin-charge separation). So far the Bethe ansatz does not allow for a
direct calculation of the structure factor, the data thus represents only the position
and density of the eigenstates, but is not weighted with the matrix elements of the
(†)
operators ckσ . Although for an infinite system we would expect a continuous re-
sponse, the CPT data shows some faint fine-structure. A comparison with the finite-
size Bethe ansatz data suggests that these features are an artifact of the finite-cluster
Greens function which the CPT spectral function is based on. The fine-structure is
also evident in the lower panel of Fig. 19.8, where we compare with DDMRG data
for a L = 128 site system. Otherwise the CPT nicely reproduces all expected fea-
tures, like the excitation gap, the two pronounced spinon and holon branches, and
the broad continuum. Note also, that CPT is applicable to all spatial dimensions,
whereas DDMRG works well only for 1D models.
19.3.2 Chebyshev Expansion and Maximum Entropy
Having demonstrated the wide applicability of KPM, let us now discuss some direct
competitors of KPM, i.e., methods that share the broad application range and some
of its general concepts.
The first of these approaches, the combination of Chebyshev expansion and
Maximum Entropy Method (MEM), is basically an alternative procedure to trans-
form moment data μn into convergent approximations of the considered function
10 10
E(k) / t = [Eholon(kh) + Espinon(ks)] / t

8 8
6 6
4 4
ω/t
2 2
0 0
–2 –2
–4 –4
–6 –6
0 1 2 3 0 1 2 3
k k = kh + ks
DDMRG
CPT + KPM
1 1
Gσ(k,ω)
0.8 0.5
–Im G
Aσ(k,ω)
0.6 0
Re G
0.4 –0.5 k=π
2 4 6 8
ω/t
0.2 k=π / 2
0
2 4 6 8
ω/t
Fig. 19.8. Spectral function of the 1D Hubbard model for half-filling and U = 4t. Top
left: CPT result with cluster size L = 16 and expansion order N = 2048. For similar
data based on Lanczos recursion see [47]. Top right: Within the exact Bethe ansatz solution
each electron separates into the sum of independent spinon (red dashed) and holon (green)
excitations. The dots mark the energies of a 64-site chain. Bottom: CPT data compared to
selected DDMRG results for a system with L = 128 sites, open boundary conditions and a
broadening of ǫ = 0.0625t. Note that in DDMRG the momenta are approximate
f (x). To achieve this, instead of (or in addition to) applying kernel polynomials, an
entropy
1
f (x)
S(f, f0 ) = f (x) − f0 (x) − log dx (19.83)
f0 (x)
−1
is maximized under the constraint that the moments of the estimated f (x) agree
with the given data. The function f0 (x) describes our initial knowledge about f (x),
and may in the worst case just be a constant. Being related to Maximum Entropy
approaches to the classical moment problem [52, 53], for the case of Chebyshev
moments different implementations of MEM have been suggested [9, 54, 55]. Since
for a given set of N moments μn the approximation to the function f (x) is usually
not restricted to a polynomial of degree N − 1, compared to the KPM with Jackson
kernel the MEM usually yields estimates of higher resolution. However, this higher
resolution results from adding a priori assumptions and not from a true information
gain (see also Fig. 19.9). The resource consumption of the MEM is generally much
higher than the N log N behavior we found for KPM. In addition, the approach is
non-linear in the moments and can occasionally become unstable for large N . Note
also that as yet MEM have been derived only for positive quantities, f (x) > 0, such
as densities of states or strictly positive correlation functions.
MEM, nevertheless, is a good alternative to KPM, if the calculation of the μn
is particularly time consuming. Based on only a moderate number of moments it
yields very detailed approximations of f (x), and we obtained very good results for
some computationally demanding problems [56].
19.3.3 Lanczos Recursion
The Lanczos recursion technique [57] is certainly the most capable competitor of
KPM. The use of the Lanczos algorithm [8, 58] for the characterization of spec-
tral densities [59, 60] was first proposed at about the same time as the Chebyshev
expansion approaches, and in principle Lanczos recursion is also a kind of modi-
fied moment expansion [61, 62]. Its generalization from spectral densities to zero-
temperature dynamical correlation functions was first given in terms of continued
fractions [63], and later also an approach based on the eigenstates of the tridiagonal
matrix was introduced and termed Spectral Decoding Method [64]. This technique
20 2
KPM (Jackson kernel)
MEM (Silver, Röder 1997)
15 N = 512 1.5
step function
five δ-peaks
10 1
5 0.5
0 0
–0.1 –0.05 0 0.05 0.1 0.4 0.45 0.5 0.55 0.6
x x
Fig. 19.9. Comparison of a KPM and a MEM approximation to a spectrum consisting of five
isolated δ-peaks, and to a step function. The expansion order is N = 512. Clearly, for the δ-
peaks MEM yields a higher resolution, but for the step function the Gibbs oscillations return
(algorithm of [54])
was then generalized to finite temperature [65, 66], and, in addition, some variants of
the approach for low temperature [67] and based on the micro-canonical ensemble
[68] have been proposed recently.
To give an impression, in Table 19.1 we compare the setup for the calculation
of a zero-temperature dynamical correlation function within the Chebyshev and the
Lanczos approach. The most time consuming step for both methods is the recursive
construction of a set of vectors |φn , which in terms of scalar products yield the
moments μn of the Chebyshev series or the elements αn , βn of the Lanczos tridi-
agonal matrix. In terms of the number of operations the Chebyshev recursion has a
Table 19.1. Comparison of Chebyshev expansion and Lanczos recursion for the calculation
of a zero-temperature dynamical correlation function f (ω) = n |n|A|0|2 δ(ω − ωn ). We
assume N MVMs with a D-dimensional sparse matrix H, and a reconstruction of f (ω) at
M points ωi
Chebyshev / KPM Lanczos recursion

Initialization: Initialization:

# = (H − b)/a
H β0 = 0|A† A|0
|φ0 = A|0, # 0
|φ1 = H|φ |φ0 = A|0/β0 , |φ−1 = 0
μ0 = φ0 |φ0 , μ1 = φ1 |φ0
O(N D) O(N D)
Recursion for 2N moments μn : Recursion for N coefficients αn , βn :
# n − |φn−1
|φn+1 = 2H|φ |φ′ = H|φn − βn |φn−1 , αn = φn |φ′

μ2n+2 = 2φn+1 |φn+1 − μ0 |φ′′ = |φ′ − αn |φn , βn+1 = φ′′ |φ′′
μ2n+1 = 2φn+1 |φn − μ1 |φn+1 = |φ′′ /βn+1
→ very stable → tends to lose orthogonality
O(M log M ) O(N M )

Reconstruction in three simple steps: Reconstruction via continued fraction:
1 β02
#n = gn μn
Apply kernel: μ f (z) = − Im
π β12
#n → f#(#
Fourier transform: μ ωi ) z − α0 −
z − α1 − . . .
Rescale: where z = ωi + iǫ
f#[(ωi − b)/a]
f (ωi ) =
π a2 − (ωi − b)2
→ procedure is linear in μn → procedure is non-linear in αn , βn
→ well defined resolution ∝ 1/N → ǫ is somewhat arbitrary
small advantage, but, of course, the application of the Hamiltonian as the dominant
factor is the same for both methods. As a drawback, at high expansion order the
Lanczos iteration tends to lose the orthogonality between the vectors |φn , which
it intends to establish by construction. When the Lanczos algorithm is applied to
eigenvalue problems this loss of orthogonality usually signals the convergence of
extremal eigenstates, and the algorithm then starts to generate artificial copies of the
converged states (see Fig. 18.5). For the calculation of spectral densities or corre-
lation functions this means that the information content of the αn and βn does no
longer increase proportionally to the number of iterations. Unfortunately, this defi-
ciency can only be cured with more complex variants of the algorithm, which also
increase the resource consumption. Chebyshev expansion is free from such defects,
as there is a priori no orthogonality between the |φn .
The reconstruction of the considered function from its moments μn or coeffi-
cients αn , βn , respectively, is also faster and simpler within the KPM, as it makes
use of FFT. In addition, the KPM is a linear transformation of the moments μn ,
a property we used extensively above when averaging moment data instead of the
corresponding functions. Continued fractions, in contrast, are non-linear in the co-
efficients αn , βn . A further advantage of KPM is our good understanding of its
convergence and resolution as a function of the expansion order N . For the Lanczos
algorithm these issues have not been worked out with the same rigor.
In Fig. 19.10 we compare KPM and Lanczos recursion, calculating the spectral
function −π −1 Im0|c0↑ (ω − H)−1 c†0↑ |0 for the Hubbard model on a L = 12 site
ring and half-filling. With the Jackson kernel all features of the dynamical corre-
lation function are resolved sharply, whereas with Lanczos recursion, by construc-
tion, we observe Lorentzian broadening. The Lanczos recursion data therefore is
1
KPM Jackson
KPM Lorentz
LR
0.8
–Im 〈0|c0 (ω –H)–1c0 |0〉/π
L = 12, N = N = 6
↓ ↑
+
1024 MVM
0.6
0.4
0.2
0
2 4 6 8 10
(ω – E0) / t
Fig. 19.10. The spectral function −π −1 Im0|c0↑ (ω − H)−1 c†0↑ |0 calculated for the Hub-
bard model with L = 12, N↓ = N↑ = 6 using KPM and Lanczos recursion (LR). Lanczos
recursion closely matches KPM with Lorentz kernel
comparable to KPM with Lorentz kernel, except that the calculation takes a little bit
longer (about 10% in this simple case). Note also, that within KPM the calculation
of non-diagonal correlation functions, like 0|ci (ω − H)−1 c†j |0 with i = j, is much
easier – see our discussion in Sect. 19.3.1.
In conclusion, we think that the Lanczos algorithm is an excellent tool for the
calculation of extremal eigenstates of large sparse matrices, but for spectral densi-
ties and correlation functions the KPM (MEM) is the better choice. Of course, the
advantages of both algorithms can be combined, e.g. when the Chebyshev expan-
sion starts from an exact eigenstate that was calculated with the Lanczos algorithm.
Acknowledgements
We would like to thank A. Alvermann, B. Bäuml, G. Hager, M. Hohenadler,

E. Jeckelmann, M. Kinateder, G. Schubert, R.N. Silver, and G. Wellein for valu-
able discussions and technical support. This work was supported by Deutsche
Forschungsgemeinschaft through SFB TR24 and SFB 512. Furthermore, we ac-
knowledge generous computer granting by John von Neumann-Institut für Com-
puting Jülich (NIC), Leibniz-Rechenzentrum München (LRZ) and Norddeutscher
Verbund für Hoch- und Höchstleistungsrechnen (HLRN).
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20 The Conceptual Background of Density-Matrix
Renormalization
Ingo Peschel and Viktor Eisler
Fachbereich Physik, Freie Universität Berlin, 14195 Berlin, Germany
In the treatment of many-particle quantum systems, one approach is to work with the
wave function and to look for an approximation which is as good as possible. The
density-matrix renormalization group method (DMRG) is a numerical procedure
which does that by selecting an optimal subspace of the complete Hilbert space in
a systematic way. It was developed in the early nineties by Steven White [1, 2] and
has since then become the most powerful tool for treating one-dimensional quan-
tum systems [3, 4, 5]. This is due to the fact that it combines spectacular accura-
cies like ten decimal places for ground-state energies, with the possibility to treat
large systems with e.g. hundreds of spins. Recently it has also been extended to
time-dependent problems. All this will be described in more detail in the following
contributions.
20.1 Introduction
In this introductory chapter, we want to give a general background for the method
and discuss some concepts which arise in the characterization and description of
quantum states. These are not only relevant for the DMRG but appear also in other
contexts and have a basic interest in themselves. Specifically, this will be entangled
states, reduced density matrices, entanglement entropies and matrix-product states.
The emphasis will be on reduced density matrices and their features. These are
crucial for the performance of the DMRG but they also arise naturally if one wants
to quantify entanglement properties. The latter have been the topic of many recent
studies and we will also give a brief account of that.
20.2 Entangled States

The notion of entanglement (in German “Verschränkung”) was introduced by
Schrödinger in 1935 [6] and plays a central role in the discussion of fundamental
aspects of quantum mechanics [7]. It is usually illustrated with the example of two
spins one-half with basis states |+ and |−. The simplest states of the composite
system have product form, e.g.
|Ψ = |+|− , (20.1)
I. Peschel and V. Eisler: The Conceptual Background of Density-Matrix Renormalization, Lect. Notes Phys. 739,
581–596 (2008)
582 I. Peschel and V. Eisler
or, in general,
|Ψ = [a |+ + b |−][c |+ + d |−] . (20.2)
In this case the two spins are independent of each other and all expectation values
factorize. By contrast, an entangled state is
1
|Ψ = √ [|+|+ + |−|−] . (20.3)
2
This cannot be written in product form and expectation values do not factorize. The
parts of the composite system are interwoven in the wave function. This is typical
for interacting systems and is the situation one normally encounters, and has to deal
with, in many-particle problems.
In the two-spin case it is relatively easy to check whether a state has product
form or not. In the general case, one proceeds as follows. One divides the system
into two parts 1 and 2.
1 2
Then a state |Ψ of the total system can be written

1
|Ψ = Amn |Ψm |Ψn2 , (20.4)
m,n
1
where |Ψm and |Ψn2 are orthonormal basis functions in the two Hilbert spaces.
But a rectangular matrix A can always be written in the form UDV′ where U is
unitary, D is diagonal and the rows of V are orthonormal. This is called the singular-
value decomposition and similar to the principal-axis transformation of a symmetric
square matrix [8]. Using this in (20.4) and forming new bases by combining the
1
|Ψm with U and the |Ψn2 with V′ , one obtains the Schmidt decomposition [9]

|Ψ = λn |Φ1n |Φ2n (20.5)
n
which gives the total wave function as a single sum of products of orthonormal
functions. Here the number of terms is limited by the smaller of the two Hilbert
spaces and the weight factors λn are the elements of the diagonal matrix D. If |Ψ
is normalized, their absolute magnitudes squared sum to one. The entanglement
properties are encoded in the set of λn . Only if all except one are zero, the sum
reduces to a single term and |Ψ is a product state. On the other hand, if all λn are
equal in size, one would call the state maximally entangled. Of course, this refers
to a particular bipartition and one should investigate different partitions to obtain a
complete picture. One could also ask for the entanglement of more than two parts
but it turns out that there is no general extension of the Schmidt decomposition.
20.3 Reduced Density Matrices

The entanglement structure just discussed can also be found from the density ma-
trices associated with the state |Ψ . This is, in fact, the standard way to obtain it.
20 The Conceptual Background of Density-Matrix Renormalization 583
Starting from the total density matrix
ρ = |Ψ Ψ | , (20.6)
one can, for a chosen division, take the trace over the degrees of freedom in one part
of the system. This gives the reduced density matrix for the other part, i.e.
ρ1 = Tr2 (ρ) , ρ2 = Tr1 (ρ) . (20.7)
These Hermitian operators can be used to calculate arbitrary expectation values in

the subsystems, but this is not all. From (20.5) it follows that their diagonal forms are

ρα = |λn |2 |Φα α
n Φn | , α = 1, 2 . (20.8)
n
This means that

– ρ1 and ρ2 have the same non-zero eigenvalues,
– these eigenvalues are given by wn = |λn |2 .
Therefore the eigenvalue spectrum of the ρα gives directly the weights in the
Schmidt decomposition and a glance at this spectrum shows the basic entangle-
ment features of the state, for the chosen bipartition. One also sees that the |Φα n
appearing in (20.5) are the eigenfunctions of ρα .
In the DMRG algorithm, these properties are used to truncate the Hilbert space
by calculating the ρα , selecting the m states |Φα
n with largest weights wn and delet-
ing the rest. This procedure is expected to work well if the total weight of the dis-
carded states is sufficiently small. Therefore the form of the density-matrix spectra
is decisive for the success of the method and will be discussed in the following.
20.4 Solvable Models
The reduced density matrices can be determined for the ground states of a number of
standard systems. These are integrable spin chains like the XY model and the XXZ
model, free bosons like coupled oscillators and free fermions like hopping models.
In all these cases the reduced density matrices are found to have the form

ρα = K exp − εl c†l cl = K e−H , (20.9)

l
where, depending on the problem, the c†l , cl are fermionic or bosonic creation and
annihilation operators and the εl are the corresponding single-particle eigenvalues.
Before we discuss (20.9) further, let us describe briefly how one can derive this
result. Basically, there are three methods to obtain the ρα .
(1) Integration over part of the variables according to the definition. This can be
done e.g. for coupled harmonic oscillators [10, 11]. In this case the ground state
is a Gaussian in the normal coordinates and has the general form
1 N
Φ(u1 , u2 , . . . , uN ) = C exp − Bm,n um un , (20.10)

2 m,n
in terms of the original coordinates un of the N oscillators, where C is a

normalization constant. By forming ρ and integrating out e.g. the variables
uM+1 , . . . , uN one obtains ρ1 (u1 , u2 , . . . , uM | u′1 , u′2 , . . . , u′M ) which is again
a Gaussian. As it stands, this is an integral operator but one can convert the terms
involving (un − u′n )2 into derivatives ∂ 2 /∂u2n and thereby obtain a differential
operator in the exponent. This leads to a quadratic expression in terms of boson
operators and gives (20.9) after diagonalization. The single-particle eigenval-
ues follow from a combination of submatrices of B. The method can also be
used for systems of non-interacting fermions. In this case one first has to write
the ground state in exponential form and then use Grassmann variables for the
integration [12].
(2) Via correlation functions [13]. Consider a system of free electrons hopping on
a lattice in a state described by a Slater determinant. In such a state, all many-
particle correlation functions factorize into products of one-particle functions.
For example,
c†m c†n ck cl = c†m cl c†n ck − c†m ck c†n cl . (20.11)
If all sites are in the same subsystem, a calculation using the reduced density
matrix must give the same result. This is guaranteed by Wick’s theorem if ρα is
the exponential of a free-fermion operator

ρα = K exp − Hij c†i cj . (20.12)

i,j
The matrix Hij , where i and j are sites in the subsystem, is determined by the
one-particle correlation function Cij = c†i cj via
1−C !
H = ln . (20.13)
C
The method has been used in various fermionic problems [14, 15, 16, 17, 18,
19, 20, 21, 22]. If there is pair creation and annihilation, one has to include
the anomalous correlation functions c†i c†j and ci cj . The approach works for
arbitrary dimensions and also for bosonic systems [22, 23, 24].
(3) Via the connection to two-dimensional classical models. Consider a quantum
chain of finite length and imagine that one can obtain its state |Ψ from an initial
state |Ψs by applying a proper operator T many times. If T is the row-to-row
transfer matrix of a classical model, one has thereby related |Ψ to the parti-
tion function of a two-dimensional semi-infinite strip of that system. The total
density matrix |Ψ Ψ | is then given by two such strips. This is sketched on the
left of Fig. 20.1. The reduced density matrix, e.g. for the left part of the chain,
follows by identifying the variables along the right part of the horizontal edges
and summing them, which means mending the two half-strips together. In this
way, ρα is expressed as the partition function of a full strip with a perpendicular
cut, as shown on the right of Fig. 20.1.
T
T
T
T
T 1 2
T trace
T
T
T
T
Fig. 20.1. Density matrices for a quantum chain as two-dimensional partition functions. Left:
Expression for ρ. Right: Expression for ρ1 . The matrices are defined by the variables along
the thick lines
This approach works for the ground state of a number of integrable quantum
chains [11, 25, 26]. For example, the Ising chain in a transverse field can in this way
be related to a two-dimensional Ising model where the lattice is rotated by 45◦ with
respect to the horizontal. However, to actually calculate such a partition function
and thus ρα , one needs a further ingredient, namely the corner transfer matrices
introduced by Baxter [27]. These are partition functions for a whole quadrant as
shown in Fig. 20.2. For some non-critical integrable models, they are known in the
thermodynamic limit and have exponential form. By multiplying four of them as in
D C
A B
Fig. 20.2. Two-dimensional system built from four quadrants with corresponding corner
transfer matrices A, B, C, D. The arrows indicate the direction of transfer
the figure one can obtain the reduced density matrix for a half-chain which is much
longer than the correlation length.
For a continuum model, the representation just described can be viewed as a
path-integral picture. This can be utilized in particular if the two-dimensional system
is critical and conformally invariant [28, 29].
Returning to (20.9), one sees that ρα has a thermal form with some effective free-
particle Hamiltonian H appearing in the exponent. The eigenstates |Φα n and their
eigenvalues wn are then specified by the single-particle occupation numbers and
the values of the εl . The latter can be given explicitly in a few cases but otherwise
have to be found numerically. Degeneracies in the wn will occur either if one of
the εl is zero or if they are commensurate. Note that although the ρα look like
thermal density operators, no temperature appears. However, one can ascribe an
effective temperature to the subsystem if one is dealing with a critical model where
the low-lying spectrum of H has the same linear form as that of the Hamiltonian
itself [30, 31].
For completeness, we mention that ρα can also be determined for some other
states with high symmetry [32] and for a number of systems with infinite-range
interactions [33].
20.5 Spectra
The free-particle models discussed above can be used to calculate the density-matrix
spectra and to show their typical features. It turns out that there are differences
between critical and non-critical systems and also between one and two dimensions.
We will present results for two particular models in their ground states. One is the
Ising chain in a transverse field with Hamiltonian

H=− σnz − λ σnx σn+1
x
, (20.14)
n n
which has a non-degenerate ground state without long-range order for λ < 1, a
two-fold degenerate one for λ > 1 and a quantum critical point at λ = 1. It can
be viewed also as a fermionic model with pair creation and annihilation terms. The
other one is a fermionic hopping model which in one dimension has the Hamiltonian

H=− tn (c†n cn+1 + c†n+1 cn ) . (20.15)
n
The homogeneous system with tn = 1 is a critical model where the ground-state

correlations decay algebraically. If tn alternates between 1 + δ and 1 − δ one has
a dimerized chain with finite correlation length. The homogeneous model will also
be considered in two dimensions.
Figure 20.3 shows the spectra for a transverse Ising chain with open ends which
is divided in the middle. On the left, the single-particle eigenvalues εl are plotted
for three values of λ. They show the following features:
150 100
λ = 0.1
λ = 0.5
λ = 1.0
100 10–20
εl wn
50 10–40
λ = 0.1
λ = 0.5
λ = 1.0
0 10–60
1 2 3 4 5 6 7 8 9 10 0 10 20 30 40
l n
Fig. 20.3. Density-matrix spectra for one-half of a transverse Ising chain with N = 20 sites in
its ground state. Left: Single-particle eigenvalues εl . Right: Total eigenvalues wn . After [12]
– If the system is non-critical, the dispersion is linear for the lowest εl , i.e. they
are equally spaced;
– The spacing becomes smaller and the linear region shrinks as one approaches
the critical point;
– At the critical point, the linear region of the dispersion curve is no longer visible.
The equidistance of the levels becomes exact in the limit of an infinite system where
it follows from the corresponding corner transfer matrix spectrum. The explicit for-
mula in this case is, for λ < 1
εl = ε (2l − 1) , l = 1, 2, 3 . . . , (20.16)
where ε = π I(k ′ )/I(k). Here √ I(k) denotes the complete elliptic integral of the
first kind, k = λ and k ′ = 1 − k 2 [25]. The deviations from the linear law are
therefore finite-size effects which, for fixed system size, increase near the critical
point.
The eigenvalues wn of ρ1 which follow from the single-particle spectrum, are
displayed in the right part of Fig. 20.3. One sees an extremely rapid decrease (please
note the vertical scale), because the εl appearing in the exponent are all rather large.
This is a typical property of non-critical quantum chains. For the equidistant lev-
els (20.16) one can also determine the asymptotic form of the wn [34]. The decay
becomes slower near the critical point, but is still impressive even for λ = 1.
A closer look at critical systems, however, shows an important difference. The
spectra then depend on the size of the subsystem in an essential way. Specifically,
the single-particle dispersion becomes flatter and flatter as the size increases, and
correspondingly also the wn -curves become flatter. This is shown in Fig. 20.4 for a
segment of L sites in an infinite homogeneous hopping model. For very large L, the
εl are in this case predicted to have again a linear dispersion as in (20.16)
π2
εl = ± (2l − 1) , l = 1, 2, 3 . . . , (20.17)
2 ln L
100
L = 100
10−1 L = 40
L = 20
10−2
−3
wn 10
10−4
10−5
10−6
0 20 40 60 80 100
n
Fig. 20.4. Size dependence of the density-matrix spectrum in a critical system. Shown are the
largest wn for segments of different length in an infinite hopping model
which is also a conformal result [15]. Although in practical numerical calculations

one always finds some curvature in the dispersion, the weak L-dependence indicated
by (20.17) is what one sees in the figure. Thus for systems of conventional size
(L ∼ 100) the wn -spectra still decay rather rapidly.
It is also interesting to look at the single-particle eigenfunctions φl associated
with the εl . The ones for the lowest positive εl are shown in Fig. 20.5 for a seg-
ment of an infinite hopping model. One sees that they are concentrated near the two
boundaries, i.e. near the interfaces with the rest of the chain. The difference is that in
the critical case, shown on the left, the amplitudes decay slowly into the interior (ac-
tually with a power x = −1/2), while in the non-critical dimerized system, shown
on the right, the decay is exponential and reflects the finite correlation length. The
concentration near the boundary is typical for all low-lying single-particle states. In
non-critical chains, it has an interesting consequence for the spectrum because if the
0.5 0.5
0.3 0.3
0.1 0.1
–0.1 –0.1
–0.3 –0.3
δ=0 δ = 0.1
–0.5 –0.5
0 20 40 60 80 100 0 20 40 60 80 100
j j
Fig. 20.5. Lowest lying single-particle eigenstates in a simple (δ = 0) and a dimerized

(δ = 0.1) hopping model for a segment of L = 100 sites
60 100
20 × 20
50
16 × 16
40 10−2
εl 30 12 × 12 wn
20 10−4 20 × 20
10 12 × 12 16 × 16
0 10−6
0 40 80 120 160 200 0 500 1000 1500 2000
l n
Fig. 20.6. Density-matrix spectra for halves of N × N hopping models in their ground states.
The sizes are indicated in the figures. Left: Single-particle eigenvalues εl . Right: Total eigen-
values wn . After [12]
subsystem has two boundaries with the rest, one also finds two such states which
are practically degenerate and only differ in their reflection symmetry. As remarked
above, this leads to degeneracies in the wn and thus to a considerably slower decay
of the spectrum than if one has only one boundary. Such a feature was noted early
on when comparing DMRG calculations for open chains and rings. It also gives an
indication to what happens in two dimensions.
Spectra for homogeneous two-dimensional hopping models in the form of N ×
N squares which are divided into two halves of size N ×N/2 are shown in Fig. 20.6.
The lowest εl now have a kind of band structure with about N states in the lowest
band. These can be associated with the interface. The picture would be even clearer
if one considered a non-critical system where these states are more localized. This
band structure has drastic consequences for the wn , as seen on the right. After an
initial decay, the spectrum flattens extremely, because the corresponding wn can be
generated by a large number of different single-particle combinations. This indicates
that a DMRG calculation will not be successful in this case. Due to the long interface
one has a much higher entanglement in the wave function than in one dimension.
This feature will be discussed again in the next section in a somewhat different way.
20.6 Entanglement Entropy

In the previous section several examples have been given on how entangled states of
bipartite systems can be fully characterized by means of reduced density matrices.
However, in general this involves a large number of parameters and it would be use-
ful to have a simple measure that allows for an easy quantification and comparison
of entanglement content. This can be achieved by a generalization of the usual en-
tropy definition to reduced density matrices. The entanglement (also known as von
Neumann) entropy therefore reads

S1 = −Tr(ρ1 ln ρ1 ) = − wn ln wn , (20.18)
n
where the trace has been rewritten as a sum using the eigenvalues wn . The entropy
is defined in a way that certain basic requirements are automatically fulfilled. The
most important properties are as follows:
– The entropy is determined purely by the spectrum of ρ1 , which is known to be
identical to the spectrum of ρ2 , therefore S1 = S2 holds for arbitrary biparti-
tions, thus giving a measure of the mutual connection of the parts;
– The entropy vanishes for product states, and has a maximal value of S = ln M
when all the eigenvalues are equal, wn = 1/M for n = 1, 2, . . . , M . Using
this one can write in general S = ln Meff , where Meff is the effective number of
coupled states in parts 1 and 2.
Apart from these basic properties, the entanglement entropy shows features
which result from the specific underlying density-matrix spectra. Correspondingly,
they are different for critical and non-critical systems and depend on the dimension-
ality. We discuss this again for solvable models.
Consider the case of free fermions or bosons where the reduced density matrix
has the exponential form (20.9). Then the entanglement entropy is given by the same
expression as in thermodynamics, namely
εl
S=± ln(1 ± e−εl ) + , (20.19)
eεl ± 1
l l
where the upper (lower) sign refers to fermions (bosons), respectively. In one di-
mension, these sums can be evaluated analytically in terms of elliptic integrals, if
the εl have a linear dispersion as in (20.16) [15]. In this way, one can obtain S for
the non-critical transverse Ising chain, the XY chain or a chain of harmonic oscilla-
tors and finds that it is finite and typically of the order one. Thus the corresponding
ground states have Meff ∼ 1 − 10 and are only weakly entangled as can be seen also
from the density-matrix spectra.
The critical case is different, however, since as shown above the spectra then
vary with the size of the subsystem. Using the asymptotic form (20.17) for a segment
in a hopping model, one can evaluate S for large ln L by converting the sums into
integrals. This gives
⎡ ∞ ⎤
∞
2 ln L ⎣ ε ⎦ ,
S= dε ln(1 + e−ε ) + dε ε (20.20)
π2 e +1
0 0
and since both integrals equal π 2 /12 one obtains

1
S= ln L . (20.21)
3
This logarithmic behavior can already be observed in numerical calculations for rel-
atively small systems, where the law (20.17) is not yet strictly obeyed. It has been
found for a number of one-dimensional models which indicates that it is a universal

feature of the critical state. In fact, the result can be derived from conformal invari-
ance using the path-integral representation of the reduced density matrix [28, 29].
The prefactor of the logarithm is then seen to involve the so-called central charge c
which classifies the conformally invariant models. Besides that, it only depends on
the number of contact points ν = 1, 2 between the (singly connected) subsystem
and the rest of the chain. Thus one has for large L
c
S = ν ln L + k , (20.22)
6
where k is a non-universal constant depending on the the model parameters and
the geometry. Comparing (20.21) and (20.22), one sees that the hopping model cor-
responds to c = 1. The effective number of entangled states in a critical chain
therefore increases as a power of the subsystem size
Meff ∼ Lν c/6 . (20.23)
These results also show that the entanglement entropy belongs to the quantities dis-
playing critical behavior at a quantum phase transition. This is illustrated in Fig. 20.7
for the dimerized hopping model introduced in (20.15). The entropy is plotted there
against the dimerization parameter δ, which measures the distance from the critical
point δ = 0. With increasing subsystem size, the curves become more and more
peaked, signaling a singularity in the thermodynamic limit. One can also verify that
the entropy has the usual finite-size scaling properties [29]. These features were also
found in hopping models with an energy current [20].
For higher-dimensional systems, the spectra in Fig. 20.6 give some indication
on the behavior of the entropy. The low-lying band of εl roughly has the effect of
multiplying the contribution of one eigenvalue by the length of the interface. In-
deed, there is a long-standing conjecture, called the “area law”, which originated in
2.6 L = 300
2.4 L = 100
L = 50
2.2
L = 20
2
S(δ)
1.8
1.6
1.4
1.2
1
–0.1 –0.05 0 0.05
δ
Fig. 20.7. Entanglement entropy for segments of different size L in a one-dimensional hop-
ping model as a function of the dimerization parameter δ. The development of a singularity
in case of vanishing dimerization is clearly visible
the context of black-hole physics [35, 36]. It states, that the entropy of an entan-
gled state obtained by tracing out the degrees of freedom inside a given region in
space (the black hole) should scale with the surface area of that region (instead of its
volume). It was first checked numerically for massless bosonic fields in three spa-
tial dimensions [36] and has recently been proven for non-critical harmonic lattice
systems in arbitrary dimensions [24].
The idea of an area law is very plausible given the fact, that the entanglement
entropy measures mutual connections in a wave function. However, it is not univer-
sally valid. In one dimension, the surface area of a subsystem is just the number of
contact points with the rest of the system, which would lead to a constant entropy.
This is indeed the case for non-critical systems, but as the results presented above
show, not at criticality. It is therefore an intriguing question whether this is only a
peculiarity of these one dimensional systems. Several studies in this direction have
shown, that in the fermionic case the violation of the area law carries on to higher
dimensional critical systems [22, 37, 38], if the Fermi surface is finite [39]. Thus, to
leading order the behavior of the entropy for fermionic systems is given by
/
Ld−1 non-critical case
S∼ d−1
(20.24)
L ln L critical case
where L characterizes the linear dimension. By contrast, no logarithmic corrections

were found for bosonic systems in the case of a vanishing gap [22]. In terms of Meff ,
the area dependence leads to Meff ∼ exp(Ld−1 ) and thus to an exponentially large
number of coupled states. This is another way of formulating the difficulty treating
higher-dimensional systems with the DMRG algorithm.
The entanglement entropy has an interesting history. The first study dates back
to 1986 [35] and contained the postulate of the area law in an astrophysical context.
The idea was to interpret the black-hole entropy, originally coming from an effec-
tive thermodynamic description and proportional to the area of the event horizon,
as an entanglement entropy, thus ascribing a quantum mechanical origin to it. Some
years later, it was studied within field theory and called “geometric entropy” [28].
Its significance in connection with quantum critical phenomena was noted around
2003, with input from the field of quantum information. This triggered a large num-
ber of studies related in particular to its critical behavior. The most recent direction
concerns its time dependence after a quench in the system [21, 40].
As noted above, the entanglement entropy explains the much larger effort which
is necessary for treating critical or higher dimensional systems with DMRG. How-
ever, it has also been used in a constructive way to find an optimal order of the
single-particle basis states and an optimal size of the blocks in quantum-chemical
applications of the DMRG, where the orbitals play the role of the sites in spin
chains [41].
20.7 Matrix-Product States

In this last section we want to discuss a particular class of entangled states which
occurs in certain spin systems and also in the DMRG algorithm.
Consider, for example, a chain of N spins one-half. A general product state
analogous to (20.2) is then, in a slightly different notation,
N
0 ) *
|Ψ = an (+) |+n + an (−) |−n . (20.25)
n=1
Thus at each site one has two coefficients for the two spin directions. Multiplying
out the product, one can write this as

|Ψ = c(s) |s , (20.26)
s
where s = (s1 , s2 , . . . , sN ) denotes a configuration of all spins and the coefficient

c(s) is the product
c(s) = a1 (s1 ) a2 (s2 ) . . . aN (sN ) . (20.27)
This can be generalized in the following way. Instead of two numbers an (sn ) one
associates two matrices An (sn ) with each site n. These matrices operate in an aux-
iliary space. The weight of a configuration is then calculated by forming a product
as in (20.27). The result is now a matrix from which one still has to obtain a number.
This can be done in two obvious ways. For a ring, one simply takes the trace
c(s) = Tr (A1 (s1 ) A2 (s2 ) . . . AN (sN )) , (20.28)
whereas, for an open chain, one uses boundary vectors in the auxiliary space
c(s) = u′ A1 (s1 ) A2 (s2 ) . . . AN (sN ) v . (20.29)
The simplest case is a homogeneous state where the matrices are the same for all
sites. Such states were first considered in the eighties [42, 43] and occur as ground
states of certain spin chains with competing interactions [44]. The best-known ex-
ample is the spin-one chain with bilinear and biquadratic interactions and a certain
ratio of the couplings, where the valence-bond ground state [45] can be written in
this form using 2 × 2 matrices. They also appear in non-equilibrium models describ-
ing, for example, the diffusion of hard-core particles between two reservoirs. This
case corresponds to (20.29) and, depending on the parameters, the dimension m of
the matrices can be finite or infinite [46].
These states have two important properties:

– They have a finite entanglement governed by the dimension of the matrices;
– For homogeneous states, the correlation functions are sums of m2 − 1 expo-
nentials, unless the matrices have special features, and the correlation length is
finite.
The first property can be seen very easily. For an open chain which is divided into
two parts, there are m connections between the matrix product to the left and to the
right of the interface. Thus
m

|Ψ = βn |φ1n |φ2n . (20.30)
n=1
This is not yet the Schmidt decomposition (20.5) because in general the states |φαn
are not orthogonal. Nevertheless, the number of terms in the Schmidt decomposi-
tion is limited by m, the dimension of the matrices. For a ring, where one has two
interfaces, it is limited by m2 . Correspondingly, the reduced density matrices have
up to m resp. m2 non-zero eigenvalues. If m is small, this gives the possibility to
detect such states by investigating the density-matrix spectrum [47].
The second property excludes in principle the description of critical systems
by such a state. However, taking the matrices large enough, one may still obtain a
very good approximation for a system of finite size. The question of representing a
quantum state in terms of a matrix product has recently been investigated in detail
[48]. This was motivated partly by the fact that the DMRG produces its approximate
wave function in the form of an (inhomogeneous) matrix product [49], as will be
discussed in the next contribution. An alternative to the usual DMRG procedure
could then be to start with a matrix-product Ansatz from the beginning and to find
the matrices for the ground state by minimizing the energy [50]. This idea can be
extended to higher dimensions [51]. For example, in a square lattice the analogue of
the matrices would be fourth-order tensors which permit to connect each site to its
four neighbors.
20.8 Summary
In this contribution we have discussed quantum states in terms of their entangle-
ment properties. This approach is an alternative to the conventional characterization
via correlation functions and the topic of intense current research. It also provides
the framework in which the DMRG operates. Some knowledge of it is therefore
indispensable for a deeper understanding and an appreciation of the nature of this
intriguing numerical method. We have dealt with particular many-body states in or-
der to illustrate basic features of entanglement. The DMRG is also an ideal tool if
one wants to study these features for more complicated systems, because the algo-
rithm is based on density-matrix spectra and determines them routinely. However, it
has much wider applications as will be described in the following chapters.
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21 Density-Matrix Renormalization
Group Algorithms
Eric Jeckelmann
Institut für Theoretische Physik, Leibniz Universität Hannover, 30167 Hannover, Germany
In this chapter I will introduce the basic Density Matrix Renormalization Group
(DMRG) algorithms for calculating ground states in quantum lattice many-body
systems using the one-dimensional spin- 21 Heisenberg model as illustration. I will
attempt to present these methods in a manner which combines the advantages of
both the traditional formulation in terms of renormalized blocks and superblocks
and the new description based on matrix-product states. The latter description is
physically more intuitive but the former description is more appropriate for writing
an actual DMRG program. Pedagogical introductions to DMRG which closely fol-
low the original formulation are available in [2, 1]. The conceptual background of
DMRG and matrix-product states is discussed in the previous chapter and should be
read before. Extensions of the basic DMRG algorithms are presented in the chapters
that follow this one.
21.1 Introduction
The DMRG was developed by White [3, 4] in 1992 to overcome the problems
arising in the application of real-space renormalization groups to quantum lattice
many-body systems in solid-state physics. Since then the approach has been ex-
tended to a great variety of problems in all fields of physics and even in quantum
chemistry. The numerous applications of DMRG are summarized in two recent re-
view articles [5, 6]. Additional information about DMRG can be found at http:
//www.dmrg.info.
Originally, DMRG has been considered as an extension of real-space renor-
malization group methods. The key idea of DMRG is to renormalize a system us-
ing the information provided by a reduced density matrix rather than an effective
Hamiltonian (as done in most renormalization groups), hence the name density-
matrix renormalization. Recently, the connection between DMRG and matrix-
product states has been emphasized (for a recent review, see [7]) and has lead to
significant extensions of the DMRG approach. From this point of view, DMRG
is an algorithm for optimizing a variational wavefunction with the structure of a
matrix-product state.
The outline of this chapter is as follows: First I briefly introduce the DMRG
matrix-product state and examine its relation to the traditional DMRG blocks and
E. Jeckelmann: Density-Matrix Renormalization Group Algorithms, Lect. Notes Phys. 739, 597–619 (2008)
DOI 10.1007/978-3-540-74686-7 21
598 E. Jeckelmann
superblocks in Sect. 1. In the next three Sect. I present a numerical renormaliza-

tion group method, then the infinite-system DMRG algorithm, and finally the finite-
system DMRG algorithm. In Sect. 5 the use of additive quantum numbers is ex-
plained. In the next two sections the estimation of numerical errors and code opti-
mization are discussed. In the last section some extensions of DMRG are presented.
21.2 Matrix-Product States and (Super-)Blocks

We consider a quantum lattice system with N sites n = 1, . . . , N . Let B(n) =
{|sn ; sn = 1, . . . , dn } denote a complete basis of the Hilbert space for site n (all
bases used here are orthonormal). The tensor product of these bases yields a com-
plete basis of the system Hilbert space H
{|s = (s1 , . . . , sN ) = |s1 ⊗ · · · ⊗ |sN ; sn = 1, . . . , dn ; n = 1, . . . , N } . (21.1)
For instance, for the spin- 21 Heisenberg model dn = 2 and B(n)= {| ↑, | ↓}.
Any state |ψ of H can be expanded in this basis: |ψ = s c(s)|s. As ex-
plained in Chap. 20, the coefficients c(s) can take the form of a matrix product.
Here we consider a particular matrix-product state
c(s) = A1 (s1 ) . . . Aj (sj )Cj Bj+1 (sj+1 ) . . . BN (sN ) , (21.2)
where Cj is a (aj ×bj+1 )-matrix (i.e., with aj rows and bj+1 columns). The (an−1 ×
an )-matrices An (sn ) (for sn = 1, . . . , dn ; n = 1, . . . , j) and the (bn × bn+1 )-
matrices Bn (sn ) (for sn = 1, . . . , dn ; n = j + 1, . . . , N ) fulfill the orthonormaliza-
tion conditions
dn
dn

(An (sn ))† An (sn ) = I and Bn (sn ) (Bn (sn ))† = I , (21.3)
sn =1 sn =1
(I is the identity matrix), and the boundary condition a0 = bN +1 = 1. These condi-

An AN
tions imply that an ≤ dn an−1 ≤ k=1 dk and bn ≤ dn bn+1 ≤ k=n dk .
Obviously, this matrix-product state splits the lattice sites in two groups. The
sites n = 1, . . . , j make up a left block L(j) and the sites n = j + 1, . . . , N
constitute a right block R(j + 1). From the matrix elements of An (sn ) and Bn (sn )
we can define third-rank tensors
L(n)
φα (α′ , sn ) = [An (sn )](α′ , α) , (21.4)
for sn = 1, . . . , dn ; α = 1, . . . , an , and α′ = 1, . . . , an−1 , and

R(n)
φβ (sn , β ′ ) = [Bn (sn )](β, β ′ ) , (21.5)
for sn = 1, . . . , dn ; β = 1, . . . , bn , and β ′ = 1, . . . , bn+1 . Using these tensors one

can iteratively define a set of orthonormal states in the Hilbert space associated with
each left block
21 Density-Matrix Renormalization Group Algorithms 599
"
" L(1)
"φα = |s1 ; α = s1 = 1, . . . , d1 ;
" a
n−1 dn
"
" L(n) L(n) " L(n−1)
"φα = φα (α′ , sn ) "φα′ ⊗ |sn ; α = 1, . . . , an ,
α′ =1 sn =1
(21.6)
and each right block

"
" R(N )
"φβ = |sN ; β = sN = 1, . . . , dN ;
" b
n+1 dn
R(n) "
" R(n) " R(n+1)
"φβ = φβ (sn , β ′ ) |sn ⊗ "φβ ′ ; β = 1, . . . , bn .
β ′ =1 sn =1
(21.7)
The orthonormality of each set of block states (i.e., the states belonging to the same
block Hilbert space) follows directly from the orthonormalization conditions for the
matrices An (sn ) and Bn (sn ).
Every set of block states spans a subspace of the Hilbert space associated with
the block. Using these states one can build an effective or renormalized (i.e., ap-
proximate) representation of dimension an or bn for every block. By definition, an
effective representation of dimension an for the block L(n) is made of vector and
matrix representations in a subspace basis B(L, n) for every state and operator
An (act-
ing on sites in L(n)) which our calculation requires. Note that if an = k=1 dk ,
the block state set is a complete basis of the block Hilbert space and the “effective”
representation is actually exact. An effective representation of dimension bn for a
right block R(n) is defined similarly using a subspace basis B(R, n).
If we combine the left block L(j) with the right block R(j + 1), we obtain
a so-called superblock {L(j) + R(j + 1)} which contains the sites 1 to N . The
tensor-product basis B(SB, j) = B(L, j) ⊗ B(R, j + 1) of the block bases is called
a superblock basis and spans a (aj bj+1 )-dimensional subspace of the system Hilbert
space H. The matrix-product state given by (21.2) can be expanded in this basis
aj bj+1
R(j+1)
L(j)
|ψ = [Cj ](α, β) |φα φβ , (21.8)
α=1 β=1
where [Cj ](α, β) denotes the matrix elements of Cj and

L(j) R(j+1) L(j) R(j+1)
|φα φβ = |φα ⊗ |φβ ∈ B(SB, j) . (21.9)
We note that the square norm of |ψ is given by ψ|ψ = Tr C†j Cj .

Aj AN
If aj = n=1 dn and bj+1 = n=j+1 dn , the superblock basis B(SB, j) is a
complete basis of H and any state |ψ ∈ H can be written in the form (21.8). For
a large lattice these conditions mean that some matrix dimensions are very large
(at least 2N/2 for a spin- 21 model). However, a matrix-product state is numerically
600 E. Jeckelmann
tractable only if all matrix dimensions are kept small, for instance an , bk ≤ m with
m up to a few thousands. A matrix-product state with restricted matrix sizes can be
considered as an approximation for states in H. In particular, it can be used as a vari-
ational ansatz for the ground state of the system Hamiltonian H. Thus the system en-
ergy E = ψ|H|ψ/ψ|ψ is a function of the matrices An (sn ), Bn (sn ), and Cj . It
has to be minimized with respect to these variational parameters subject to the con-
straints (21.3) to determine the ground state. In the following sections I will present
three algorithms (a numerical renormalization group, the infinite-system DMRG
method, and the finite-system DMRG method) for carrying out this minimization.
21.3 Numerical Renormalization Group

The Numerical Renormalization Group (NRG) method was developed by Wilson a
few decades ago to solve the Kondo impurity problem [8]. The key idea is a decom-
position of the lattice into subsystems (blocks) of increasing size. To calculate the
ground state properties of a large lattice one starts from an exact representation of
a small subsystem and builds effective representations of larger subsystems itera-
tively, adding one site at every iteration as illustrated in Fig. 21.1. Here I formulate
this procedure for a quantum lattice system in the framework of a matrix-product
state (21.2). To find a fixed point in an infinite chain, we consider that j ≡ N
in (21.2) while for a finite lattice size N we set bn = 1 for all sites n. In both cases
the right blocks do not play any role and j is increased by one in every iteration
using the following procedure.
We want to calculate an effective representation of dimension aj+1 for the left
block L(j + 1) assuming that we know an effective representation of dimension aj
for the left block L(j). First, from the known bases B(L, j) of L(j) and B(j + 1) for
the site j + 1 we can define a tensor-product basis of dimension aj dj+1 for L(j + 1)
" "
" L(j) " L(j)
"φα sj+1 = "φα ⊗ |sj+1 , (21.10)
with α = 1, . . . , aj and sj+1 = 1, . . . , dj+1 . Second, every operator acting on sites

in L(j + 1) can be decomposed into a sum of operator pairs
Fig. 21.1. Schematic representations of the NRG method (left), the infinite-system DMRG
(center), and the finite-system DMRG (right). Solid circles are lattice sites and ovals are
blocks. Going from top to bottom corresponds to the iterations L(1) → L(2) → · · · →
L(5) for the three methods. In the right picture, going from bottom to top corresponds to
the iterations R(N = 8) → R(7) → · · · → R(4) in a sweep from right to left of the
finite-system DMRG

O= OL,k OS,k , (21.11)
k
where the operators OL,k act only on sites in L(j) and the operators OS,k act only
on the site j + 1. For instance, the (one-dimensional) Heisenberg Hamiltonian on
the block L(j + 1)
j
H= S n S n+1 , (21.12)
n=1
can be decomposed as
j−1
1 + −

H= S n S n+1 ⊗ I + Sjz ⊗ Sj+1
z
+ Sj ⊗ Sj+1 + Sj− ⊗ Sj+1
+
, (21.13)
n=1
2
where I is the identity operator and S n , Snz , Sn+ , Sn− are the usual spin operators for
the site n. As a result the matrix representation of O in the basis (21.10)
" "
" " L(j)
O(α, sj+1 , α′ , s′j+1 ) = φα
L(j)
sj+1 " O "φα′ s′j+1 , (21.14)
is given by

O(α, sj+1 , α′ , s′j+1 ) = OL,k (α, α′ ) OS,k (sj+1 , s′j+1 ) , (21.15)
k
where " "

L(j) " L,k " L(j)
OL,k (α, α′ ) = φα " O "φα′ (21.16)
denotes the known matrix representations of OL,k in the basis B(L, j) of the block
L(j). The matrix representations of the site operators
"
OS,k (sj+1 , s′j+1 ) = sj+1 | OS,k "s′j+1 , (21.17)
can be calculated exactly. For instance, they correspond to the Pauli matrices for the
spin operators Snx , Sny , Snz in the spin- 21 basis B(n) = {| ↑, | ↓}.
Using this procedure we can construct the matrix representation (21.14) of
the Hamiltonian (restricted to the block L(j + 1)) in the basis (21.10). This ma-
trix can be fully diagonalized numerically. In practice, this sets an upper limit of
L(j+1)
a few thousands on aj dj+1 . The eigenvectors are denoted φμ (α, sj+1 ) for
L(j+1)
μ = 1, . . . , aj dj+1 and are ordered by increasing eigenenergies ǫμ . The aj+1
eigenvectors with the lowest eigenenergies are used to define a new basis B(L, j +1)
of L(j + 1) through (21.6) and the other eigenvectors are discarded. The matrix rep-
resentation in B(L, j + 1) for any operator acting in L(j + 1)
" "
" " L(j+1)
O(μ, μ′ ) = φL(j+1)μ " O "φμ′ ; μ, μ′ = 1, . . . , aj+1 , (21.18)
602 E. Jeckelmann
can be calculated using the orthogonal transformation and projection defined by the
reduced set of eigenvectors. Explicitly, we have to perform two successive matrix
products
aj dj+1
L(j+1)
M (α, sj+1 , μ′ ) = O(α, sj+1 , α′ , s′j+1 ) φμ′ (α′ , s′j+1 ) ,
α′ =1 s′j+1 =1
aj dj+1
∗

O(μ, μ′ ) = φμL(j+1) (α, sj+1 ) M (α, sj+1 , μ′ ) . (21.19)
α=1 sj+1 =1
Vector representations of states in L(j + 1) can be obtained using the same princi-
ples. Therefore, we have obtained an effective representation of dimension aj+1 for
the block L(j + 1). We note that the block states (21.6) are not explicitly calculated.
Only matrix and vector representations for operators and states in that basis and the
transformation from a basis to the next one need to be calculated explicitly.
Once the effective representation of L(j + 1) has be determined, the procedure
can be repeated to obtain the effective representation of the next larger block. This
procedure has to be iterated until j + 1 = N for a finite system or until a fixed
point is reached if one investigates an infinite system. After the last iteration phys-
ical quantities for the (approximate) ground state and low-energy excitations can
be calculated using the effective representation of L(N ). For instance, expectation
values are given by
aN

ψ|O|ψ = [C†N ](μ) O(μ, μ′ ) [CN ](μ′ ) , (21.20)
μ,μ′ =1
where O(μ, μ′ ) is the matrix representation of O in the basis B(L, N ) and CN is the
(aN × 1)-matrix corresponding to the state |ψ in (21.2) and (21.8). For the ground
state we obviously have [CN ](μ) = δμ,1 .
The NRG method is efficient and accurate for quantum impurity problems such
as the Kondo model but fails utterly for quantum lattice problems such as the
Heisenberg model. One reason is that in many quantum systems the exact ground
state can not be represented accurately by a matrix-product state (21.2) with re-
stricted matrix sizes. However, another reason is that in most cases the NRG algo-
rithm does not generate the optimal block representation for the ground state of a
quantum lattice system and thus does not even find the matrix-product state (21.2)
with the minimal energy for given matrix sizes.
21.4 Infinite-System DMRG Algorithm

The failure of the NRG method for quantum lattice problems can be understood
qualitatively. The subsystem represented by a block L(n) always has an artificial
boundary at which the low-energy eigenstates of a quantum lattice Hamiltonian
tend to vanish. Thus at later iterations the low-energy eigenstates of the effective
Hamiltonian in larger subsystems have unwanted features like nodes where the ar-
tificial boundaries of the previous subsystems were located. White and Noack [9]
have shown that this difficulty can be solved in single-particle problems if the ef-
fects of the subsystem environment are taken into account self-consistently. DMRG
is the application of this idea to many-particle problems. In his initial papers [3, 4],
White described two DMRG algorithms: The infinite-system method presented in
this section and the finite-system method discussed in the next section.
The infinite-system method is certainly the simplest DMRG algorithm and is
the starting point of many other DMRG methods. In this approach the system size
increases by two sites in every iteration, N → N + 2, as illustrated in Fig. 21.1. The
right block R(j + 1) is always an image (reflection) of the left block L(j), which
implies that j ≡ N/2 in (21.2). Therefore, the superblock structure is {L(N/2) +
R(N/2 + 1)} and an effective representation for the N -site system is known if we
have determined one for L(N/2).
As in the NRG method an iteration consists in the calculation of an effective
representation of dimension aj+1 for the block L(j + 1) assuming that we already
know an effective representation of dimension aj for the block L(j). First, we pro-
ceed as with the NRG method and determine an effective representation of dimen-
sion aj dj+1 for L(j + 1) using the tensor product basis (21.10). Next, the effective
representation of R(j + 2) is chosen to be an image of L(j + 1). The quantum
system is assumed to be homogeneous and symmetric (invariant under a reflection
n → n′ = N − n + 3 through the middle of the (N+2)-site lattice) to allow for
this operation. Therefore, one can define a one-to-one mapping between the site
and block bases on the left- and right-hand sides of the superblock. We consider a
mapping between the tensor product bases for L(j + 1) and R(j + 2)
" "
" L(j) " R(j+3)
"φα sj+1 ↔ "sj+2 φβ . (21.21)
Thus, the matrix representation of any operator acting in R(j + 2)

" "
R(j+3) " " R(j+3)
O(sj+2 , β, s′j+2 , β ′ ) = sj+2 φβ " O "s′j+2 φβ ′ , (21.22)
is given by the matrix representation (21.14) of the corresponding (reflected) opera-

tor in L(j + 1) through the basis mapping.
A superblock basis B(SB, j + 1) of dimension Dj+1 = aj dj+1 dj+2 bj+3 can
be defined using the tensor product of the block bases
" " "
" L(j) R(j+3) " " R(j+3)
"φα sj+1 sj+2 φβ = "φL(j)
α sj+1 ⊗ "sj+2 φβ , (21.23)
for α = 1, . . . , aj ; sj+1 = 1, . . . , dj+1 ; sj+2 = 1, . . . , dj+2 ; and β = 1, . . . , bj+3 .

Every operator acting on the superblock (i.e., the (N + 2)-site lattice) can be de-
composed in a sum of operator pairs
604 E. Jeckelmann
nk

O= OL,k OR,k , (21.24)
k=1
where the operator parts OL,k and OR,k act on sites in L(j + 1) and R(j + 2),
respectively. As an example, the Heisenberg Hamiltonian on a (N + 2)-site chain
can be written
j
N
+1
H= S n S n+1 ⊗ I + I ⊗ S n S n+1 +
n=1 n=j+2
z z 1 + − − +

Sj+1 ⊗ Sj+2 + Sj+1 ⊗ Sj+2 + Sj+1 ⊗ Sj+2 , (21.25)
2
where I is the identity operator. Therefore, the matrix representation of any operator
in the superblock basis
O(α, sj+1 , sj+2 , β, α′ , s′j+1 , s′j+2 , β ′ ) =

" "
R(j+3) " " L(j) R(j+3)
φL(j)
α sj+1 sj+2 φβ " O "φα′ s′j+1 s′j+2 φβ ′ , (21.26)
(for α, α′ = 1, . . . , aj ; sj+1 , s′j+1 = 1, . . . , dj+1 ; sj+2 , s′j+2 = 1, . . . , dj+2 ; and

β, β ′ = 1, . . . , bj+3 ) is given by the sum of the tensor products of the matrix repre-
sentations (21.14) and (21.22) for the block operators
O(α, sj+1 , sj+2 , β, α′ , s′j+1 , s′j+2 , β ′ ) =

nk

OL,k (α, sj+1 , α′ , s′j+1 ) OR,k (sj+2 , β, s′j+2 , β ′ ) . (21.27)
k=1
Storing the matrix representations (21.14) and (21.22) for the block operators
requires a memory amount ∝ nk [(aj dj+1 )2 + (dj+2 bj+3 )2 ], but calculating and
storing the superblock matrix (21.26) require nk (Dj+1 )2 additional operations and
a memory amount ∝ (Dj+1 )2 . As the number of operator pairs nk is typically much
smaller than the matrix dimensions aj , bj+3 (nk = 5 in the Heisenberg model on a
open chain), one should not calculate the superblock matrix representation (21.26)
explicitly but work directly with the right-hand side of (21.27). For instance, the ap-
plication of the operator O to a state |ψ ∈ H yields a new state |ψ ′ = O|ψ, which
can be calculated without computing the superblock matrix (21.26) explicitly. If
"
L(j) R(j+3) "
[Cj+1 ](α, sj+1 , sj+2 , β) = φα sj+1 sj+2 φβ "ψ , (21.28)
is the vector representation of |ψ in the superblock basis (21.23), the vector repre-
sentation C′j+1 of |ψ ′ in this basis is obtained through double matrix products with
the block operator matrices in (21.27)
Vk (α′ , s′j+1 , sj+2 , β)

bj+3
d
j+2
= [Cj+1 ](α′ , s′j+1 , s′j+2 , β ′ ) OR,k (sj+2 , β, s′j+2 , β ′ ) ,

β ′ =1 s′j+2 =1
[C′j+1 ](α, sj+1 , sj+2 , β)

aj
nk dj+1

= OL,k (α, sj+1 , α′ , s′j+1 )Vk (α′ , s′j+1 , sj+2 , β) .
k=1 α′ =1 s′j+1 =1
(21.29)
Performing these operations once requires only nk Dj+1 (aj dj+1 +dj+2 bj+3 ) opera-
tions, while computing a matrix-vector product using the superblock matrix (21.26)
would require (Dj+1 )2 operations. In practice, this sets an upper limit of the order
of a few thousands for the matrix dimensions an , bn .
As we want to calculate the ground state of the system Hamiltonian H, the next
task is to set up the superblock representation (21.27) of H and then to determine
the vector representation (21.28) of its ground state in the superblock basis. To de-
termine the ground state without using the superblock matrix (21.26) of H we use
iterative methods such as the Lanczos algorithm or the Davidson algorithm, see
Chap. 18. These algorithms do not require an explicit matrix for H but only the
operation |ψ ′ = H|ψ, which can be performed very efficiently with (21.29) as
discussed above.
Once the superblock ground state Cj+1 has been determined, the next step is
finding an effective representation of dimension aj+1 < aj dj+1 for L(j + 1)
which described this ground state as closely as possible. Thus we look for the
best approximation C # j+1 of the superblock ground state Cj+1 with respect to a
new basis B(L, j + 1) of dimension aj+1 for L(j + 1). As discussed in Chap. 20
this can be done using the Schmidt decomposition or more generally reduced den-
sity matrices. Choosing the density-matrix eigenvectors with the highest eigenval-
ues is an optimal choice for constructing a smaller block basis (see Sect. 21.7).
Therefore, if the DMRG calculation targets a state with a vector representation
[Cj+1 ](α, sj+1 , sj+2 , β) in the superblock basis (21.23), we calculate the reduced
density matrix for the left block L(j + 1)
ρ(α, sj+1 , α′ , s′j+1 )
dj+2 bj+3
∗
= ([Cj+1 ](α, sj+1 , sj+2 , β)) [Cj+1 ](α′ , s′j+1 , sj+2 , β)
sj+2 =1 β=1
(21.30)
for α, α′ = 1, . . . , aj and sj+1 , s′j+1 = 1, . . . , dj+1 . This density matrix has aj dj+1
eigenvalues wμ ≥ 0 with
aj dj+1

wμ = 1 . (21.31)
μ=1
606 E. Jeckelmann
L(j+1)
We note φμ (α, sj+1 ) the corresponding eigenvectors. The aj+1 eigenvectors
with the largest eigenvalues are used to define a new basis B(L, j + 1) of L(j + 1)
through (21.6) and the other eigenvectors are discarded. As done in the NRG
method, the matrix representation of any operator in L(j + 1) can be calculated
using the orthogonal transformation and projection (21.19) defined by the reduced
set of eigenvectors. If necessary, vector representations of states in L(j + 1) can be
obtained using the same principles.
Thus, we have obtained an effective representation of dimension aj+1 for the
block L(j + 1). We note that as with the NRG method the block states (21.6) are not
explicitly calculated. Only matrix and vector representations of operators and states
in that basis and the transformation from a basis to the next one need to be calculated
explicitly. The procedure can be repeated to obtain an effective representation of the
next larger blocks (i.e., for the next larger lattice size). Iterations are continued until
a fixed point has been reached.
As an illustration Fig. 21.2 shows the convergence of the ground state energy per
site as a function of the superblock size N in the one-dimensional spin- 21 Heisen-
berg model. The energy per site EDMRG (N ) is calculated from the total energy E0
for two consecutive superblocks EDMRG (N ) = [E0 (N )−E0 (N −2)]/2. The exact
result for an infinite chain is Eexact = 41 − ln(2) according to the Bethe ansatz solu-
tion [10]. The matrix dimensions an , bn are chosen to be not greater than a number
m which is the maximal number of density-matrix eigenstates kept at each itera-
tion. As N increases, EDMRG (N ) converges to a limiting value EDMRG (m) which
is the minimal energy for a matrix-product state (21.2) with matrix dimensions up
to m. This energy minimum EDMRG (m) is always higher than the exact ground
state energy Eexact as expected for a variational method. The error in EDMRG (m)
is dominated by truncation errors, which decrease rapidly as the number m increases
(see the discussion of truncation errors in Sect. 21.7).
Once a fixed point has been reached, ground state properties can be calculated.
For instance, a ground state expectation value Ō = ψ|O|ψ is obtained in two
10–2
10–3
EDMRG(N) - Eexact
10–4 m = 20
10–5 m = 50
10–6
10–7 m = 100
10–8 0 1000 2000

500 1500
N
Fig. 21.2. Convergence of the ground state energy per site calculated with the infinite-system
DMRG algorithm in a spin- 12 Heisenberg chain as a function of the superblock size N for
three different numbers m of density-matrix eigenstates kept
steps: First, one calculates |ψ ′ = O|ψ using (21.29), then the expectation value is
computed as a scalar product Ō = ψ|ψ ′ . Explicitly,
ψ|ψ ′ =
aj dj+1 dj+2 bj+3
∗
([Cj+1 ](α, sj+1 , sj+2 , β)) [C′j+1 ](α, sj+1 , sj+2 , β) .
α=1 sj+1 =1 sj+2 =1 β=1
(21.32)
Experience shows that the infinite-system DMRG algorithm yields accurate

results for local physical quantities such as spin density and short-range spin corre-
lations in quantum lattice systems with “good” features (infinite homogeneous one-
dimensional systems with short-range interactions such as the Heisenberg model on
an open chain). These local quantities are calculated using operators O acting only
on sites around the middle of the last (i.e., longest) lattice (more precisely, in an
interval of length N − N ′ around the center of a N -site lattice if the fixed point has
been reached after N ′ /2 < N/2 iterations). For other types of systems and other
physical quantities the infinite-system algorithm fails in most cases. The reasons for
these failures are the same as for NRG. First, the exact ground state may not be
represented accurately by a matrix-product state (21.2) with restricted matrix sizes.
For instance, the matrix-product state cannot reproduce long-range power-law cor-
relations, see Chap. 20. Second, very often the infinite-system DMRG algorithm
does not generate the optimal block representation for the ground state (i.e., does
not find the best possible matrix-product state (21.2) for preset matrix sizes) when
the system does not have the good features mentioned above.
21.5 Finite-System DMRG Algorithm

The finite-system method is a more versatile DMRG algorithm than the infinite-
system method as it can be applied to almost any quantum lattice problem. It is
also more reliable as it always finds the best possible matrix-product representa-
tion (21.2) for a given quantum state. In the finite-system DMRG method the lattice
size N is kept constant. The superblock structure is {L(j) + R(j + 1)}, where j is
varied iteratively by one site from N − 2 to 2 in a sweep from right to left and from
2 to N − 2 in a sweep from left to right, see Fig. 21.1. If the system has the reflec-
tion symmetry used in the infinite-system algorithm, j need to be varied from N/2
to 2 and back only. At the start of the finite-system algorithm, one calculates effec-
tive representations for the left blocks L(1) to L(N − 3) using the NRG method, the
infinite-system DMRG algorithm, or other methods, even using random transforma-
tions in (21.6), as they can be poor approximations of the optimal representations.
This initial calculation is called the warmup sweep.
We first proceed with a sweep through the lattice from right to left, reducing
j by one at every iteration starting from j = N − 2. For this purpose, we have
to compute an effective representation of dimension bj+1 for R(j + 1) using the
608 E. Jeckelmann
effective representation of dimension bj+2 for the right block R(j + 2) calculated
in the previous iteration. For the first iteration j = N − 2, the exact representation
of R(N ) is used. As done for left blocks in the NRG and infinite-system DMRG
algorithm, we first define a tensor-product basis of dimension dj+1 bj+2 for the new
right block using the site basis B(j + 1) and the subspace basis B(R, j + 2) of
R(j + 2)
" "
" R(j+2) " R(j+2)
"sj+1 φβ = |sj+1 ⊗ "φβ , (21.33)
for sj+1 = 1, . . . , dj+1 and β = 1, . . . , bj+2 . The matrix representation (21.22) of

any operator O acting in R(j + 1) can be calculated similarly to (21.15)

O(sj+1 , β, s′j+1 , β ′ ) = OS,k (sj+1 , s′j+1 ) OR,k (β, β ′ ) , (21.34)
k
where the OS,k (sj+1 , s′j+1 ) are site-operator matrices (21.17) and OR,k (β, β ′ ) de-
notes the known matrix representations of operators acting on sites of R(j + 2)
in the basis B(R, j + 2). Thus we obtain an effective representation of dimension
dj+1 bj+2 for R(j +1). Next, we use the available effective representation of dimen-
sion aj−1 for the left block L(j − 1), which has been obtained during the previous
sweep from left to right (or the result of the warmup sweep if this is the first sweep
from right to left). With this block L(j − 1) we build an effective representation of
dimension aj−1 dj for L(j) using a tensor-product basis (21.10) as done in the NRG
and infinite-system DMRG methods.
Now we consider the superblock {L(j) + R(j + 1)} and its tensor-product basis
analogue to (21.23) and set up the representation of operators in this basis, espe-
cially the Hamiltonian, similarly to (21.27). As for the infinite-system algorithm we
determine the ground state Cj of the superblock Hamiltonian in the superblock ba-
sis using the Lanczos or Davidson algorithm and the efficient implementation of the
matrix-vector product (21.29). Typically, we have already obtained a representation
of the ground state Cj+1 for the superblock configuration {L(j + 1) + R(j + 2)} in
the previous iteration. This state can be transformed exactly in the superblock basis
for {L(j) + R(j + 1)} using
[CG
j ](α, sj , sj+1 , β) =
aj dj+2
L(j)
b
j+3
R(j+2)

∗
φα′ (α, sj ) [Cj+1 ](α′ , sj+1 , sj+2 , β ′ ) φβ (sj+2 , β ′ ) ,
α′ =1 sj+2 =1 β ′ =1
(21.35)
for α = 1, . . . , aj−1 ; sj = 1, . . . , dj ; sj+1 = 1, . . . , dj+1 ; and β = 1, . . . , bj+2 .

R(j+2)
The functions φβ (sj+2 , β ′ ) are the density-matrix eigenvectors of R(j + 2)
L(j)
calculated in the previous iteration while the functions φα′ (α, sj ) are the density-
matrix eigenvectors of L(j) calculated during the previous sweep from left to right
(or during the warmup sweep if this is the first sweep from right to left). The state
CGj can be used as the initial vector for the iterative diagonalization routine. When
the finite-system DMRG algorithm has already partially converged, this initial state
CGj is a good guess for the exact ground state Cj of the superblock Hamiltonian in
the configuration {L(j) + R(j + 1)} and thus the iterative diagonalization method
converges in a few steps. This can result in a speed up of one or two orders of
magnitude compared to a diagonalization using a random initial vector CG j .
Once the superblock representation Cj of the targeted ground state has been
obtained, we calculate the reduced density matrix for the right block R(j + 1)
ρ(sj+1 , β, s′j+1 , β ′ )
dj aj−1
∗
= ([Cj ](α, sj , sj+1 , β)) [Cj ](α, sj , s′j+1 , β ′ ) , (21.36)
sj=1 α=1
for β, β = 1, . . . , bj+2 and sj+1 , s′j+1 = 1, . . . , dj+1 . We denote the eigenvectors

′
R(j+1)
of this density matrix φμ (sj+1 , β) with μ = 1, . . . , dj+1 bj+2 . The bj+1 eigen-
vectors with the largest eigenvalues are chosen to define a new basis B(R, j + 1)
of R(j + 1) through (21.7) and the other eigenvectors are discarded. As already
mentioned in the previous section, this is the optimal choice for preserving Cj while
reducing the basis dimension from dj+1 bj+2 to bj+1 (see Chap. 20 and Sect. 21.7
for more detail). The matrix representation of any operator acting only on sites in
R(j + 1) can be calculated in the new basis with two successive matrix products
bj+2
d
j+1
R(j+1)
M (sj+1 , β, μ′ ) = O(sj+1 , β, s′j+1 , β ′ ) φμ′ (s′j+1 , β ′ ) ,
β ′ =1 s′j+1 =1
bj+2
d
j+1
∗
O(μ, μ′ ) = φμR(j+1) (sj+1 , β) M (sj+1 , β, μ′ ) , (21.37)
β=1 sj+1 =1
for μ, μ′ = 1, . . . , bj+1 as done for a right block in (21.19).

Thus we have obtained an effective representation of dimension bj+1 for the
right block R(j + 1). We note that the block states (21.7) are not explicitly calcu-
lated. Only matrix and vector representations of operators and states in that basis
and the transformation from a basis to the next one need to be calculated explicitly.
The procedure is repeated in the next iteration to obtain an effective representation
for the next larger right block. Iterations are continued until the sweep from right
to left is completed (j + 1 = 3). This right-to-left sweep is illustrated in the right
picture of Fig. 21.1 going from bottom to top.
Then we exchange the roles of the left and right blocks and perform a sweep
from left to right. Effective representations for the left blocks L(j), j = 2, . . . ,
N − 3, are built iteratively. The effective representation for R(j + 3) which has been
calculated during the last right-to-left sweep is used to make an effective tensor-
product-basis representation of R(j+2) and thus to complete the superblock {L(j+
1) + R(j + 2)}. This left-to-right sweep corresponds to the right picture of Fig. 21.1
going from top to bottom.
610 E. Jeckelmann
When this left-to-right sweep is done, one can start a new couple of sweeps back
and forth. The ground state energy calculated with the superblock Hamiltonian de-
creases progressively as the sweeps are performed. This results from the progres-
sive optimization of the matrix-product state (21.2) for the ground state. Figure 21.3
illustrates this procedure for the total energy of a 400-site Heisenberg chain. The
matrix dimensions an , bn are chosen to be not greater than m = 20 (maximal num-
ber of density-matrix eigenstates kept at each iteration). The sweeps are repeated
until the procedure converges (i.e., the ground state energy converges). In Fig. 21.3
the DMRG energy converges to a value EDMRG (m = 20) which lies about 0.008
above the exact result for the 400-site Heisenberg chain. As it corresponds to a vari-
ational wavefunction (21.2) the DMRG energy EDMRG (m) always lies above the
exact ground state energy and decreases as m increases.
Once convergence is achieved, ground state properties can be calculated with
(21.29) and (21.32) as explained in the previous section. Contrary to the infinite-
system algorithm, however, the finite-system algorithm yields consistent results for
the expectation values of operators acting on any lattice site. For example, we show
in Fig. 21.4 the staggered spin bond order (−1)n (S n S n+1 + ln(2) − 1/4) and
the staggered spin-spin correlation function C(r) = (−1)r S n S n+r obtained in
the 400-site Heisenberg chain using up to m = 200 density-matrix eigenstates. A
strong staggered spin bond order is observed close to the chain edges (Friedel os-
cillations) while a smaller one is still visible in the middle of the chain because
of its finite size. For a distance up to r ≈ 100 the staggered spin-spin correlation
function C(r) decreases approximately as a power-law 1/r as expected but a devi-
ation from this behavior occurs for larger r because of the chain edges. Finite-size
100
EDMRG - Eexact
10–1
10–2
0 100 200 300 400

Iterations
Fig. 21.3. Convergence of the ground state energy calculated with the finite-system DMRG
algorithm using m = 20 density-matrix eigenstates as a function of the iterations in a 400-site
spin- 21 Heisenberg chain. Arrows show the sweep direction for the first three sweeps starting
from the top
100
0.2
10–1
C(r) = (–1)r<SnSn+r>
0.15
(–1)nΔ<SnSn+1>
10–2
0.1
10–3
0.05 DMRG
C(r) = 0.8/r
10–4
0
0 100 200 300 400 1 10 100
Bond n Distance r
Fig. 21.4. Staggered spin bond order (left) (−1)n (S n S n+1 − 41 + ln(2)) and staggered
spin-spin correlation function (right) C(r) = (−1)r S n S n+r . Both quantities have been
calculated using the finite-system DMRG algorithm with m = 200 in a 400-site spin- 12
Heisenberg chain. The dashed line is a guide for the eye
and chain-end effects are unavoidable and sometimes troublesome features of the
finite-size DMRG method.
Contrary to the infinite-system algorithm the finite-system algorithm always
finds the optimal matrix-product state (21.2) with restricted matrix sizes. Never-
theless, experience shows that the accuracy of DMRG calculations depends sig-
nificantly on the system investigated because the matrix-product state (21.2) with
restricted matrix sizes can be a good or a poor approximation of the true ground
state. In practice, this implies that physical quantities calculated with DMRG can
approach the exact results rapidly or slowly for an increasing number m of density-
matrix eigenstates kept. This so-called truncation error is discussed in Sect. 21.7.
For instance, the finite-system DMRG method yields excellent results for gapped
one-dimensional systems but is less accurate for critical systems or in higher di-
mensions for the reason discussed in Chap. 20.
21.6 Additive Quantum Numbers

Symmetries and quantum numbers play an important role in the solution and anal-
ysis of quantum many-body systems. Here I discuss additive quantum numbers,
which constitute the simplest implementation of quantum numbers within the basic
DMRG methods. A quantum number is additive when the quantum number of the
tensor product of two states is given by the sum of the quantum numbers of both
states. The use of other symmetries and quantum numbers is described in [7, 11].
We consider
N an operator Q acting in H which is the sum of Hermitian site op-
erators, Q = n=1 Qn , where the operator Qn acts only on the site n. A typical
612 E. Jeckelmann

example is the z-component of the total spin S z = N z
n=1 Sn in a spin system such
as the Heisenberg model. If Q commutes with the system Hamiltonian H, eigen-
states of H can be chosen so that they are also eigenstates of Q. If the target of the
DMRG calculation is an eigenstate of Q (for instance, the ground state of H), one
can show that the reduced density operators for left and right blocks commute with
the operators
j N
L(j)
Q = Qn and QR(j+1) = Qn , (21.38)
n=1 n=j+1
respectively. As a consequence, the density-operator eigenstates (21.6) and (21.7)

can be chosen to be eigenstates of QL(j) or QR(j+1) and the block basis states
can be labeled with an index identifying their quantum number (the corresponding
eigenvalue of QL(j) or QR(j+1) ). For instance, the left block basis becomes
9" :
" L(j)
B(L, j) = "φr,α ; r = 1, 2, . . . ; α = 1, . . . , ar,j , (21.39)
L(j)
where the index r numbers the possible quantum numbersqr of QL(j) , α num-
bers ar,j basis states with the same quantum number, and r ar,j = aj .
We note that QL(j+1) = QL(j) + Qj+1 . Thus if we choose the site basis states
in B(j + 1) to be eigenstates of the site operator Qj+1 and denote |t, sj+1 a basis
S(j+1)
state with quantum number qt , the tensor product state (21.10) becomes
" "
" L(j) " L(j)
"φr,α ; t, sj+1 = "φr,α ⊗ |t, sj+1 , (21.40)
L(j+1) L(j)
and its quantum number (eigenvalue of QL(j+1) ) is given by qp = qr +
S(j+1)
qt . Therefore, the corresponding density-matrix eigenstates take the form
L(j+1) L(j+1) L(j) S(j+1)
φp,α (r, α′ , t, sj+1 ) and vanish if qp = qr + qt , see (21.6). Simi-
R(j+1)
larly, the density-matrix eigenstates for a right block are noted φp,β (t, sj+1 , r, β ′ )
R(j+1) R(j+2) S(j+1)
and vanish if qp = qr + qt . We can save computer time and mem-
ory if we use this rule to compute and store only the terms which do not identically
vanish.
Furthermore, as Q = QL(j) + Qj+1 + Qj+2 + QR(j+3) , a superblock basis
state (21.23) can be written
" " "
" L(j) R(j+3) " L(j) " R(j+3)
"φp,α ; r, sj+1 ; t, sj+2 ; φv,β = "φp,α ; r, sj+1 ⊗ "t, sj+2 ; φv,β ,
(21.41)
L(j) S(j+1)
and its quantum number (eigenvalue of Q) is given by q = qp + qr +
S(j+2) R(j+3)
qt + qv . Therefore, the superblock representation (21.28) of a state |ψ
with a quantum number q can be written [Cj+1 ](p, α, r, sj+1 , t, sj+2 , v, β) and van-
L(j) S(j+1) S(j+2) R(j+2)
ishes if q = qp + qr + qt + qv . Here again we can save computer
time and memory if we use this rule to compute and store only the components of
Cj+1 which do not identically vanish.
If an operator O has a simple commutation relation with Q of the form [Q, O] =

∆q O, where ∆q is a number, the matrix elements μ|O|ν of O in the eigen-
basis of Q vanish but for special combinations of the eigenstates |μ and |ν.
Similar rules apply for the related operators QL(n) , QR(n) , and Qn . Explicitly,
for the matrices (21.17) of site operators one finds that p, sn |O|p′ , s′n = 0 for
S(n) S(n)
qp = qp′ + ∆q if [Qn , O] = ∆q O. For instance, for the spin operator Sn+
with [S z , Sn+ ] = Sn+ only ↑ |Sn+ | ↓ does not vanish. For the matrix representa-
tion of left block operators (21.14) one finds that
" "
" " L(j) ′ ′
φL(j)
pα ; r, s j+1 " O "φ ′
pα ′ ; r , s j+1 = 0 , (21.42)
L(j) S(j+1) L(j) S(j+1)

for qp + qr = qp′ + qr′ + ∆q if [QL(j+1) , O] = ∆q O. A similar
rule, applies to matrix representations (21.22) in a right block
" "
R(j+3) " " R(j+3)
t, sj+2 ; φvβ " O "t′ , s′j+2 ; φv′ β ′ =0, (21.43)
R(j+3) S(j+2) R(j+3) S(j+2)

for qv + qt = qv′ + qt′ + ∆q if [QR(j+2) , O] = ∆q O. There-
fore, we can reduce the computer time and memory used if we compute and save
only the matrix elements which are not identically zero because of the conservation
of additive quantum numbers. Moreover, if we implement these rules, the computa-
tional cost of the operations (21.15), (21.19), (21.29), (21.30), (21.32), and (21.34)
to (21.37) is also substantially reduced.
In summary, using additive quantum numbers increases the complexity of a
DMRG program but can reduce the computational effort significantly. In Chap. 22
it is shown that quantum numbers and symmetries can also be used with DMRG to
investigate additional properties such as excited states.
21.7 Truncation Errors

There are three main sources of numerical errors in the finite-system DMRG
method:
– The iterative diagonalization algorithm used to find the ground state of the su-
perblock Hamiltonian (diagonalization error),
– the iterative optimization of matrices in the matrix-product state (21.2) (conver-
gence error), and
– the restrictions put on the matrix dimensions an and bn (truncation error).
Diagonalization errors originate from errors in the calculation of the matrix Cj
in (21.2) but they propagate to the other matrices through the density-matrix based
selection of the block basis states. These errors can always be made negligible com-
pared to the other two error sources in ground state calculations. However, as the
superblock diagonalization is the most time-consuming task and the other two error
sources limit the overall accuracy anyway, one should not determine the superblock
614 E. Jeckelmann
ground state with too much precision but strike a balance between accuracy and
computational cost. In DMRG algorithms that target other states than the ground
state (for instance, dynamical correlation functions, see Chap. 22), the diagonaliza-
tion error may become relevant.
Convergence errors corresponds to non-optimal matrices An (sn ) and Bn (sn )
in the matrix-product state (21.2). They are negligible in DMRG calculations for
ground state properties in non-critical one-dimensional open systems with nearest-
neighbor interactions. For such cases DMRG converges after very few sweeps
through the lattice. Convergence problems occur frequently in critical or inhomo-
geneous systems and in systems with long-range interactions (this effectively in-
cludes all systems in dimension larger than one, see the last section). However, if
one performs enough sweeps through the lattice (up to several tens in hard cases),
these errors can always be made smaller than truncation errors (i.e., the finite-system
DMRG algorithm always finds the optimal matrices for a matrix-product state (21.2)
with restricted matrix sizes).
Truncation errors are usually the dominant source of inaccuracy in the finite-
system DMRG method. They can be systematically reduced by increasing the ma-
trix dimensions an , bn used in (21.2). In actual computations, however, they can be
significant and it is important to estimate them reliably. In the finite-system DMRG
algorithm a truncation error is introduced at every iteration when a tensor-product
basis of dimension aj dj+1 for the left block L(j + 1) is reduced to a basis of di-
mension aj+1 during a sweep from left to right and, similarly, when a tensor-product
basis of dimension bj+2 dj+1 for the right block R(j + 1) is reduced to a basis of
dimension bj+1 during a sweep from right to left. Each state |ψ which is defined
using the original tensor-product basis (usually, the superblock ground state) is re-
placed by an approximate state |ψ # which is defined using the truncated basis. It has
been shown [1] that the optimal choice for constructing a smaller block basis for a
given target state |ψ consists in choosing the eigenvectors with the highest eigen-
values wμ from the reduced density-matrix (21.30) or (21.36) of |ψ for this block.
" "2
" # "" between the
More precisely, this choice minimizes the differences = "|ψ − |ψ
#
target state |ψ and its approximation |ψ.
The minimum of S is given by the weight P of the discarded density-matrix
eigenstates. With w1 ≥ w2 ≥ · · · ≥ waj dj+1 we can write
aj dj+1 aj+1

Smin = P (aj+1 ) = wμ = 1 − wμ (21.44)
μ=1+aj+1 μ=1
bj+1
for the left block L(j + 1) and similarly Smin = P (bj+1 ) = 1 − μ=1 wμ for the
right block R(j + 1). It can be shown that errors in physical quantities depend di-
rectly on the discarded weight. For the ground-state energy the truncation introduces
an error
# ψ
ψ|H| # ψ|H|ψ
− ∝ P (aj+1 ) or P (bj+1 ) , (21.45)
# #
ψ|ψ ψ|ψ
while for other expectation values the truncation error is

# ψ # 3 3
ψ|O| ψ|O|ψ
− ∝ P (aj+1 ) or P (bj+1 ) (21.46)
# ψ
ψ| # ψ|ψ
for P (aj+1 ), P (bj+1 ) ≪ 1, respectively. Therefore, truncation errors for physi-

cal quantities are small when the discarded weight is small. Clearly, the discarded
weight is small when the eigenvalues wμ of the reduced density-matrices (21.30)
and (21.36) decrease rapidly with increasing index μ. As discussed in Chap. 20,
there are various quantum systems for which the spectrum of reduced density-
matrices for subsystems has this favorable property. For such quantum systems the
matrix-product state (21.2) is a good approximation and DMRG truncation errors
decrease rapidly with increasing matrix sizes aj+1 and bj+1 .
In practice, there are two established methods for choosing the matrix dimen-
sions in a systematic way in order to cope with truncation errors. First, we can
perform DMRG sweeps with matrix dimensions not greater than a fixed number m
of density-matrix eigenstates kept, an , bn m. In that approach, physical quanti-
ties [ground state energy EDMRG (m) and other expectation values ŌDMRG (m)] are
calculated for several values of m and their scaling with increasing m is analyzed.
Usually, one finds a convergence to a fixed value with corrections that decreases
monotonically with m. This decrease is exponential in favorable cases (gapped one-
dimensional systems with short-range interactions) but can be as slow as m−2 for
systems with non-local Hamiltonians. As an example, we show in Fig. 21.5 the
truncation error in the ground state energy for a 100-site Heisenberg chain. For
open boundary conditions (a favorable case for a matrix-product state (21.2) and
thus for DMRG) the error decreases very rapidly with m until it reaches the order of
100
10–2
10–4
EDMRG(m) - Eexact
10–6
10–8
10–10
10–12 Open
Periodic
10–14
10–16
0 100 200 300 400
m
Fig. 21.5. Error in the ground state energy calculated with the finite-system DMRG algorithm
as a function of the number m of density-matrix eigenstates kept for the spin- 12 Heisenberg
Hamiltonian on a one-dimensional 100-site lattice with open (circles) and periodic (squares)
boundary conditions
616 E. Jeckelmann
magnitude of round-off errors in the computer system used. For periodic boundary
conditions (a less favorable case) the error decreases slowly with m and is still sig-
nificant for the largest number of density-matrix eigenstates considered m = 400.
In the second approach the density-matrix eigenbasis is truncated so that the dis-
carded weight is approximately constant, P (aj+1 ), P (bj+1 ) P , and thus a vari-
able number of density-matrix eigenstates is kept at every iteration. The physical
quantities obtained with this procedure depends on the chosen discarded weight P .
Empirically, one finds that the relations (21.45) and (21.46) hold for DMRG results
calculated with various P . For the energy one has EDMRG (P ) ≈√ E(P = 0) + cP
and for other expectation values ŌDMRG (P ) ≈ Ō(P = 0) + c′ P if P is small
enough. Therefore, we can carry out DMRG calculations for several values of the
discarded weight P and obtain results E(P = 0) and Ō(P = 0) in the limit of van-
ishing discarded weight P → 0 using an extrapolation. In practice, this procedure
yields reliable estimations of the truncation errors and often the extrapolated results
are more accurate than those obtained directly with DMRG for the smallest value of
P used in the extrapolation.
It should be noted that if one works with a fixed number m of density-matrix
eigenstates
kept, it is possible to calculate an average discarded weight P (m) =
j P (b j+1 ) over a sweep. In many cases, the physical quantities EDMRG (m) and
ŌDMRG (m) scale with P (m) as in (21.45) and (21.46), respectively. Therefore, an
extrapolation to the limit of vanishing discarded weight P (m) → 0 is also possible
(see [12] for some examples).
21.8 Computational Cost and Optimization

Theoretically, the computational cost for one calculation with the infinite-system al-
gorithm or for one sweep of the finite-system algorithm is proportional to N nk m3 d3
for the number of operations and to N nk m2 d2 for the memory if one assumes that
about m density-matrix eigenstates are kept at every iteration and the site Hilbert
space dimension is d. In practice, various optimization techniques such as the ad-
ditive quantum numbers of Sect. 21.6 lead to a more favorable scaling with m.
The actual computational effort varies greatly with the model investigated and the
physical quantities which are computed. Using a highly optimized code the infinite-
system DMRG simulations shown in Fig. 21.2 take from 30 seconds for m = 20
to 7 minutes for m = 100 on 3 GHz Pentium 4 processor while the finite-system
DMRG calculations shown in Figs. 21.3 and 21.4 take about 20 minutes. These cal-
culations use less than to 300 MBytes of memory. For more difficult problems with
m 104 , the computational cost can reach thousands of CPU hours and hundreds
of GBytes of memory.
Even for less challenging problems, it is useful to consider some basic optimiza-
tion issues for a DMRG code. First of all, an efficient dynamical memory manage-
ment should be used because many vectors, matrices, and tensors of higher ranks
with variable sizes have too be stored temporarily. Even for the simplest applications
this amounts to the allocation and release of GBytes of memory during a DMRG
simulation. Second, processor-optimized linear algebra routines should be used be-

cause most of the CPU time is spent for linear algebra operations such as products
of matrices. Generic BLAS routines [13] can be as much as two orders of mag-
nitude slower than processor-optimized ones. Third, the most expensive part of a
DMRG iteration is usually the calculation of the superblock representation (21.28)
of the target state, typically the ground state of the superblock Hamiltonian. Thus
one should use the procedures (21.29) and (21.35) and the efficient iterative algo-
rithms described in Chap. 18 to perform this task. Finally, one should also consider
using parallelization and optimization techniques for high-performance computers
(see Chap. 27). Unfortunately, the basic DMRG algorithms presented in Sects. 21.4
and 21.5 are inherently sequential and a parallelization is possible only at a low
level. For instance, the superblock product (21.29) or, at an even lower level, ma-
trix products (i.e., the BLAS routines) can be parallelized. The parallelization of a
DMRG code is discussed in more detail in [14].
21.9 Basic Extensions

The finite-system DMRG algorithm described in Sect. 21.5 can readily be applied to
one-dimensional quantum spin chains. It can also be used to study fermions, bosons,
and systems in higher dimensions without much difficulty.
To apply the DMRG algorithm to fermion systems we just have to take into
account the fermion commutation sign in the operator decomposition (21.11) and
(21.24) and in the tensor product of their matrix representations (21.15), (21.27),
and (21.34). Using the total number of fermion as an additive quantum number is
very helpful for that purpose. For instance, if |α, |α′ , |β, |β ′ denote states with
a fixed number of fermions and O1 ,O2 are operators, the matrix element of the
tensor-product operator O1 ⊗ O2 for the tensor-product states |αβ = |α ⊗ |β and
|α′ β ′ = |α′ ⊗ |β ′ is
αβ |O1 ⊗ O2 | α′ β ′ = (−1)q|∆q| α |O1 | α′ β |O2 | β ′ , (21.47)
where q is the number of fermions in the state |α′ and ∆q is the difference between
the number of fermions in the states |β and |β ′ .
To apply the DMRG method to boson systems such as electron-phonon models,
we must first choose an appropriate finite basis for each boson site to represent the
infinite Hilbert space of a boson as best as possible, which is done also in exact
diagonalization methods [12]. Then the finite-system DMRG algorithm can be used
without modification. However, the computational cost scales as d3 for the CPU
time and as d2 for the memory if d states are used to represent each boson site.
Typically, d = 10 − 100 is required for accurate computations in electron-phonon
models. Therefore, simulating boson systems with the standard DMRG algorithms
is significantly more demanding than spin systems. More sophisticated DMRG al-
gorithms have been developed to reduce the computational effort involved in solving
boson systems. The best algorithms scale as d or d ln(d) and are presented in [12].
618 E. Jeckelmann
Fig. 21.6. Schematic representations of the site sequence (dashed line) in a two-dimensional
lattice. The site in the bottom left corner is site 1. The superblock structure {L(21)+ site
22 + site 23 +R(24)} is shown with solid lines delimiting the left and right blocks and full
circles indicating both sites
The finite-system DMRG method can be applied to quantum systems with vari-
ous degrees of freedom, on lattices in dimension larger than one, and to the non-local
Hamiltonians considered in quantum chemistry and momentum space, see Chap. 24.
We just have to order the lattice sites from 1 to N in some way to be able to carry
out the algorithm described in Sect. 21.5. For instance, Fig. 21.6 shows one possi-
ble site sequence for a two-dimensional cluster. It should be noted that sites which
are close in the two-dimensional lattice are relatively far apart in the sequence. This
corresponds to an effective long-range interaction between the sites even if the two-
dimensional system includes short-range interactions only, and results in a slower
convergence and larger truncation errors than in truly one-dimensional systems with
short-range interactions. As a consequence, reordering of the lattice sites can sig-
nificantly modify the accuracy of a DMRG calculation and various site sequences
should be considered for those systems which do not have a natural order. The dif-
ficulty with DMRG simulations and more generally with matrix-product states in
dimensions larger than one is discussed fully in Chap. 20.
References
1. I. Peschel, X. Wang, M. Kaulke, K. Hallberg (eds.), Density-Matrix Renormalization, A
New Numerical Method in Physics (Springer, Berlin, 1999) 597, 614
2. R.M. Noack, S.R. Manmana, in Lectures on the Physics of Highly Correlated Electron
Systems IX: Ninth Training Course in the Physics of Correlated Electron Systems and
High-Tc Superconductors, AIP Conf. Proc., Vol. 789, ed. by A. Avella, F. Mancini (AIP,
2005), pp. 93–163 597
3. S.R. White, Phys. Rev. Lett. 69(19), 2863 (1992) 597, 603
4. S.R. White, Phys. Rev. B 48(14), 10345 (1993) 597, 603
5. U. Schollwock, Rev. Mod. Phys. 77(1), 259 (2005) 597
6. K. Hallberg, Adv. Phys. 55, 477 (2006) 597
7. I.P. McCulloch (2007). URL http://arxiv.org/abs/cond-mat/0701428.
Preprint 597, 611
8. K.G. Wilson, Rev. Mod. Phys. 47(4), 773 (1975) 600

9. S.R. White, R.M. Noack, Phys. Rev. Lett. 68(24), 3487 (1992) 603
10. L. Hulthén, Arkiv Mat. Astr. Fysik 26A(11), 1 (1938) 606
11. I.P. McCulloch, M. Gulàcsi, Europhys. Lett. 57(6), 852 (2002) 611
12. E. Jeckelmann, H. Fehske, in Proceedings of the International School of Physics “Enrico
Fermi” - Course CLXI Polarons in Bulk Materials and Systems with Reduced Dimension-
ality (IOS Press, Amsterdam, 2006), pp. 247–284 616, 617
13. Basic Linear Algebra Subprograms (BLAS). URL http://www.netlib.org/
blas/ 617
14. G. Hager, E. Jeckelmann, H. Fehske, G. Wellein, J. Comput. Phys. 194, 795 (2004) 617
22 Dynamical Density-Matrix
Renormalization Group
Eric Jeckelmann1 and Holger Benthien2

1
Institut für Theoretische Physik, Leibniz Universität Hannover, 30167 Hannover,
Germany
2
Physical and Theoretical Chemistry Laboratory, Oxford University, Oxford OX1 3QZ,
United Kingdom
The dynamical density-matrix renormalization group (DDMRG) method is a nu-

merical technique for calculating the zero-temperature dynamical properties in low-
dimensional quantum many-body systems. For the one-dimensional Hubbard model
and its extensions, DDMRG allows for accurate calculations of these properties for
lattices with hundreds of sites and particles and for any excitation energy. The key
idea of this approach is a variational principle for dynamical correlation functions.
The variational problem can be solved with a standard density-matrix renormaliza-
tion group (DMRG) method. Combined with a finite-size-scaling analysis for dy-
namical spectra, the DDMRG method enables us to study dynamical properties in
the thermodynamic limit. An efficient calculation of momentum-dependent quanti-
ties with DMRG is achieved using open boundary conditions and quasi-momenta.
These techniques are illustrated with the photoemission spectral function of the half-
filled one-dimensional Hubbard model.
22.1 Introduction
Calculating the dynamical correlation functions of quantum many-body systems
has been a long-standing problem of theoretical physics because many experi-
mental techniques probe these properties. For instance, solid-state spectroscopy
experiments, such as optical absorption, photoemission, or nuclear magnetic res-
onance, measure the dynamical correlations between an external time-dependent
perturbation and the response of electrons and phonons in solids [1]. Typically, the
zero-temperature dynamic response of a quantum system is given by a dynamical
correlation function (with = 1)
' " " (
1 " 1 "
GX (ω + iη) = − ψ0 ""X † X "" ψ0 , (22.1)
π E0 + ω + iη − H
where H is the time-independent Hamiltonian of the system, E0 and |ψ0 are its
ground-state energy and wavefunction, X is the quantum operator corresponding to
the physical quantity which is analyzed, and X † is the Hermitian conjugate of X. A
small real number η > 0 is used to shift the poles of the correlation function into the
complex plane. The spectral function GX (ω + iη) is also the Laplace transform (up
to a constant prefactor) of the zero-temperature time-dependent correlation function
E. Jeckelmann and H. Benthien: Dynamical Density-Matrix Renormalization Group, Lect. Notes Phys. 739, 621–635
(2008)
DOI 10.1007/978-3-540-74686-7 22
622 E. Jeckelmann and H. Benthien
GX (t ≥ 0) = ψ0 |X † (t)X(0)|ψ0 , (22.2)
where X(t) is the Heisenberg representation of the operator X. In general, we are

interested in the imaginary part of the correlation function for η → 0
' " " (
1 " † η "
IX (ω + iη) = Im GX (ω + iη) = "
ψ0 "X X "" ψ0 .
π (E0 + ω − H) + η2 2
(22.3)
A fundamental model for one-dimensional correlated electron systems is the
Hubbard model [2] defined by the Hamiltonian
†
U
H = −t cjσ cj+1σ + c†j+1σ cjσ + U nj↑ nj↓ − nj . (22.4)
j;σ j
2 j
It describes electrons with spin σ =↑, ↓ which can hop between neighboring sites
on a lattice. Here c†jσ and cjσ are creation and annihilation operators for electrons
with spin σ at site j (= 1, . . . , N ), njσ = c†jσ cjσ are the corresponding density
operators, and nj = nj↑ + nj↓ . The hopping integral t gives rise to a single-electron
band of width 4t. The Coulomb repulsion between electrons is mimicked by a local
Hubbard interaction U ≥ 0. The chemical potential has been chosen μ = U/2 so
that the number of electrons is equal to the number of sites N (half-filled band) in the
grand-canonical ground state and the Fermi energy is εF = 0 in the thermodynamic
limit. The photoemission spectral function A(k, ω) is the imaginary part of the one-
particle Green’s function
Aσ (k, ω ≤ 0) = lim IX (−ω + iη) , (22.5)

η→0
for the operator X = ckσ which annihilates an electron with spin σ in the Bloch state
with wavevector k ∈ (−π, π]. This spectral function corresponds to the spectrum
measured in angle-resolved photoemission spectroscopy experiments. We note that
the spectral function of the Hubbard model is symmetric with respect to spatial
reflection Aσ (−k, ω) = Aσ (k, ω) and spin-reflection A↑ (k, ω) = A↓ (k, ω). The
one-particle density of states (DOS) is
1
nσ (ω ≤ 0) = Aσ (k, ω) . (22.6)
N
k
At half-filling the inverse photoemission spectral function Bσ (k, ω ≥ 0) is related

to A σ (k, ω) through the relation Bσ (k, ω) = Aσ (k +π, −ω) and thus nσ (ω ≥ 0) =
1
N k Bσ (k, ω) is equal to nσ (−ω).
Since its invention in 1992 the DMRG method [3, 4] has established itself has
the most powerful numerical method for studying the properties of one-dimensional
lattice models such as the Hubbard model (for reviews, see [5, 6, 7]). Several ap-
proaches have been developed to obtain excited states or to calculate dynamical
quantities with DMRG. We will first discuss a few approaches which are both sim-
ple and efficient but do not allow for the calculation of continuous or complicated
22 Dynamical Density-Matrix Renormalization Group 623
spectra. Then we will present the dynamical DMRG method, which is presently the
best frequency-space DMRG approach for calculating zero-temperature dynamical
correlation functions when the spectrum is complex or continuous and allows us to
determine spectral properties in the thermodynamic limit (i.e., for infinitely large
lattices). The basic principles of the DMRG method are described in the Chaps. 20
and 21 of this book and are assumed to be known. The direct calculation of time-
dependent quantities (22.2) within DMRG is explained in Chap. 23 while methods
for computing dynamical quantities at finite temperature are described in Chap. 25.
22.2 Methods for Simple Discrete Spectra

22.2.1 Direct Evaluation of Excited States
Let {|n, n = 0, 1, 2, . . . } be the complete set of eigenstates of H with eigenener-

gies En (|n = 0 corresponds to the ground state |ψ0 ). The spectrum (22.3) can be
written
1 η
IX (ω + iη) = |n|X|0|2 . (22.7)
π n (En − E0 − ω)2 + η 2
En − E0 is the excitation energy and |n|X|0|2 the spectral weight of the n-th
excited state. Obviously, only states with a finite spectral weight contribute to the
dynamical correlation function. Typically, the number of contributing excited states
scales as a power of the system size N (while the Hilbert space dimension increases
exponentially with N ). In principle, one can calculate the contributing excited states
only and reconstruct the spectrum from the sum over these states (22.7).
The simplest method for computing excited states within DMRG is to target
the lowest M eigenstates |ψs instead of the sole ground state using the standard
algorithm. In that case, the density matrix is formed as the sum
M

ρ= cs ρ s (22.8)
s=1
of the density matrices ρs = |ψs ψs | for each target state [8]. As a result the DMRG
algorithm produces an effective Hamiltonian describing these M states accurately.
Here the coefficients cs > 0 are normalized weighting factors ( s cs = 1), which
allow us to vary the influence of each target state in the formation of the density
matrix. This approach yields accurate results for some problems such as the Holstein
polaron [9]. In most cases, however, this approach is limited to a small number M
of excited states (of the order of ten) because DMRG truncation errors grow rapidly
with the number of targeted states (for a fixed number of density-matrix eigenstates
kept). This is not sufficient for calculating a complete spectrum for a large system
and often does not even allow for the calculation of low-energy excitations. For
instance, in the strong-coupling regime U ≫ t of the half-filled one-dimensional
Hubbard model, the lowest excitation contributing to the photoemission spectral

function A(k, ω) has an energy −ω = En − E0 ≈ U/2 while there are many spin
excitations with energies smaller than U/2. Therefore, in order to obtain the first
contributing excitation, one would have to target an extremely large number M of
eigenstates with DMRG.
22.2.2 Quantum Numbers and Symmetries

The simplest DMRG method for calculating specific excited states (rather than the
lowest eigenstates) uses the conserved quantum numbers and the symmetries of
the system. If quantum numbers and symmetry operators are well-defined in every
subsystem, DMRG calculations can be carried out to obtain the lowest eigenstates
in a specific symmetry subspace and for specific quantum numbers. As an example,
the total number of particles
is conserved in the Hubbard model (i.e., the particle
number operator N = j nj commutes with the Hamilton operator H). Thus one
can target the M lowest eigenstates for a given number of particles. This yields
useful information about excitations contributing to the spectral functions A(k, ω)
and B(k, ω). For instance, a gap in the density of states nσ (ω) is given by
Ec = E0 (+1) + E0 (−1) − 2E0 (0) , (22.9)
where E0 (z) is the lowest eigenenergy for a system with z electrons added or re-
moved from the half-filled band.
It is also possible to target simultaneously the lowest eigenstates for two differ-
ent sets of quantum numbers or in two different symmetry subspaces using (22.8)
and thus to calculate matrix elements n|X|0 between these states. This allows one
to reconstruct the dynamical correlation function at low energy using the Lehmann
representation (22.7). For instance, to calculate the photoemission spectral func-
tion (22.5) of the Hubbard model we would target the ground state for N electrons
and the lowest M eigenstates with N − 1 electrons as only those states contribute to
A(k, ω). This way we circumvent the many low-energy spin excitations in the N -
electron subspace. In practice, this method works only for the onset of the spectrum
because there are still a large number of weightless spin excitations between suc-
cessive (N − 1)-electron states contributing to A(k, ω) and one would again have
to target a very large number M of eigenstates to access the relevant high-energy
excitations.
Using quantum numbers and symmetries is the most efficient and accurate
method for calculating specific low-lying excited states with DMRG. For instance,
symmetries and quantum numbers have been used successfully to study optical ex-
citations and the low-energy optical conductivity spectrum in various extended one-
dimensional Hubbard models describing conjugated polymers [10, 11]. However,
this approach is obviously restricted to those problems which have relevant sym-
metries and quantum numbers and provides at most the lowest M eigenstates with
the chosen symmetries and quantum numbers, where M is at most a few tens for
realistic applications. Thus it is not appropriate for high-energy excitations and for
complex or continuous spectra.
22.2.3 Lanczos-DMRG Method
The Lanczos-DMRG method [12, 13] combines DMRG with the Lanczos algo-
rithm [14] to compute dynamical correlation functions. Starting from the states
|φ−1 = 0 and |φ0 = X|ψ0 , the Lanczos algorithm recursively generates a set
of so-called Lanczos vectors:
|φn+1 = H|φn − an |φn − b2n |φn−1 , (22.10)
where an = φn |H|φn /φn |φn and b2n+1 = φn+1 |φn+1 /φn |φn for n =
0, . . . , L − 1. These Lanczos vectors span a Krylov subspace containing the ex-
cited states contributing to the dynamical correlation function (22.1). Calculating L
Lanczos vectors gives the first 2L − 1 moments of a spectrum and up to L excited
states contributing to it. The spectrum can be obtained from the continued fraction
expansion
ψ0 |X † X|ψ0
− πGX (z − E0 ) = . (22.11)
b21
z − a0 −
b22
z − a1 −
z − ...
This procedure has proved to be efficient and reliable in the context of exact diago-
nalizations (see Chap. 18).
Within a DMRG calculation the Lanczos algorithm is applied to the effective
superblock operators H and X and serves two purposes. Firstly, it is used to com-
pute the full dynamical spectrum. Secondly, in addition to the ground state |ψ0
some Lanczos vectors {|φn , n = 0, . . . , M ≤ L} are used as target (22.8) to con-
struct an effective representation of the Hamiltonian which describes both ground
state and excited states accurately. Be reminded that a target state does not need to
be an eigenstate of the Hamiltonian but can be any quantum state which is well-
defined and can be computed in every superblock during a DMRG sweep through
the lattice. Unfortunately, DMRG truncation errors increase rapidly with the num-
ber M of target Lanczos vectors for a fixed number of density-matrix eigenstates
kept and the method becomes numerically unstable. Therefore, only the first few
Lanczos vectors (often only the first one |φ0 ) are included as target in most ap-
plications of Lanczos DMRG. In that case, the density-matrix renormalization does
not necessarily converge to an optimal representation of H for all excited states
contributing to a dynamical correlation function and the calculated spectrum is not
always reliable. For instance, the shape of continuous spectra (for very large systems
N ≫ 1) can not be determined accurately with the Lanczos-DMRG method [13].
Nevertheless, Lanczos DMRG is a relatively simple and quick method for calculat-
ing dynamical properties within DMRG. In practice, it gives reliable and accurate
results for simple discrete spectra made of (or dominated by) a few peaks only and it
has been used successfully in several studies of low-dimensional correlated systems
(see [6, 7]).
22.3 Dynamical DMRG
22.3.1 Correction Vector
The correction vector associated with the dynamical correlation function GX (ω +

iη) is defined by [15]
1
|ψX (ω + iη) = |X , (22.12)
E0 + ω + iη − H
where |X = X|ψ0 is identical to the first Lanczos vector. If the correction vector
is known, the dynamical correlation function can be calculated directly
1
GX (ω + iη) = − X|ψX (ω + iη) . (22.13)
π
To calculate a correction vector an inhomogeneous linear equation system
(E0 + ω + iη − H)|ψ = |X , (22.14)
has to be solved for the unknown state |ψ. Typically, the vector space dimension is
very large and the equation system is solved with the conjugate gradient method [16]
or other iterative methods [17].
The distinctive characteristic of a correction vector approach to the calcula-
tion of dynamical properties is that a specific quantum state (22.12) is constructed
to compute the dynamical correlation function at each frequency ω. To obtain a
complete dynamical spectrum, the procedure has to be repeated for many differ-
ent frequencies. Therefore, in the context of exact diagonalizations the correction-
vector approach is less efficient than the Lanczos technique (22.10) and (22.11). For
DMRG calculations, however, this is a highly favorable characteristic. The dynami-
cal correlation function can be determined for each frequency ω separately using ef-
fective representations of the system Hamiltonian H and operator X which describe
a single excitation energy accurately. The approach can be extended to higher-order
dynamic response functions such as third-order optical polarizabilities [18].
In practice, in a correction-vector DMRG calculation [13] two correction vec-
tors with close frequencies ω1 and ω2 and finite broadening η ∼ ω2 − ω1 > 0
are calculated from the effective superblock operators H and X and used as tar-
get (22.8) beside the ground state |ψ0 and the first Lanczos vector |X. This is
sufficient to obtain an accurate effective representation of the system excitations for
frequencies ω1 ω ω2 . The spectrum is then calculated for this frequency
interval using (22.13). The calculation is repeated for several (possibly overlap-
ping) intervals to determine the spectral function over a large frequency range. This
correction-vector DMRG method allows one to perform accurate calculations of
complex or continuous spectra for all frequencies in large lattice quantum many-
body systems [6, 7, 13].
22.3.2 Variational Principle
The success of the correction-vector DMRG method for calculating dynamical prop-
erties show that using specific target states for each frequency is the right approach.
This idea can be further improved using a variational formulation of the prob-
lem [19]. Consider the functional
WX,η (ω, ψ) = ψ|(E0 + ω − H)2 + η 2 |ψ + ηX|ψ + ηψ|X . (22.15)
For any η = 0 and a fixed frequency ω this functional has a well-defined and non-
degenerate minimum |ψmin . This state is related to the correction vector (22.12)
by
(H − E0 − ω + iη)|ψmin = η|ψX (ω + iη) . (22.16)
The value of the minimum yields the imaginary part of the dynamical correlation
function
WX,η (ω, ψmin ) = −πηIX (ω + iη) . (22.17)
Therefore, the calculation of spectral functions can be formulated as a minimization
problem.
This variational formulation is completely equivalent to the correction-vector
method if we can calculate |ψmin and |ψX (ω + iη) exactly. However, if we can
only calculate approximate states with an error of the order ε ≪ 1, the variational
formulation (22.17) gives the imaginary part IX (ω + iη) of the correlation function
with an accuracy of the order of ε2 , while the correction-vector approach (22.13)
yields results with an error of the order of ε.
22.3.3 DDMRG Algorithm
The DMRG method can be used to minimize the functional WX,η (ω, ψ) and thus
to calculate the dynamical correlation function GX (ω + iη). This approach is called
the dynamical DMRG method. The minimization of the functional is easily inte-
grated into the standard DMRG algorithm. At every step of a sweep through the
system lattice, the following calculations are performed for the effective superblock
operators H and X:
(i) The ground state vector |ψ0 of H and its energy E0 are calculated as in the
standard DMRG method.
(ii) The state |X = X|ψ0 is calculated.
(iii) The functional WX,η (ω, ψ) is minimized using an iterative minimization algo-
rithm. This yields the imaginary part IX (ω + iη) of the dynamical correlation
function and the state |ψmin .
(iv) The correction vector is calculated using (22.16).
(v) The states |ψ0 , |X, and |ψX (ω + iη) are used as target (22.8) of the density-
matrix renormalization process.
The robust finite-system DMRG algorithm must be used to perform several sweeps
through a lattice of fixed size. Sweeps are repeated until the procedure has converged
to the minimum of WX,η (ω, ψ).
To obtain the spectrum IX (ω + iη) over a range of frequencies, one has to re-
peat this calculation for several values of ω. The computational effort is thus roughly
proportional to the number of frequencies. As with the correction-vector approach,
one can perform a DDMRG calculation for two close frequencies ω1 and ω2 si-
multaneously, and then calculate the dynamical correlation function for frequencies
ω between ω1 and ω2 without targeting the corresponding correction vectors. This
approach can significantly reduce the computer time necessary to determine the
spectrum over a frequency range but the results obtained for ω = ω1 , ω2 are less
accurate than for the targeted frequencies ω = ω1 and ω = ω2 .
22.3.4 Accuracy of DDMRG
First, it should be noted that DDMRG calculations are always performed for a fi-
nite parameter η. The spectrum IX (ω + iη) is equal to the convolution of the true
spectrum IX (ω) with a Lorentzian distribution of width η
+∞
1 η
IX (ω + iη) = dω ′ IX (ω ′ ) . (22.18)
−∞ π (ω − ω ′ )2 + η 2
Therefore, DDMRG spectra are always broadened and it is sometimes necessary to

perform several calculations for various η to determine IX (ω) accurately. In most
cases, however, the appropriate broadening for DDMRG calculations has merely the
positive side effects of smoothing out numerical errors and hiding the discreteness
of the spectrum, which is a finite-size effect (see the next section).
If a complete spectrum IX (ω + iη) has been obtained, it is possible to calculate
the total spectral weight by integration and to compare it to ground state expectation
values using sum rules. This provides an independent check of DDMRG results.
For instance, the total weight of the photoemission spectral function must fulfill the
relation
0
dωAσ (k, ω) = nσ (k) , (22.19)
−∞
where nσ (k) = ψ0 |c†kσ ckσ |ψ0 is the ground state momentum distribution.
Numerous comparisons with exact analytical results and accurate numerical
simulations have demonstrated the unprecedented accuracy and reliability of the
dynamical DMRG method for calculating dynamical correlation functions in one-
dimensional correlated systems [6, 9, 19, 20, 21, 22] and quantum impurity problems
[23, 24, 25]. As an example, we show in Fig. 22.1 the local DOS of the half-filled
one-dimensional Hubbard model calculated with DDMRG for two values of U .
The local DOS is obtained by substituting X = cjσ and X = c†jσ for ckσ and
c†kσ in the definition of the spectral functions A(k, ω) and B(k, ω), respectively.
0.5
0.4
U = 4t
U=0
0.3
nσ(ω)
0.2
0.1
0.0
–5 0 5
ω/t
Fig. 22.1. Local density of states of the half-filled one-dimensional Hubbard model for U = 0
and U = 4t calculated in the middle of an open chain with 128 sites using DDMRG and a
broadening η = 0.08t
The local DOS does not depend on the site j for periodic boundary conditions
and is equal to the integrated DOS defined in Sect. 22.1. For open boundary con-
ditions we have checked that the local DOS in the middle of the chain is indis-
tinguishable from the integrated DOS (22.6) for the typical broadening η used in
DDMRG calculations [22]. On the scale of Fig. 22.1 the DDMRG DOS for the
metallic regime (U = 0) is indistinguishable from the exact result (with the same
broadening η), which illustrates the accuracy of DDMRG. For the insulating regime
U = 4t, one clearly sees the opening of the Mott-Hubbard gap in Fig. 22.1. The
width of the gap agrees with the exact result Ec ≈ 1.286t calculated with the
Bethe Ansatz method [2]. The shape of the spectrum around the spectrum onsets
at ω ≈ ±Ec /2 ≈ 0.643t also agrees with field-theoretical predictions as discussed
in the next section. The effects of the broadening η = 0.08t are also clearly visible
in Fig. 22.1: For U = 4t spectral weight is seen inside the Mott-Hubbard gap and
for U = 0 the DOS divergences at ω = ±2t have been broadened into two sharp
peaks.
The numerical errors in the DDMRG method are dominated by the truncation
of the Hilbert space. As in a ground state DMRG calculation, this truncation error
decreases (and thus the accuracy of DDMRG target states and physical results in-
creases) when more density-matrix eigenstates are kept. As the variational approach
yields a smaller error in the spectrum than the correction-vector approach for the
same accuracy in the targeted states, the DDMRG method is usually more accurate
than the correction-vector DMRG method for the same number of density-matrix
eigenstates kept or, equivalently, the DDMRG method is faster than the correction-
vector DMRG method for a given accuracy.
22.4 Finite-Size Scaling

If only a finite number of eigenstates contributes to a dynamical correlation function,
the spectrum (22.7) is discrete in the limit η → 0

IX (ω) = |n|X|0|2 δ(En − E0 − ω) . (22.20)
n
If the number of contributing eigenstates is infinite (for instance, in the thermody-
namic limit N → ∞ of the Hubbard model), the spectrum IX (ω) may also include
continuous structures. DDMRG allows us to calculate the spectrum of a large but fi-
nite system with a broadening given by the parameter η. To determine the properties
of a dynamical spectrum in the thermodynamic limit, one has to calculate
IX (ω) = lim lim IX (ω + iη) . (22.21)
η→0 N →∞
It should be noted that the order of limits in the above formula is important. Com-
puting both limits from numerical results requires a lot of accurate data for different
values of η and N and can be the source of large extrapolation errors. A better ap-
proach is to use a broadening η(N ) > 0 which decreases with increasing N and
vanishes in the thermodynamic limit [19]:
I(ω) = lim IX (ω + iη(N )) . (22.22)
N →∞
The function η(N ) depends naturally on the specific problem studied and can also
vary for each frequency ω considered. For one-dimensional correlated electron sys-
tems such as the Hubbard model, one finds empirically that the optimal scaling is
c
η(N ) = , (22.23)
N
where the constant c is comparable to the effective band width of the excitations
contributing to the spectrum around ω.
In Fig. 22.2 we see that the DOS of the half-filled one-dimensional Hubbard
model becomes progressively step-like around ω ≈ 0.643t as the system size is
increased using a size-dependent broadening η = 10.24t/N . The slope of nσ (ω)
has a maximum at a frequency which tends to half the value of the Mott-Hubbard
gap Ec ≈ 1.286t for N → ∞. The height of the maximum diverges as η −1 ∼ N
for increasing N (see the inset in Fig. 22.2). This demonstrates the presence of a
Dirac-function peak δ(ω − Ec /2) in the derivative of nσ (ω) [19] or, equivalently,
a step increase of the DOS at the spectrum onset in the thermodynamic limit, in
agreement with the field-theoretical result for a one-dimensional Mott insulator [26].
Thus the features of the infinite-system spectrum can be determined accurately from
DDMRG data for finite systems using a finite-size scaling analysis with a size-
dependent broadening η(N ).
It should be noted that a good approximation for a continuous infinite-system
spectrum can sometimes be obtained at a much lower computational cost than this
scaling analysis by solving the convolution equation (22.18) numerically for an un-
known smooth function IX (ω ′ ) using DDMRG data for a finite system on the left-
hand side (deconvolution) [9, 24, 27].
0.15
0.10
nσ(ω)
0 100 200
η = 0.04
0.05 η = 0.08
η = 0.16
η = 0.32
0.00
0.3 0.4 0.5 0.6 0.7 0.8 0.9
ω/t
Fig. 22.2. Expanded view of the DOS around the spectrum onset at ω = Ec /2 ≈ 0.643t
(vertical dashed line) in the the half-filled one-dimensional Hubbard model for U = 4t. The
data have been obtained with DDMRG for various system sizes from N = 32 to N = 256
with a broadening η = 10.24t/N . The inset shows the slope of nσ (ω) at ω = Ec /2 as a
function of the system size
22.5 Momentum-Dependent Quantities

The DMRG method is usually implemented in real space where it performs opti-
mally for one-dimensional systems with open boundary conditions and short-range
interactions only [5, 6]. If periodic boundary conditions are used, momentum de-
pendent operators, such as the operators ckσ used in the definition of the spectral
functions A(k, ω), can be readily expanded as a function of local (real space) oper-
ators using plane waves (or Bloch states) [12]
N
1 −ikj
ckσ = √ e cjσ , (22.24)
N j=1
with wavevectors k = 2πz/N (momentum p = k) for integers −N/2 < z ≤ N/2.
These plane waves are the one-electron eigenstates of the Hamiltonian (22.4) in the
non-interacting limit (U = 0) for periodic boundary conditions.
Since DMRG calculations can be performed for much larger systems using open
boundary conditions, it is desirable to extend the definition of the spectral function
A(k, ω) to that case. Combining plane waves with filter functions to reduce bound-
ary effects is a possible approach [13] but this method is complicated and does
not always yield good results [22]. A simple and efficient approach is based on
the eigenstates of the particle-in-a-box problem [i.e., the one-electron eigenstates of
the Hamiltonian (22.4) with U = 0 on an open chain]. The operators are defined
for quasi-wavevectors k = πz/(N + 1) (quasi-momenta p = k) with integers
1 ≤ z ≤ N by
4 N
2
ckσ = sin(kj)cjσ . (22.25)
N +1
j=1
1
open
periodic
0.8 0.6
0.6 0.4
nσ(k)
0.4 0.2
open 0.4 0.5
periodic
0.2
0
0 0.2 0.4 0.6 0.8 1
k/π
Fig. 22.3. Momentum and quasi-momentum distribution in the half-filled one-dimensional

Hubbard model for U = 4t calculated using DMRG on a 128-site lattice with periodic and
open boundary conditions, respectively. The inset shows an expanded view of the same data
around the Fermi point kF = π/2
Both definitions of ckσ are equivalent in the thermodynamic limit N → ∞. Numer-

ous test for momentum-dependent quantities [such as the spectral function A(k, ω)]
have shown that both approaches are also consistent in the entire Brillouin zone for
finite systems [21, 22]. For instance, in Fig. 22.3 we show the ground state momen-
tum distribution nσ (k) of the half-filled one-dimensional Hubbard model calculated
with DMRG for both periodic and open boundary conditions. Small quantitative dif-
ferences are observed only for a few special k-points corresponding to low-energy
excitations, close to the Fermi wavevector kF = π/2. Therefore, open chains and
the definition (22.25) can be used to investigate momentum-dependent quantities
such as spectral functions A(k, ω).
22.6 Application: Spectral Function of the Hubbard Model
The DDMRG method and the quasi-momentum technique allow us to calculate the
spectral properties of one-dimensional correlated systems on large lattices. To illus-
trate the capability of this approach we have calculated the photoemission spectral
function Aσ (k, ω) of the half-filled one-dimensional Hubbard model. In Fig. 22.4
we show a density plot of this spectral function for U = 4t on a 128-site lattice. Re-
sults for stronger coupling U/t are qualitatively similar [22]. In Fig. 22.4 we observe
dispersive structures which correspond well to the excitation branches (spinon and
holon) predicted by field theory for one-dimensional Mott insulators in the weak
coupling regime (i.e., U/t ≪ 1 in the Hubbard model) [26]. The DDMRG re-
sults can also be compared to those obtained with other numerical methods (see
Chap. 19).
–1 0
log(A(k,ω))
–0.5
–2 –1
–1.5
–3
ω –2
–4
–5
–6
0 0.5 1 1.5 2 2.5 3
k
Fig. 22.4. Density plot of the spectral function Aσ (k, ω) in the half-filled one-dimensional
Hubbard model for U = 4t calculated on a 128-site open chain using DDMRG with η =
0.0625t and quasi-momenta
An advantage of the DDMRG approach over other numerical techniques is that

it allows for the simulation of systems large enough to obtain information on the
spectrum in the thermodynamic limit. For instance, using the scaling analysis of
Sect. 22.4 we have found that for a given k-point the spectrum maximum diverges
as a power-law η −α (∼ N α ) for η → 0 (N → ∞) at the spectrum onset (i.e.
on the low-energy holon and spinon excitation branches). This indicates a power-
law divergence of the spectral weight in the thermodynamic limit [19]: Aσ (k, ω) ∼
(ε(k) − ω)−α for ω < ε(k) and |k| ≤ kF , where ε(k) is the gap dispersion set by
the spinon branch for |k| < Q ≈ 0.4π and by the holon branch for |k| > Q. This
behavior has been predicted for generic one-dimensional Mott insulators using field
theory [26]. From the DDMRG data, we obtain α = 0.79 ± 0.05 for the Q-point
–1
–2
ω(k)/t
–3
–4
–5
–6
0 0.5 1 1.5 2 2.5 3
k
Fig. 22.5. Dispersion of structures found in the DDMRG spectral function of Fig. 22.4
(symbols). Lines show the dispersion of corresponding excitation branches calculated with
the Bethe Ansatz for periodic boundary conditions
where spinon and holon branches merge and α = 0.5 ± 0.1 for other |k| ≤ kF in
excellent agreement with the field-theoretical predictions α = 3/4 and α = 1/2,
respectively.
Finally, we note that in the one-dimensional Hubbard model the dispersion of
excitations (but not their spectral weight) can be calculated with the Bethe Ansatz
method [2]. In Fig. 22.5 we compare the dispersion of structures observed in the
DDMRG spectral function for an open chain with the dispersion of some excitations
obtained with the Bethe Ansatz for periodic boundary conditions. The agreement
is excellent and allows us to identify the dominant structures, such as the spinon
branch (squares) and the holon branches (circles) [21, 22]. This demonstrates once
again the accuracy of the DDMRG method combined with the quasi-momenta tech-
nique. In summary, DDMRG provides a powerful and versatile approach for inves-
tigating the dynamical properties in low-dimensional lattice quantum many-body
systems.
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23 Studying Time-Dependent Quantum Phenomena
with the Density-Matrix Renormalization Group
Reinhard M. Noack1 , Salvatore R. Manmana2, Stefan Wessel3 ,

and Alejandro Muramatsu3
1
Fachbereich Physik, Philipps-Universität Marburg, 35032 Marburg, Germany
2
Institute of Theoretical Physics, École Polytechnique Fédérale de Lausanne, CH-1015
Lausanne, Switzerland
3
Institut für Theoretische Physik III, Universität Stuttgart, 70550 Stuttgart, Germany
Recently, the Density Matrix Renormalization Group (DMRG) has been extended
to calculate the time evolution of an arbitrary state. Here, we will discuss this exten-
sion of the DMRG method, in particular, the general properties of the DMRG that
are relevant to the extension, the basic issues that are involved in calculating time-
dependence within the DMRG, and the first attempts at formulating time-dependent
DMRG (t-DMRG) algorithms. Moreoever, we describe adaptive t-DMRG methods,
which tailor the reduced Hilbert space to one particular time step and which are
therefore the most efficient algorithms for the majority of applications. Finally, we
discuss in detail the application of the t-DMRG to a system of interacting spinless
fermions which are quenched by suddenly changing the interaction strength. This
system provides a very useful test bed for the method, but also raises physical is-
sues which are illustrative of the general behavior of quenched interacting quantum
systems.
23.1 Time Dependence in Interacting Quantum Systems

The calculation of the time dependence of interacting quantum mechanical systems
is, generally, a difficult problem. Although the time dependence of the wave vector
|ψ is governed by the time-dependent Schrödinger equation
∂|ψ
i = H|ψ , (23.1)
∂t
with formal solution
|ψ(t) = e−iHt/ |ψ(t0 ) (23.2)
for a time-independent Hamiltonian H given an initial state at time t = t0 , |ψ(t0 ),
this formal expression does not help very much in finding an actual solution: Calcu-
lating the exponential of the Hamiltonian applied to an arbitrary state is, in general,
a quite difficult problem.
Here we will concern ourselves primarily with the case of systems undergoing
a sudden change or quench, as formulated above, i.e., the system is prepared in an
initial state at time t0 ≡ 0 and evolves via a Hamiltonian that is time-independent
R. M. Noack et al.: Studying Time-Dependent Quantum Phenomena with the Density-Matrix Renormalization Group,
Lect. Notes Phys. 739, 637–652 (2008)
638 R. M. Noack et al.
for t > 0. In order to simplify the notation, we will take = 1 and define t0 ≡ 0
in the following. This physical situation is interesting in a number of experimental
contexts. Examples include experiments in which the depth of an optical lattice con-
taining trapped cold atoms is suddenly changed, leading to the collapse and revival
of a Bose-Einstein condensate [1], the realization of a quantum version of Newton’s
cradle [2], the quenching of a ferromagnetic spinor Bose-Einstein condensate [3],
and transport across quantum dots [4, 5] and other nanostructures. One should also
consider what aspects of time-dependent behavior are interesting. In these systems,
the detailed time evolution of various observables can be followed experimentally
on short to intermediate time scales. For example, for the system of 87 Rb atoms
on an optical lattice, snapshots of the momentum distribution can be obtained by
releasing the condensate at different times after the quench and then performing
time-of-flight measurements [1]. What is interesting is, first of all, the transient be-
havior, in this case, oscillations between a momentum distribution characteristic of
a Bose-Einstein condensate and that of a bosonic Mott insulator. After a somewhat
longer period of time, one can ask the question of whether there is relaxation of
these oscillations to stationary or quasi-stationary behavior, and, if so, how can this
behavior be characterized.
Numerically, the way to proceed, given an initial state |ψ(0), is to propagate
through a succession of discrete time intervals of size ∆t. The time interval ∆t is
chosen to be sufficiently small so that |ψ(t+∆t) can be calculated to the desired ac-
curacy given |ψ(t). For the single-particle Schrödinger equation, an appropriately
chosen discretization in time and space leads to finite difference equations which
can be iterated numerically; the most well-known variants are the Crank-Nicolson
method and the Runge-Kutta method. For interacting many-particle systems, it is
less evident how to formulate a well-behaved and efficient algorithm, but a dis-
cretization in time nevertheless forms the basis for most tenable algorithms.
One class of such algorithms involves projecting the time-propagation operator
over a finite interval, exp(−iH∆t), onto the Krylov subspace, the subspace gener-
ated by applying the Hamiltonian n times to an arbitrary initial vector, |u0 ,
? @
|u0 , H|u0 , H 2 |u0 , ..., H n |u0 .
The Lanczos and the related Arnoldi method involve projecting an operator onto
an orthogonalized version of this Krylov subspace, where n is typically chosen to
be much smaller than the total dimension of the Hilbert space (see also Chaps. 18
and 19). In the original methods, the operator projected is the Hamiltonian, and the
lowest (or highest) few eigenstates are good variational (anti-variational) approx-
imations to the exact eigenstates. However, variants of these methods can also be
used to approximate the unitary time-evolution operator. In the Lanczos procedure,
the Hamiltonian becomes tridiagonal in the Lanczos basis, a basis for the Krylov
subspace orthogonalized via the Lanczos recursion. The time evolution operator is
then the exponential of a tridiagonal matrix, which can be formed explicitly and ef-
ficiently. For a given time interval ∆t and bandwidth of the matrix representation of
H, explicit error bounds can be given for the Euclidean norm of the wave function
23 Studying Time-Dependent Quantum Phenomena 639
[6]. In practice, very good approximations for an appropriately chosen ∆t can be

achieved by taking n ≈ 10–20 [7]. These algorithms can be applied to almost any
system that can be treated with exact diagonalization to find ground-state properties
and provide a very useful numerically exact (or at least very controllable) method for
small system sizes. However, these methods are limited in the same way that exact
diagonalization for the ground-state properties are limited: Since the entire Hilbert
space, which grows exponentially in system size, must be treated, the computational
complexity and the memory required also grow exponentially.
One class of algorithms that overcomes this exponential limitations, at least for
a certain class of low-dimensional interacting quantum lattice models with short-
range interactions, is the density-matrix renormalization group. It is related to exact
diagonalization in that it carries out a series of iterative diagonalizations in order to
form a good variational approximation to particular states of a system in a reduced
Hilbert space.
23.1.1 Calculating Time Evolution Within the DMRG
In its original formulation, the density-matrix renormalization group algorithm is a

method for calculating the properties of extremal eigenstates (e.g., the ground state
and low-lying excited states) of an interacting quantum system on a finite lattice
in a truncated basis, i.e., on a carefully chosen subspace of the complete Hilbert
space. This is done by iteratively building up a variational state, a particular case
of a matrix-product state. For details, see Chap. 21. The fundamental idea behind
the approximation is to divide the complete system (superblock) into two parts: a
system block and an environment block; see Fig. 23.1. Once such a division is made,
the basis is tailored to suit a particular state or set of states |ψα using the reduced
density matrix for the system block which has the form

ρsub = Wα j|ψα ψα |j , (23.3)
α j
where the states |j are a basis for the environment block, and the Wα are positive
semi-definite weights, which must sum to one. When only one state enters into the
sum (i.e., only one wα = 1), the superblock is in a pure state, otherwise it is in a
mixed state. The states |ψα are called target states.
In order to truncate the basis, a given number, m, states with the largest weights,
i.e., the largest density-matrix eigenvalues, are retained. For the case of a pure state,
this is equivalent to representing the wave function of the superblock in a reduced
basis by truncating the Schmidt or singular-value decomposition:
system environment
superblock
Fig. 23.1. Decomposition used in the DMRG: The superblock, which encompasses the entire
system studied, is divided into a system block and an environment block
m ≤ dim(γ)
√
|ψ0 ≈ wγ |φγ |χγ , (23.4)
γ
where the wγ are the nonzero eigenvalues of the reduced density matrices of either
the system or the environment blocks (which are identical), and the |φγ and |χγ are
the eigenstates of the reduced density matrices of the system and the environment
blocks, respectively. This expression can straightforwardly be generalized to the
case of a mixed state. A matrix-product state is built up out of a succession of such
approximations.
In order to accurately calculate a state that evolves in time, the DMRG algorithm
must be extended in two ways: First, states other than extremal eigenstates must be
generated, and second, the basis must be adapted to the time-evolving state. Differ-
ent choices can be made in how these extensions are carried out; these choices can
be used to classify the various algorithms.
The simplest and earliest algorithm, formulated by Cazalilla and Marston [8],
adapts the basis for the initial state only. More specifically, the initial state |ψ(0) is
determined using a ground-state DMRG calculation, carried out with a Hamiltonian
H0 . The wave vector is then propagated through a set of time steps without fur-
ther changing the basis, i.e., the basis is adapted to the initial state only and is not
changed. The accuracy of this method clearly depends on how well the basis adapted
for the initial state represents the time-evolved state. Since one is, in most cases, in-
terested in a time-evolved state which is significantly different from the initial state,
this method, will not, in general, provide an accurate approximation for the time-
evolved behavior.
Luo, Xiang and Wang [9] subsequently pointed out that better accuracy could be
achieved for the test quantity calculated in [8], the tunnel current across a quantum
dot, when information on all relevant time scales is included in the DMRG proce-
dure. They did this by including in the density matrix (23.3) states at all discrete
time steps,
|ψ(0), |ψ(∆t), |ψ(2∆t), . . . , |ψ(T ) (23.5)
up to a maximum time T . This scheme is illustrated conceptually in Fig. 23.2(a).
While this technique should evidently improve the accuracy at times removed from
t = 0, the penalty that must be paid is that the set of bases built up by the DMRG
procedure, i.e., the matrix-product state that is generated, is adapted for a set of
states rather than for a single state. Therefore, for a fixed number of states kept at
each step, the accuracy of the representation of each particular state suffers. In other
words, the longer the desired maximum time T , the more poorly the matrix-product
state is adapted for a given time, at least at fixed numerical effort.
23.1.2 Adaptive Algorithm
Generally, procedures for propagating differential equations forward through a fi-

nite difference in time depend only on the previous time step, or, at most, on a small
number of previous time steps. Therefore, it seems natural to address the problem
(a) (b)
full Hilbert space full Hilbert space

Δt Δt
current time step

all states
Fig. 23.2. Schematic sketch of the portions of the complete Hilbert space for which
the matrix-product state is adapted for (a) the complete t-DMRG and (b) the adaptive
t-DMRG
described at the end of the last section by targeting only states associated with the
previous and the current time step. While this statement seems straightforward at
first glance, the problem of how to formulate a controlled, efficient algorithm in-
corporating this strategy is less straightforward. In particular, the original DMRG
algorithm targets extremal eigenstates of the Hamiltonian, i.e., the ground state and
low-lying excited states within a particular symmetry sector. Additional states can
also be targeted, such as the correction vector when dynamical quantities are desired
(see Chap. 22), but they are generally generated by applying an operator to one of
the extremal eigenstates, or by minimizing an additional functional. For an arbitrary
time step, however, the only information available is |ψ(t), which is not an extremal
state of a particular functional. Information on this state is encoded as a matrix-
product state, i.e., a series of transformations to the basis of the reduced density
matrix for successive partitions of the system. Given this state and the Hamiltonian
H that determines the time evolution, the state |ψ(t + ∆t) = exp(−iH∆t)|ψ(t)
must be calculated. This must be done by re-adapting the basis to |ψ(t + ∆t).
In general, such a re-adaption is carried out by performing a finite-system
DMRG sweep in which the state |ψ(t + ∆t) is targeted at each step. By doing
this for every bipartite decomposition of the system, the matrix-product state is op-
timized for the new state. Note, however, that in order to calculate |ψ(t + ∆t)
accurately, an accurate representation of |ψ(t) must also be available at each step.
Therefore, the basis must simultaneous be re-adapted for |ψ(t). However, |ψ(t)
cannot be explicitly recalculated because the previous time step is not known. This
technical problem is the reason that the adaptive method was not developed ear-
lier. The solution is to transform the wave function |ψ(t) from the last step us-
ing the so-called wave-function transformation; for details, see Chap. 21, Sect. 4,
and, in particular, (35). Note that such a transformation is not exact; it introduces
an additional error that is the truncation error of the particular finite-system step
into the representation of |ψ(t). Therefore, one should avoid performing super-
fluous finite-system sweeps in the time-dependent DMRG; unlike in the ground-
state DMRG, additional sweeps are not guaranteed to always improve the wave
function.
The original work on adaptive t-DMRG [10, 11, 12] treated the time evolution
operator in the Trotter-Suzuki decomposition. The most commonly used second-
order decomposition has the form
e−iH∆t ≈ e−iHeven ∆t/2 e−iHodd ∆t e−iHeven ∆t + O((∆t)3 ) , (23.6)
where Heven (Hodd ) are the parts of the Hamiltonian involving even (odd) bonds
and we have Lassumed that H can be decomposed as H = Heven + Hodd . Here
Heven = H is a sum over the even bond operators and, similarly,
L i=1 2i,2i+1
Hodd = i=1 H2i−1,2i . Note that only Hamiltonians composed solely of nearest-
neighbor connections can be decomposed in this way. For one-dimensional lattices,
this decomposition can be integrated quite readily into the usual finite-system al-
gorithm. Since the exponentials of the individual bond operators within the even or
odd bonds commute with one another, the terms can be ordered so that only one
bond term is applied at each finite-system step. This bond term is chosen so that it
corresponds to the two exactly treated sites in the finite-system superblock config-
uration, as depicted in Fig. 23.3. The advantage of this scheme is that the complete
Hilbert space of the two sites is present, so that this piece of the time-evolution op-
erator can be applied exactly and very efficiently. A complete sweep back and forth
then successively applies all the bond operators and, at the end of the sweep, the
propagation through the time step is complete. For more detailed descriptions of the
algorithms, see [11, 12].
Feiguin and White [13] subsequently pointed out that an adaptive t-DMRG algo-
rithm can also be formulated without carrying out a Trotter-Suzuki decomposition.
Instead, the complete time evolution operator is applied at each step of the finite-
system procedure, and sweeping is carried out only to adapt the matrix-product state.
Different schemes are then possible to carry out the propagation through a time step;
in [13] the Runge-Kutta method was used. However, if an integrator is used, it would
clearly be better to use one that preserves unitarity, such as Crank-Nicholson. The
most accurate and efficient scheme seems to be to decompose exp(−iH∆t) in a
Lanczos basis [7] or using the Arnoldi method [14], just as is done in the exact di-
agonalization method discussed above in Sect. 23.1. This scheme has the advantage
of preserving unitarity and converges exponentially in the number of applications
of H.
Another crucial issue in the general adaptive algorithm is which states to tar-
get in the density matrix. If one considers the time evolution of the density matrix
through one time step
Hi,i+1
i i+1
Fig. 23.3. Four-site superblock decomposition showing how an individual bond operator is
applied in the Trotter-Suzuki decomposition-based variant of the adaptive t-DMRG
t+∆t
ρ(t + ∆t) = dt′ |ψ(t′ )ψ(t′ )| , (23.7)
t
it is clear that targeting additional states within the time interval [t, t + ∆t] could be
helpful [13]. Just how many intermediate time steps should be targeted depends on
the overall time step ∆t and the details of the system studied. In practice, we target
one to a few states at intermediate times in the calculations presented in Sect. 23.2;
this issue is illustrated numerically there.
In general, which variant of the adaptive t-DMRG to use will depend on the
problem treated. First, the Lanczos (and related variants of the general adaptive
scheme) can be applied to a more general class of systems than the Trotter method.
When the Trotter method can be applied, it is generally computationally more effi-
cient for a given formal accuracy, i.e., equal number of states kept m or equal cutoff
in discarded weight or quantum information loss. However, in general, the different
methods should be compared in test runs for particular systems in order determine
which one yields the most accurate and stable results for given computational effort.
23.2 Sudden Quench of Interacting Fermions
In order to illustrate and test the adaptive t-DMRG algorithm as well as to explore
typical physical issues that crop up in suddenly perturbed strongly interacting sys-
tems, we consider a system of spinless fermions with nearest-neighbor Coulomb
repulsion †

H = −th cj+1 cj + H.c. + V nj nj+1 . (23.8)
j j
Here th is the hopping integral, which we take to be the unit of energy, th = 1,

unless explicitly stated otherwise, c†j (cj ) creates (annihilates) a fermion on site j,
V denotes the strength of the Coulomb repulsion, and nj = c†j cj is the local density
operator. In addition to being one of the simplest models of interacting fermions,
this system is well-suited as a test bed for various reasons. First, the system can
be mapped onto the anisotropic (XXZ) Heisenberg chain, which is exactly solvable.
Therefore, the ground-state phase diagram, as well as many aspects of the excitation
spectrum, are known. Second, at half-filling, there is a phase transition between two
qualitatively different phases as a function of V . In the fermionic language, the
transition is between a metallic (more precisely, Luttinger liquid) phase for V <
Vc = 2 and a charge-density-wave (CDW) insulator for V > 2. In the spin language,
this corresponds to a transition between XY symmetry and Ising symmetry and the
corresponding phases. Third, as we will see, the atomic limit of this model leads to
an exactly understandable, but non-trivial time evolution. In order to take advantage
of these features of the model, we will treat exclusively the half-filled (n = 0.5)
system here.
Our physical motivation for considering this system comes from the “collapse
and revival” phenomena observed in experiments with atoms trapped in optical lat-
tices [1]. When the depth of the optical lattice is suddenly changed, the effective
hopping and interaction strength of the corresponding model are suddenly changed;
this can be parameterized as a change of their ratio. In the bosonic systems treated
in [1], the parameters were changed in such a way that a transition from a superfluid
to a bosonic Mott insulator was induced. Although more difficult to realize exper-
imentally, trapping fermionic atoms is also possible [15, 16]. As we will see, the
phenomena observed when the model parameters of fermionic systems are suddenly
changed is reminiscent of that found in the bosonic systems. In view of this, we will
treat a system initially prepared to be in the ground state of Hamiltonian (23.8) with
a particular value of the interaction V0 , i.e., |ψ(0) = |ψ0 (V0 ), the ground state of
H(V0 ). At time t = 0, the interaction strength will be suddenly changed to a value
V and the time evolution will be subsequently carried out using H(V ).
In order to investigate the single-particle properties of the system, which are
related to its metallic or insulating nature, we examine the momentum distribution
function
L
1 ik(l−m) †
nk (t) = e cl cm (t) , (23.9)
L
l,m=1
i.e., the Fourier transform of the one-particle density matrix, ρlm = c†l cm , as a
function of time. In an insulator, nk has a finite slope at the Fermi wave vector, k =
kF , while for a conventional (Fermi liquid) metal, there is a jump discontinuity at
kF . For a one-dimensional interacting metal, a Luttinger liquid, the jump is replaced
by a power-law singularity in the slope at kF [17, 18]. Note that the behavior of the
density-density correlation function is also interesting for characterizing the CDW
insulating phase [19, 20]; however, for the sake of compactness, we will consider
only single-particle properties here.
We use the adaptive t-DMRG method described in Sect. 23.1.2, using both the
Lanczos and the Trotter treatment of the time step. In all cases, we set a fixed thresh-
old of discarded weight as well as a limit on the maximum number of states kept;
we set the number of states limit to be appropriate for the weight cutoff and the
system parameters. Typical values for this system are a weight cutoff of 10−9 and a
maximum of 1500 states kept.
We have carried out extensive tests, comparing both variants of the adaptive
t-DMRG algorithm with each other and with control results where available. Un-
fortunately, there are not many interacting quantum systems for which exact results
can be obtained. In order to calculate the full time evolution, all eigenstates of the
system must be obtained; exact methods for the ground state, such as the Bethe
ansatz, are generally not powerful enough to obtain the full time evolution.4 For
spinless fermions, exact results for the time evolution are available for zero inter-
action V = 0 and in the atomic limit, th = 0. In addition, on sufficiently small
4
There have been recent advances for single-impurity systems using the Bethe ansatz; see
[21, 22].
systems, we can compare with time evolution calculated using the Lanczos method,
for which the numerical errors are well-controlled enough so that the numerical
error can be made arbitrarily small. The behavior of various quantities can be con-
sidered. Since the time evolution is unitary, the expectation value of the Hamiltonian
H(V ) and all higher powers of H, H 2 , H 3 , . . . , will be conserved. Any ap-
preciably change in these expectation values with time then signifies a breakdown
in accuracy. Since the average energy is not particularly important physically, the
accuracy of the relevant observables is more important. Here the most important
observable is the momentum distribution nk ; other useful quantities include the
local density and the density-density correlation function.
In Fig. 23.4, we compare the maximum error over k in the momentum distri-
bution of various t-DMRG calculations for the same system, an L = 18 site chain
with open boundary conditions in which the interaction is changed from V0 = 0.5 to
V = 10. The numerically exact (for the time range shown) benchmark is provided
by a Lanczos time evolution calculation. In the Lanczos t-DMRG method, it is im-
portant to optimize the number of intermediate time steps targeted. As can be seen
the accuracy of the Lanczos t-DMRG method depends strongly on the number of
intermediate time steps taken. For the time step taken here, the best accuracy occurs
0.1
0.01
0.001
0.0001
max(|nkED - nkDMRG|)
1e-05
1e-06
1e-07
1e-08
1e-09 L = 18, OBC, V1 = 0.5, V2 = 10, dt = 0.005, CPU-time = 8h

Trotter
1e-10 Lanczos, no intermediate time step
Lanczos, 1 intermediate time step
Lanczos, 10 intermediate time steps
1e-11
0 5 10 15 20 25
time t
Fig. 23.4. Maximum value of the deviation of the momentum distribution nk obtained with
the Lanczos and Trotter adaptive t-DMRG methods from a numerically exact Lanczos time-
evolution calculation for a system of interacting spinless fermions with L = 18 sites pushed
out of equilibrium by changing the interaction from V0 = 0.5 to V = 10 at time t = 0. the
time step is ∆t = 5 × 10−3 and the calculations were all limited to 8 CPU hours with fixed
discarded weight
when one intermediate time step is taken, with zero and ten intermediate time steps
significantly less accurate. The Trotter method yields the most accurate result for
times less than approximately one, whereas the Lanczos t-DMRG with one inter-
mediate time step yields somewhat more accurate results for times between one and
five. Note that the CPU time has been held to the same value for all the runs, so
that the length of the curves in time indicate the relative efficiency. For example, the
Trotter method uses about 2/3 the CPU time of the comparably accurate Lanczos
t-DMRG with one intermediate time step. Therefore, for fixed CPU time, one could
gain better accuracy for the same time range by taking a larger m. This result is typ-
ical for the system of spinless fermions treated here. We note, however, that a larger
time step can be taken in the Lanczos t-DMRG than the Trotter variant to obtain the
same accuracy. We nevertheless find that the Trotter method with an optimal choice
of parameters yields the most accurate results for a given computational effort for
the results shown here; the majority of the results shown are therefore calculated
using it. A more extensive analysis of the errors can be found in [19].
One useful limit to consider is the atomic limit, th = 0. With no hopping, the
particle number can be treated as classical variable and the Hamiltonian, which con-
sists of only a Coulomb repulsion, corresponds to the classical Ising model. In the
Ising language, the ground state is an unmagnetized antiferromagnetic state, which
corresponds to a CDW state at q = π site and is two-fold degenerate. Excitations
out of the ground state involve forming at least one domain wall, each of which
has an energy cost V . Such excited states are highly degenerate because the num-
ber of ways of making such an excitation is at least of the order of the system size.
Therefore, the complete excitation spectrum consists of a series of highly degen-
erate, dispersionless levels at energy V , 2V , . . . The time dependence of the rele-
vant observables can be calculated explicitly. Any observable composed of the local
density operator niσ , such as the density-density or spin-spin correlation function,
is time-independent because niσ commutes with H when th = 0. The functional
dependence of the single-particle density matrix on time and thus the frequencies
that enter into its Fourier transform nk can be easily obtained. It consists of two
cosine terms with frequencies ω1 = V and ω2 = 2V is therefore periodic with
period T = 2π/V [19].
We display the behavior of the momentum distribution nk Fig. 23.5(a). The
initial state is the ground state of H(V0 = 0.5) with th = 1, i.e., an interacting
metallic state. (In the thermodynamic limit, the jump at kF = π/2 would develop
into the singular, Luttinger-liquid form.) As nk develops from the pseudo-metallic
form at t = 0, changes rapidly, even attaining inverted behavior as a function of k
at t = 0.3. At t ≈ 0.62, in agreement with the argument above, there is a complete
revival of the momentum distribution. The Fourier transform in the time domain,
Fig. 23.5(b), clearly shows the expected sharp peaks at ω1 = V and ω2 = 2V .
We now turn to the case of finite th , treating first time evolution with large V /th ,
V = 40 (with th = 1), which is well into the CDW insulating phase for the ground
state. The initial state is the ground state of H(V0 = 0.5), which has distinctly
metallic character. As can be seen from the surface plot in Fig. 23.6, the behavior
1
(a) 1 τ=0 (b) L = 100, q = π
τ = 0.01 0.1
τ = 0.02
τ = 0.03
τ = 0.04 0.01
τ = 0.05
τ = 0.063 0.001
0.5 1e-04
1e-05
1e-06
1e-07
0 1e-08
0 π/2 π 0 20 40 60 80 100 120 140 160
k ω
Fig. 23.5. (a) Momentum distribution nk in the atomic limit, th = 0, V = 10 on a L = 100
site system at the indicated times. (b) Fourier transform in the time domain of the k = π
component from (a). The two sharp peak occur at angular frequencies ω1 = 10 and ω2 = 20
1
0.8
0.6
1 0.4
0.8 0.2
0
0.6
–0.2
0.4
–0.4
0.2 0
0
π/2 k
0 1 2 3 π
4 5
time τ
Fig. 23.6. Momentum distribution nk plotted as a surface depending on momentum k

and time t when the initial ground state of H(V0 = 0.5) is time-evolved with Hamiltonian
H(V = 40). The system size is L = 50, the time step ∆t = 0.001, and up to 1500 states
are kept with a discarded weight cutoff of 10−9
of the momentum distribution at short time is similar to that in the atomic limit.
There are strong oscillations at all k with a period T = 0.157, that is shorter due
to the larger value of V . However, the revival is not complete, and, after a number
of oscillations and a time of the order of 1/th , the oscillations damp out. At larger
times, there are still residual oscillations which do not become smaller, but also
show no significant drift or revival phenomena on the time scales treated. We argue
that this indicates that a quasi-stationary state has been reached. Note that, although
nk is still relatively steeply changing near the Fermi wave vector kF = π/2, the
slope is actually finite at kF , characteristic of insulating behavior.
When the time evolution for the same initial state is carried out with the smaller
interaction V = 10, Fig. 23.7, oscillations as a function of time are still evident.
However, the period is significantly longer, as would be expected from the smaller
value of V (T = 0.628). However, the time over which the oscillations decay is
still of the order of 1/th . Therefore, only two distinct oscillations are evident before
quasi-stationary behavior is reached. The relatively steeply changing portion of the
momentum distribution function is somewhat more pronounced than in the V = 40
case, but it still has insulating character.
For a much smaller interaction, V = 2.5, Fig. 23.8, no oscillations occur; the
metallic quasi-jump decays smoothly to an insulating form that has a somewhat
larger rapidly changing region than for the larger values of V . There still seems
1
0.9
0.8
0.7
1 0.6
0.5
0.8 0.4
0.3
0.6 0.2
0.1
0.4
0
0.2 0
0
π/2 k
0 1 2 3 4 π
5
time τ
Fig. 23.7. Momentum distribution nk plotted as a surface depending on momentum k

and time t when the initial ground state of H(V0 = 0.5) is time-evolved with Hamiltonian
H(V = 10). The system size is L = 50, the time step ∆t = 0.005, and up to 1000 states
are kept with a discarded weight cutoff of 10−9
1
0.9
0.8
0.7
1 0.6
0.5
0.8 0.4
0.3
0.6 0.2
0.1
0.4
0
0.2 0
0
π/2 k
0 3 6 9 π
12
time τ
Fig. 23.8. Momentum distribution nk plotted as a function of k and when the initial ground
state of is time-evolved with Hamiltonian H(V = 2.5). The system size is L = 50, the time
step ∆t = 0.005, and up to 1000 states are kept with a discarded weight cutoff of 10−9
to be convergence to quasi-stationary behavior for large t. The change is relatively

rapid until a time t = 1/th , and then somewhat more gradual between t = 1/th
and t = 2/th . We have also investigated evolution with smaller values of V . At
the critical point V = Vc = 2 and slightly below, the behavior does not change
significantly from that shown in Fig. 23.8. This is an indication that carrying out the
evolution at a critical point rather than slightly away from it has no large effect. In
addition, we investigated the case of a non-integrable system by turning on an ad-
dition next-nearest-neighbor Coulomb repulsion. This also had no qualitative effect
on the behavior of nk with time [23].
At all three parameter values discussed until now, we have observed relaxation
to quasi-stationary behavior in the momentum distribution, and all on a similar time
scale. In order to ascertain that this behavior is generic, we can examine the de-
pendence on the initial state. For a given V , the average energy H will increase
as the interaction for the initial state V0 is moved away from V in either direction.
Therefore, it is often possible to find two different initial states with the same av-
erage energy. The quasi-stationary behavior at sufficiently long times can then be
compared to see if it is generic. We find that unless the initial states are very far
apart, the momentum distribution does converge, to good quantitative agreement,
to the same quasi-stationary behavior. This is illustrated for a particular parameter
value, V = 2.5, in Fig. 23.9. As can be seen in Fig. 23.9(a), the two initial states, at
V0 = 0.5 and V0 = 5.0086 are qualitatively quite different: the state with the lower
1
τ=0
(a)
V0 = 0.5
0.75 V0 = 5.00857
〈nk〉
0.5
0.25
0
V = 2.5
(b)
V0 = 0.5
0.75 V0 = 5.00857
finite T
〈nk〉
0.5
0.25
0
0 π/2 π
Fig. 23.9. (a) Momentum distribution for two initial states at V0 = 0.5 and V0 = 5.0086 with
the same energy expectation value H(V = 2.5) for the time-evolving Hamiltonian. (b)
Momentum distribution of the two initial states of (a) after being time-evolved with H(V =
2.5) to a time T = 4.5. Also shown is the momentum distribution for a thermal state with
the same average energy calculated using the quantum Monte Carlo method
V0 has a clearly metallic initial momentum distribution, while the V0 = 5.0086 state
has clearly insulating character. Nevertheless, after a time t = 4.5/th , Fig. 23.9(b),
they agree almost exactly, with nk showing insulating behavior, but with a some-
what steeper slope at kF than the insulating initial state. Also depicted in Fig. 23.9(b)
is nk for a thermal state with the same average energy as both initial states. The
quasi-stationary state shows a small, but appreciable difference with the thermal
state. Such a difference becomes larger when the time evolution is carried out with
larger values of V . Therefore, we conclude that there is a generic quasi-stationary
momentum distribution for a wide range of initial states and time-evolving parame-
ter values, but that this state is almost always significantly different from the thermal
state with the same average energy and the same interaction strength. We have also
studied the density-density correlation function and have come to analogous con-
clusions [19, 20].
23.3 Discussion
In this chapter, we have given an outline of the method by which the DMRG tech-
nique can be used to calculate the time dependence of interacting quantum systems.
For most applications, some version of the adaptive t-DMRG will be the best-suited
method. Note, however, that it is possible that a system can have a strong enough
dependence on a wide range of earlier times so that the complete t-DMRG method
(i.e., targeting all time steps) could be advantageous in relatively rare circumstances
[14, 24].
Within the adaptive t-DMRG, there are two major variants. The first, the Trotter
method [10, 11, 12], is based on a Trotter-Suzuki decomposition which allows one
to decompose the time evolution operator into pieces that can be treated efficiently
and exactly within a DMRG sweeping procedure. While this method is generally
quite efficient, it is limited, at least in its simplest form, to one-dimensional systems
with nearest-neighbor interactions and also suffering from a systematic error in the
size of the time step. The second variant treats the evolution through a time step
directly [13]. The most effective way to do this seems to be to treat the exponential
time evolution operator in a Lanczos expansion or using the closely related Arnoldi
method [7, 14]. This method can treat more general Hamiltonians and seems to
be more stable and, in some cases, more accurate for some systems, but is usually
computationally more expensive than the Trotter method for similar accuracy.
As an example, we have applied the adaptive t-DMRG to a one-dimensional
system of interacting spinless fermions. By starting with a metallic state and time-
evolving with a Hamiltonian with CDW insulating ground state, we find oscillations
in the single-particle momentum distribution that are reminiscent of collapse and
revival phenomena found in bosonic systems on an optical lattice. These oscilla-
tions are damped out on the scale of the inverse hopping and attain quasi-stationary
behavior for a wide range of interaction strengths. Different initial states with the
same average energy lead to very similar quasi-stationary behavior, indicating that
this behavior is generic. However, the quasi-stationary behavior cannot be easily
characterized as a thermal distribution, at least when the temperature is fixed by the
average energy. One possibility to describe this behavior is to use a more general en-
semble such as the generalized Gibbs ensemble rather than the Boltzmann ensemble
[23, 25, 26]. Since the generalized Gibbs ensemble used in [23, 25, 26] is parame-
terized by an indefinite number of parameters, each coupled to a successively higher
power of the Hamiltonian H, any distribution can, in principle, be described. What
is required then is a simple physical description using a small number of parameters.
How to do this, and how to describe the long-time behavior of suddenly perturbed
interacting quantum systems in general, is clearly a very interesting area for further
research.
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24 Applications of Quantum Information
in the Density-Matrix Renormalization Group
Ö. Legeza1 , R.M. Noack2 , J. Sólyom1 , and L. Tincani2

1
Research Institute for Solid State Physics and Optics, H-1525 Budapest, Hungary
2
Fachbereich Physik, Philipps-Universität Marburg, 35032 Marburg, Germany
In the past few years, there has been an increasingly active exchange of ideas and
methods between the formerly rather disjunct fields of quantum information and
many-body physics. This has been due, on the one hand, to the growing sophisti-
cation of methods and the increasing complexity of problems treated in quantum
information theory, and, on the other, to the recognition that a number of central
issues in many-body quantum systems can fruitfully be approached from the quan-
tum information point of view. Nowhere has this been more evident than in the
context of the family of numerical methods that go under the rubric density-matrix
renormalization group. In particular, the concept of entanglement and its definition,
measurement, and manipulation lies at the heart of much of quantum information
theory [1]. The density-matrix renormalization group (DMRG) methods use proper-
ties of the entanglement of a bipartite system to build up an accurate approximation
to particular many-body wave functions. The cross-fertilization between the two
fields has led to improvements in the understanding of interacting quantum systems
in general and the DMRG method in particular, has led to new algorithms related
to and generalizing the DMRG, and has opened up the possibility of studying many
new physical problems, ones of interest both for quantum information theory and
for understanding the behavior of strongly correlated quantum systems [2].
In this line, we discuss some relevant concepts in quantum information theory,
including the relation between the DMRG and data compression and entanglement.
As an application, we will use the quantum information entropy calculated with the
DMRG to study quantum phase transitions, in particular in the bilinear-biquadratic
spin-one chain and in the frustrated spin-1/2 Heisenberg chain.
24.1 Basic Concepts of Quantum Information Theory

Perhaps the most fundamental measure in quantum information is the von Neumann
entropy, which quantifies the quantum information or entanglement between two
parts of a bipartite system. For a system of size N , it is defined as
!
s(N ) = −Tr ρ(N ) ln ρ(N ) . (24.1)
Here ρ(N ) is the density matrix for the system and the trace is over the degrees of
freedom of the system. Implicit in this description is that the system can be thought
Ö. Legeza et al.: Applications of Quantum Information in the Density-Matrix Renormalization Group, Lect. Notes
Phys. 739, 653–664 (2008)
654 Ö. Legeza et al.
of as forming one part of a larger, bipartite system which can always be constructed
to be in a pure state.
The von Neumann entropy has been found to be intimately connected to many-
body properties of a quantum system such as the quantum criticality. In one dimen-
sion, s(N ) will increase logarithmically with N if the system is quantum critical,
but will saturate with N if the system is not [3, 4]. If a quantum critical system is
also conformally invariant, additional, specific statements can be made about the
entropy (see below) [5]. In higher dimensions, the von Neumann entropy will be
bounded from below by a number proportional to the area (or length or volume, as
appropriate) of the interface between the two parts of the system [6].
Since the von Neumann entropy is also a quantification of the fundamental ap-
proximation in the DMRG, a number of entanglement-based approaches to improve
the performance and to extend the applicability of DMRG [2, 7, 8, 9], have been
developed in the past few years [10, 11, 12, 13, 14, 15, 16].
For a more extensive discussion of the relationship of entanglement and von
Neumann entropy with the fundamentals of the DMRG, see Chap. 20 of this volume,
especially Sects. 2 and 6.
24.1.1 DMRG and Quantum Data Compression
The reduction of the Hilbert space carried out in the DMRG method is closely re-
lated to the problem of quantum data compression [17, 18]. In quantum data com-
pression, the Hilbert space of the system Λ is divided into two parts: The “typical
subspace” Λtyp , which is retained, and the “atypical subspace” Λatyp , which is dis-
carded. For pure states, there is a well defined relationship between Λtyp and the von
Neumann entropy of the corresponding ensemble. In general, it has been shown that
β ≡ ln (dim Λtyp ) − s , (24.2)
is independent of the system size for large enough systems [11, 19].
Since one fundamentally treats a bipartite system in the DMRG, each subsystem
is, in general, in a mixed state. In the context of the DMRG, the accessible informa-
tion [20, 21] of mixed-state ensembles can be interpreted as the information loss due
to the truncation procedure. This information loss is a better measure of the error
than the discarded weight of the reduced density matrix
m

εTE = 1 − wα , (24.3)
α=1
(also called the truncation error). Here the wα are the eigenvalues of the reduced
density matrix ρ of either subsystem; both must have the same nonzero eigenvalue
spectrum.
Based on these considerations, the convergence of DMRG can be improved sig-
nificantly by selecting the states kept using a criterion related to the accessible in-
formation. In general, the accessible information must be less than the Kholevo
bound [20]
24 Applications of Quantum Information 655
I ≤ s(ρ) − ptyp s(ρtyp ) − (1 − ptyp ) s(ρatyp ) , (24.4)

where ρtyp or ρatyp are the portions of the density matrix formed from the basis states
that are kept and discarded, respectively. The probability ptyp is chosen to be appro-
priate for the corresponding binary channel. The behavior of the mutual information
for particular ensembles as a function of ptyp , including various bounds on the mu-
tual information can be found in [21]. For the DMRG, the atypical subspace should
contain as little information as possible if the approximation is to be accurate. As-
suming that this is the case, we take ptyp = 1, and the number of block states are
selected so that s(ρ) − s(ρtyp ) ≤ χ. This a priori-defined χ satisfies a well-defined
entropy sum rule which is related to the total quantum information generated by the
DMRG. Deviations from this sum rule provide a measure of the error of the DMRG
calculation. Therefore, χ can be chosen to control its accuracy.
Figure 24.1 shows the relative error of the ground-state energy, defined as
(EDMRG − Eexact )/Eexact , plotted on a logarithmic scale for various values of the
Coulomb interaction U for the one-dimensional Hubbard model. In Fig. 24.1(a), it
is plotted as a function of εTE , whereas in Fig. 24.1(b), it is plotted as a function of
χ. As can be seen, the error in the latter plot behaves very stably as a function of
χ, even for very small values of the retained eigenvalues of ρtyp . On the other hand,
the error in the energy behaves somewhat less regularly as a function of εTE. There-
fore, an extrapolation of the energy as a function of χ would be significantly better
behaved than one as a function of εTE . We find that such behavior is representative;
generically, extrapolation with χ is as stable or more stable than extrapolation with
εTE for a wide variety of systems [11].
100 100
U=1
U = 10
–1 –1
10 10 U = 100
10–2 10–2
relative error
10–3 10–3
10–4 10–4
U=1
10–5 U = 10 10–5
U = 100
10–6 –8 10–6 −8
10 10–6 10–4 10–2 10 10−6 10−4 10−2
TRE χ
Fig. 24.1. The relative error of the ground-state energy for the half-filled Hubbard chain for
various values of the on-site Coulomb interaction U on an N = 80-site lattice with periodic
boundary conditions as a function of (a) the truncation error and (b) the threshold value of
the Kholevo bound on accessible information, see (24.4). Taken from [11]
24.1.2 DMRG and Non-Local Models
Another application of quantum information to the DMRG is to non-local quantum

lattice models that occur in quantum chemical applications [22] or when the Hub-
bard and related models are represented in momentum space [23, 24]. A general
non-local fermionic Hamiltonian has the form

= σ,σ′
H σ
Tp,q c†p,σ
cq,σ + Vp,q,r,s c†q,σ′
c†p,σ cr,σ′
cs,σ . (24.5)
p,q,σ p,q,r,s,σ,σ′
Here c†p,σ creates a fermion with spin σ in single-particle orbital p. In quantum

σ
chemistry, the Tp,q represent the one-particle overlap integrals, while in momentum-
space models only the diagonal elements, which contain the dispersion, are nonzero.
σ,σ′
The Vp,q,r,s are two-particle overlap integrals, which are related to the Coulomb in-
σ,σ′
teraction, in quantum chemistry. For momentum-space models, Vp,q,r,s contains the
Fourier-transformed Coulomb interaction; additional symmetries (momentum con-
servation, interaction only between opposite spin species, etc.) generally simplify
its structure significantly.
In contrast to short-range models in real space, the optimal ordering of the “lat-
tice sites”, in such models, i.e., the orbitals of the single-particle basis, is not evident.
However, finding a sufficiently good ordering seems to be crucial to formulating ef-
ficient DMRG algorithms for such systems [10, 25]. From a quantum information
point of view, the lattice sites are inequivalent in general; their relative importance
only becomes clear when the interaction is turned on. Therefore, the entropy profile
of the bipartite partitioning of the finite system depends very much on the ordering
of the lattice sites. The question, then, is how to quantify their importance in terms
of quantum information. Unfortunately, there is, as yet, no clear-cut solution to this
problem. However, various quantum-information-based quantities lend insight. One
such quantity is the single-site entropy sp , which is formed by taking a single site as
one part of a bipartite system, and then calculating the entropy for this subsystem in
the usual way. This quantity encodes the entanglement between the site and the re-
mainder of the system, i.e., the extent to which the site shares quantum information
with the rest of the system. Heuristic schemes to order sites based on this site en-
tropy have been proposed [10]: Generally, sites with the largest single-site entropy
should be placed close together in the middle of the order. For such cases the size of
the typical subspace can also be reduced using entanglement-based optimization of
the ordering of lattice sites [10, 11, 16, 22]. The problem, however, is that the single-
site entropy does not encode the quantum information exchange between pairs of
sites, i.e., how important it is to place particular sites in proximity to each other.
One quantity that can overcome this problem is the mutual two-site information
1 p
Ip,q ≡ (s + sq − spq ) (1 − δpq ) ≥ 0 , (24.6)
2
where spq is the entropy of a subsystem consisting of two (not necessarily adja-
cent) lattice sites p and q. This quantity has proven to be especially useful when
11a1 9a1 7a1
LiF 9a1 11a1 13a1 CO
4a1 8a1 6a1
2b2 4a1 5a1
12a1
3b2
3a1 1b2 2b1 2b2
4b2
10a1 2b2
5b2 3b1
1b1 4b1 1b1 1b2 2b2
5b1 2b1
4b1 3b1 3a1
4b1u
N2 4ag F2
5ag 4b1u
2b1u 3ag 5ag 2b1u
2ag
1b3g 1b2g 4ag 3ag 3b1u
1b3g 1b2g
1b3g 2b2g
1b2u 1b3u 2b3g 2b2u 2b3u 2b2g
2b2u 2b3u 1b2u 1b3u
2ag
5b1u 3b1u
Fig. 24.2. Diagram of Ip,q for the molecules LiF, CO, N2 , and F2 calculated at Hartree-Fock
ordering with m = 200: Lines connect orbital labels with Ip,q > 0.01. The circle for CO and
N2 denotes that the surrounding orbitals are all connected with each other. Taken from [22]
applied to quantum chemical systems. In Fig. 24.2, we show the topology of Ip,q
for four prototypical small molecules, LiF, CO, N2 , and F2 , with a particular ba-
sis set; for details, see [22]. As can be seen, the mutual two-site information yields
a picture of the detailed connectivity of the orbitals, which is different for each
molecule. An attempt to optimize ordering of orbitals using a cost function based
on this information has led to moderate success [22]. However, more work needs
to be done both on defining a meaningful measure of mutual two-site information,
and in developing heuristics to optimize ordering based on this measure. A related
problem has cropped up in an attempt to map the one-dimensional Hubbard model
with periodic boundary condition to a model with open boundary conditions [16].
σ,σ′
The transformed effective interaction, which has the form Vp,q,r,s (see Hamiltonian
(24.5)), is then nonlocal. An analysis of the entanglement generated by these nonlo-
cal terms has been used to optimize the site ordering. Such insights are also relevant
to quantum chemical problems.
24.2 Entropic Analysis of Quantum Phase Transitions
The local measure of entanglement, the ℓ-site entropy with ℓ = 1, 2, ...N , which
is obtained from the reduced density matrix ρ, can be used to detect and locate
quantum phase transitions (QPTs) [26, 27, 28, 29]. As an example, Fig. 24.3 shows
the block entropy for ℓ = N/2 for the most general isotropic spin-one chain model
described by the Hamiltonian
) 2*
H= cos θ (S i · S i+1 ) + sin θ (S i · S i+1 ) , (24.7)
i
3
Block entropy
2
200
0
–1 −0.5 0 0.5 1
θ/π
Fig. 24.3. Entropy of blocks of ℓ = N/2 and ℓ = N/2 + 1 sites of the bilinear-biquadratic
spin S = 1 model for a chain with N = 200 sites
as a function of θ, where we take −π < θ ≤ π. In one dimension, the model is

known to have at least four different phases [30, 31, 32]. The ground state is fer-
romagnetic for θ < −3π/4 and θ > π/2. For −3π/4 < θ < −π/4, the ground
state is dimerized; the point θ = −π/4 is exactly solvable [33, 34]. In the range
−π/4 < θ < π/4, the system is in the Haldane phase, there is an exact solution at
θ = π/4 [35, 36, 37], and for π/4 < θ < π/2, the phase is spin nematic (trimer-
ized). The issue of whether a quantum quadrupolar phase [38, 39, 40], exists near
θ = −3π/4 has not yet been settled [41]. These phases and the corresponding QPTs
are reflected in the block entropy, Fig. 24.3. The jump in the entropy at π/2 indicates
a first-order transition. At θ = −3π/4, there is only a cusp in the block entropy, but
a jump in the single-entropy sp (as defined above) indicates that this transition is first
order [42]. The cusps at θ = −π/4 and π/4 indicate second-order transitions, and
the bifurcation of the entropy curves for ℓ = N/2 and ℓ = N/2 + 1 indicates that
there is a spatially inhomogeneous dimerized phase between −3π/4 < θ < −π/4.
Note that the entropy has a minimum at θ = arctan 1/3 ≃ 0.1024π, which is
at the valence-bond-solid (VBS) point [43], but that it remains a continuous curve.
The extremum of the entropy indicates a change in the wave function and can also
signal a phase transition even if it remains a continuous curve. Such behavior has
also been found in the 1/n-filled SU(n) n = 2, 3, 4, 5 Hubbard model at U = 0,
where an infinite-order (Kosterlitz-Thouless-like) phase transition takes place [27,
44, 45, 46]. Since there is no sharply defined transition in the entropy, however,
additional methods must be used to classify the ground-state properties on either
side of an extremum. One possibility is an analysis of the entropy profile s(ℓ) as
the subsystem size ℓ is changed from ℓ = 0 to N for fixed model parameters; see
below. Note that there is also another minimum in the block entropy at θ = −π/2;
this corresponds to a point where the model can be partially mapped to the nine-state
quantum Potts model whose ground state is exactly known [47, 48]. However, there
is no known phase transition at this point.
For models that map to a conformal field theory [49], an analytic expression for
the entropy profile has been derived, and this form has been shown to be satisfied
by critical spin models. The entropy for a subsystem of length ℓ in a finite system
of length N with open boundary conditions within conformal field theory has the
form [5]

c 2N πℓ
s(ℓ) = ln sin +g , (24.8)
6 π N
where c is the central charge. This quantity contains a constant term which depends
on the ground-state degeneracy and a constant shift g which depends on the bound-
ary conditions. As will be shown below, there can be an additional oscillatory term
which decays with system size and distance from the boundary as a power law
[50, 51].
A new method to analyze the oscillatory nature of the finite subsystem entropy
s(ℓ), is based on the Fourier spectrum of s(ℓ),
N
1 −iqℓ
s#(q) = e s(ℓ) , (24.9)
N
ℓ=0
with s(0) = s(N ) = 0, where q = 2πn/N and n = 0, . . . , N − 1, is appropriate to

study cases when no true phase transition takes place, i.e., when only the character
of the decaying correlation function changes.
Figure 24.4(a) shows the block entropy at θ = π/4 for the so-called trimerized
phase, a phase characterized by three soft modes in the energy spectrum at k =
0, ±2π/3 [35, 36, 37]. The solid line is a fit using (24.8), which yields c = 2 in
agreement with [30, 31, 32] and [52]. The oscillation in the entropy with a period of
three is related to these three soft modes, as is apparent in Fig. 24.4(b) in which the
peaks in the Fourier spectrum appear at k = 0, ±2π/3 [53]. A similar analysis at
θ = −π/4 yields c = 3/2 in the thermodynamic limit. The corresponding s#(q) has
2
(a)
1.5
s(l)
0.5
0 10 20 30 40 50 60
l
20
(b)
15
N 2|s(q)|2
θ = π/4
10 θ = .15π
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
q/π
Fig. 24.4. (a) Von Neumann entropy of a subsystem of size ℓ on an L = 60 bilinear-

biquadratic spin chain for θ = π/4 and θ = 0.15π. The fit to the upper, θ = π/4, curve has
been carried out using (24.8), and yields c = 2, q ∗ = 2π/3. The lower curve, for θ = 0.15π,
has a small value and the entropy saturates because the phase is gapped. (b) Power spectrum
N 2 |#
s(q)|2 of the data of (a). The curve for θ = 0.15π has been multiplied by a factor of 5 to
enhance its readability on this scale
peaks at q = 0 and π for finite systems. It is known that for θ < π/4 the soft modes
become gapped and the minimum of the energy spectrum moves from q = 2π/3
toward q = π as θ approaches the VBS point [43].
In order to characterize the various phases in the thermodynamic limit, a finite-
size extrapolation must be carried out. Fig. 24.5 displays the behavior of s#(q ∗ )
with system size for a number of values of θ that are representative of the differ-
ent phases. The wave vector q ∗ is chosen to be appropriate for the corresponding
phase, for example, q ∗ = 2π/3 in the trimerized phase. The value q ∗ = 0.53 for
θ = 0.15π (in the incommensurate phase) is the location of the incommensurate
peak; see Fig. 24.4(b). As can be seen, all s#(q ∗ ) → 0 for N → ∞, except in the
range −3π/4 < θ < −π/4 where s#(q = π) remains finite, signaling the bond-
ordered nature of the dimerized phase. Note that the q ∗ = 0 peak (not shown) also
scales to a finite value in much of the phase diagram.
In Fig. 24.6, we summarize the behavior of s#(q) for finite systems and in the
N → ∞ limit. We determine the position of the peaks in s#(q) on finite systems
by finding the maxima in splines fit through the discrete allowed q points. Infinite-
system behavior, obtained from extrapolations (see Fig. 24.5), is also depicted. In
the ferromagnetic phase, θ < −3π/4, θ > π/2, there is a sole peak at q ∗ = 0, as ex-
pected. The q ∗ = 0 peak is present for all θ and persists in the thermodynamic limit.
In the dimer phase, −3π/4 < θ < −π/4, the q ∗ = π peak persists in the thermo-
dynamic limit (see Fig. 24.5). Two different behaviors can be seen in the Haldane
phase, −π/4 < θ < π/4; for θ < θVBS , the q ∗ = π peak present in finite-size
systems vanishes in the thermodynamic limit. For θ > θVBS , the incommensurate
peak present only in finite systems can be seen to move from q = 0 to 2π/3 as
θ goes towards π/4, as also seen in Fig. 24.4. Finally, in the spin nematic phase,
π/4 < θ < π/2, there is a peak at q ∗ = 2π/3 which scales to zero as N → ∞.
Therefore, incommensurability can be detected by the entropy analysis as well.
It is known [54] that the VBS point is a disorder point, where incommensurate
θ = −π/2, q = π
θ = −π/4, q = π
0.25 θ = 0, q=π
θ = .15π, q = .53π
0.2 θ = π/4, q = 2π/3
s(q)
0.15
0.1
0.05
0
0 0.005 0.01 0.015 0.02 0.025 0.03
1/N
Fig. 24.5. Finite-size scaling of s#(q) for a number of representative values of θ at the appro-
priate wave vector q. The continuous lines are fits to a form AN −α + B
vbs
Fig. 24.6. Position of the peak q ∗ in the Fourier-transformed block entropy |# s(q)|2 plotted
as a function of the parameter θ for the bilinear-biquadratic spin chain on system sizes of
N = 120 and N = 180 (for higher resolution near θVBS ), as well as in the thermodynamic
limit. The peak at q ∗ = 0 on finite systems, which is present for all θ, has been removed for
readability
oscillations appear in the decaying correlation function; however, the shift of the
minimum of the static structure factor appears only at a larger value, θL = 0.138π,
the Lifshitz point. In contrast to this, the minimum of the block entropy shown in
Fig. 24.3 is exactly at the VBS point, and therefore indicates the location of the
commensurate-incommensurate transition correctly.
A similar analysis can be carried out for the frustrated J − J ′ Heisenberg spin
1/2 chain with Hamiltonian
) *
H= J (S i · S i+1 ) + J ′ (S i · S i+2 ) , (24.10)
i
with the ratio J ′ /J (J ′ , J > 0) playing the role of the parameter θ in the bilinear-
biquadratic model. For J ′ /J < Jc ≈ 0.2411, the model is in a critical Heisenberg
phase, while a spin gap develops for J ′ /J > Jc . At J ′ /J = 0.5, the Majumdar-
Ghosh point, the model is exactly solvable and the ground state is a product of
1.5
N 2|s(q)|2
J/J′ = 0.9
1 J/J′ = 1
0.5
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
q/π
Fig. 24.7. Power spectrum of the block entropy N 2 |#s(q)|2 for the frustrated Heisenberg
′
chain at J/J = 1, calculated on a chain of length N = 128
local dimers [55]. As a function of J ′ /J, the block entropy is continuous, but has
a minimum at J/J ′ = 0.5. For J/J ′ > 0.5 an extra peak appears in the Fourier
spectrum of s#(q) and moves from 0 to π/2 as J/J ′ gets larger. The development of
the incommensurate peaks near J/J ′ = 1 can be seen in Fig. 24.7.
24.3 Discussion and Outlook

In this chapter, we have sketched the intimate relationship between quantum in-
formation and the family of density-matrix renormalization group methods. The
fundamental approximation in the DMRG can perhaps be best understood in quan-
tum information terms: The wave function of a bipartite system is most accurately
represented by minimizing the quantum information loss, or by carrying out an op-
timal lossy quantum data compression. The quantum information loss can be used
within the DMRG as a measure of the accuracy that is alternate to the discarded
weight of density matrix eigenvalues and has a number of advantages. We have out-
lined some efforts to use quantum information quantities, specifically, the one-site
entropy and the mutual quantum information for two sites, to optimize the order-
ing of single-particle orbitals in non-local Hamiltonians. Finally, we have discussed
how the von Neumann entropy calculated during the DMRG procedure can be used
to study quantum phase transitions. Jumps, cusps, and minima or maxima in the
mid-block entropy signal first, second, and infinite-order phase transitions, while
information about the spatial structure of phase can be gleaned from dependence
of the entropy on the position of the partition of the bipartite system and from its
Fourier transform.
There are a number of possibilities to further apply quantum information theory
within the DMRG approach. For example, the possibility of using various quan-
tum information entropies, the entropy reduction by basis-state transformations,
entanglement localization, bounds on accessible information of mixed states, and
the description of the dynamics of mixed states in terms of an effective tempera-
ture have not yet been fully explored [1, 56]. These aspects of quantum informa-
tion are also closely related to a more quantum-information oriented formulation
of the DMRG which has led to more general algorithms based on matrix-product
states and their generalizations. Application of these generalizations include sys-
tems at finite temperature, systems with dissipation, the calculation of dynamical
and time-dependent behavior, and more efficient treatment of higher-dimensional
systems [2].
Acknowledgements
This work was supported in part by Hungarian Research Fund (OTKA) Grants No.
K 68340 and NF 61726 and by the János Bolyai Research Fund.
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25 Density-Matrix Renormalization Group
for Transfer Matrices: Static and Dynamical
Properties of 1D Quantum Systems
at Finite Temperature
Stefan Glocke1 , Andreas Klümper1, and Jesko Sirker2,3

1
Fachbereich Physik, Bergische Universität Wuppertal, 42097 Wuppertal, Germany
2
Department of Physics and Astronomy, University of British Columbia, Vancouver, BC,
V6T 1Z1, Canada
3
Max-Planck Institute for Solid State Research, 70569 Stuttgart, Germany
The density-matrix renormalization group (DMRG) applied to transfer matrices al-

lows it to calculate static as well as dynamical properties of one-dimensional (1D)
quantum systems at finite temperature in the thermodynamic limit. To this end the
quantum system is mapped onto a 2D classical system by a Trotter-Suzuki decom-
position. Here we discuss two different mappings: The standard mapping onto a
2D lattice with checkerboard structure as well as an alternative mapping introduced
by two of us. For the classical system an appropriate quantum transfer matrix is
defined which is then treated using a DMRG scheme. As applications, the calcu-
lation of thermodynamic properties for a spin-1/2 Heisenberg chain in a staggered
magnetic field and the calculation of boundary contributions for open spin chains
are discussed. Finally, we show how to obtain real-time dynamics from a classical
system with complex Boltzmann weights and present results for the autocorrelation
function of the XXZ-chain.
25.1 Introduction
Several years after the invention of the DMRG method to study ground-state prop-
erties of 1D quantum systems [1], Nishino showed that the same method can also
be applied to the transfer matrix of a 2D classical system hence allowing to calcu-
late its partition function at finite temperature [2]. The same idea can also be used
to calculate the thermodynamic properties of a 1D quantum system after mapping
it to a 2D classical one with the help of a Trotter-Suzuki decomposition [3, 4, 5].
Bursill et al. [6] then presented the first application but the density matrix chosen
in this work to truncate the Hilbert space was not optimal so that the true potential
of this new numerical method was not immediately clear. This changed when Wang
and Xiang [7] and Shibata [8] presented an improved algorithm and showed that
the density-matrix renormalization group applied to transfer matrices (which we
will denote as TMRG from hereon) is indeed a serious competitor to other numeri-
cal methods as for example Quantum-Monte-Carlo (QMC). Since then, the TMRG
method has been successfully applied to a number of systems including various spin
S. Glocke et al.: Density-Matrix Renormalization Group for Transfer Matrices: Static and Dynamical Properties of 1D
Quantum Systems at Finite Temperature, Lect. Notes Phys. 739, 665–677 (2008)
666 S. Glocke et al.
chains, the Kondo lattice model, the t − J chain and ladder and also spin-orbital
models [9, 10, 11, 12, 13, 14, 15, 16, 17].
The main advantage of the TMRG algorithm is that the thermodynamic limit
can be performed exactly thus avoiding an extrapolation in system size. Further-
more, there are no statistical errors and results can be obtained with an accuracy
comparable to (T = 0) DMRG calculations. Similar to the (T = 0) DMRG al-
gorithms, the method is best suited for 1D systems with short range interactions.
These systems can, however, be either bosonic or fermionic because no negative
sign problem as in QMC exists. Most important, there are two areas where TMRG
seems to have an edge over any other numerical methods known today. These are:
(i) Impurity or boundary contributions, and
(ii) real-time dynamics at finite temperature.
As first shown by Rommer and Eggert [18], the TMRG method allows it to separate
an impurity or boundary contribution from the bulk part thus giving direct access
to quantities which are of order O(1/L) compared to the O(1) bulk contribution
(here L denotes the length of the system). We will discuss this in more detail in
Sect. 25.5. Calculating numerically the dynamical properties for large or even infi-
nite 1D quantum systems constitutes a particularly difficult problem because QMC
and TMRG algorithms can usually only deal with imaginary-time correlation func-
tions. The analytical continuation of numerical data is, however, an ill-posed prob-
lem putting severe constraints on the reliability of results obtained this way. Very
recently, two of us have presented a modified TMRG algorithm which allows for
the direct calculation of real-time correlations [19]. This new algorithm will be dis-
cussed in Sect. 25.6.
Before coming to these more recent developments we will discuss the definition
of an appropriate quantum transfer matrix for the classical system in Sect. 25.2 and
describe how the DMRG algorithm is applied to this object in Sect. 25.3. Here we
will follow in parts the article by Wang and Xiang in [20] but, at the same time, also
discuss an alternative Trotter-Suzuki decomposition [15, 16].
25.2 Quantum Transfer Matrix Theory

The TMRG method is based on a Trotter-Suzuki decomposition of the partition
function, mapping a 1D quantum system to a 2D classical one [3, 4, 5]. In the fol-
lowing, we discuss both the standard mapping introduced by Suzuki [5] as well
as an alternative one [15, 16] starting from an arbitrary Hamiltonian H of a 1D
quantum system with length L, periodic boundary conditions and nearest-neighbor
interaction
L
H= hi,i+1 . (25.1)
i=1
The standard mapping, widely used in QMC and TMRG calculations, is described
in detail in [20]. Therefore we only summarize it briefly here. First, the Hamiltonian
25 Density-Matrix Renormalization Group for Transfer Matrices 667
is decomposed into two parts, H = He + Ho , where each part is a sum of com-

muting terms. Here He (Ho ) contains the interactions hi,i+1 with i even (odd). By
discretizing the imaginary time, the partition function becomes
9) *M :
Z = Tr e−βH = lim Tr e−ǫHe e−ǫHo (25.2)
M→∞
with ǫ = β/M , β being the inverse temperature and M an integer (the so called
Trotter number). By inserting 2M times a representation of the identity operator,
the partition function is expressed by a product of local Boltzmann weights
i,i+1 " −ǫH " i
τk,k+1 = sik si+1 "e e,o "
sk+1 si+1
k k+1 , (25.3)
denoted in a graphical language by a shaded plaquette (see Fig. 25.1). The sub-
scripts i and k represent the spin coordinates in the space and the Trotter (imaginary
time) directions, respectively. A column-to-column transfer matrix TM , the so called
quantum transfer matrix (QTM), can now be defined using these local Boltzmann
weights
TM = (τ1,2 τ3,4 . . . τ2M−1,2M ) (τ2,3 τ4,5 . . . τ2M,1 ) . (25.4)
and is shown in the left part of Fig. 25.1. The partition function is then simply given
by
L/2
Z = Tr TM . (25.5)
The disadvantage of this Trotter-Suzuki mapping to a 2D lattice with checker-
board structure is that the QTM is two columns wide. This increases the amount
of memory necessary to store it and also complicates the calculation of correlation
functions.
quantum chain quantum chain
classical model classical model
QTM QTM
Fig. 25.1. The left part shows the standard Trotter-Suzuki mapping of the 1D quantum chain
to a 2D classical model with checkerboard structure where the vertical direction corresponds
to imaginary time. The QTM is two-column wide. The right part shows the alternative map-
ping. Here, the QTM is only one column wide
Alternatively, the partition function can also be expressed by [15, 16]

9 :
M/2
Z = lim Tr [T1 (ǫ)T2 (ǫ)] , (25.6)
M→∞
with T1,2 (ǫ) = TR,L exp[−ǫH + O(ǫ2 )]. Here, TR,L are the right- and left-shift
operators, respectively. The obtained classical lattice has alternating rows and addi-
tional points in a mathematical auxiliary space. Its main advantage is that it allows
to formulate a QTM which is only one column wide (see right part of Fig. 25.1).
The derivation of this QTM is completely analogous to the standard one, even the
shaded plaquettes denote the same Boltzmann weight. Here, however, these weights
are rotated by 45◦ clockwise and anti-clockwise in an alternating fashion from row
to row. Using this transfer matrix, T#M , the partition function is given by Z = Tr T#M
L
.
25.2.1 Physical Properties in the Thermodynamic Limit
The reason why this transfer matrix formalism is extremely useful for numerical
calculations has to do with the eigenspectrum of the QTM. At infinite temperature
it is easy to show [21] that the largest eigenvalue of the QTM TM (T#M ) is given by
S 2 (S) and all other eigenvalues are zero. Here S denotes the number of degrees of
freedom of the physical system per lattice site. Decreasing the temperature, the gap
between the leading eigenvalue Λ0 and next-leading eigenvalues Λn (n > 0) of the
transfer matrix shrinks. The ratio between Λ0 and each of the other eigenvalues Λn ,
however, defines a correlation length 1/ξn = ln |Λ0 /Λn | [20, 21]. Because an 1D
quantum system cannot order at finite temperature, any correlation length ξn will
stay finite for T > 0, i.e., the gap between the leading and any next-leading eigen-
value stays finite. Therefore the calculation of the free energy in the thermodynamic
limit boils down to the calculation of the largest eigenvalue Λ0 of the QTM
1 1
f = − lim ln Z = − lim lim ln Tr T#M L
L→∞ βL L→∞ ǫ→0 βL
$ %
1 L L ln Λ0 (25.7)
= − lim lim ln Λ0 1 + (Λl /Λ0 ) = − lim .
ǫ→0 L→∞ βL ǫ→0 β
l>1
L→∞
−−−→0
Here the interchangeability of the limits L → ∞ and ǫ → 0 has been used [5]. Local
expectation values and static two-point correlation functions can be calculated in a
similar fashion (see e.g. [20] and [21]). In the next section, we are going to show
how the eigenvalues of the QTM are computed by means of the density matrix
renormalization group. This is possible since the transfer matrices are built from
local objects. Instead of sums of local objects we are dealing with products, but
this is not essential to the numerical method. However, there are a few important
differences in treating transfer matrices instead of Hamiltonians. At first sight, these
differences look technical, but at closer inspection they reveal a physical core.
The QTMs as introduced above are real valued, but not symmetric. This is not
a serious drawback for numerical computations, but certainly inconvenient. So the
first question that arises is whether the transfer matrices can be symmetrized. Un-
fortunately, this is not the case. If the transfer matrix were replaceable by a real
symmetric (or a hermitean) matrix all eigenvalues would be real and the ratios of
next-leading eigenvalues to the leading eigenvalue would be real, positive or nega-
tive. Hence all correlation functions would show commensurability with the lattice.
However, we know that a generic quantum system at sufficiently low temperatures
yields incommensurate oscillations with wave vectors being multiples of the Fermi
vector taking rather arbitrary values.
Therefore we know that the spectrum of a QTM must consist of real eigenvalues
or of complex eigenvalues organized in complex conjugate pairs. This opens the
possibility to understand the QTM as a normal matrix upon a suitable choice of
the underlying scalar product. Unfortunately, the above introduced matrices are not
†
normal with respect to standard scalar products, i.e. we do not have [T#M , T#M ] = 0.
25.3 The Method – DMRG Algorithm for the QTM

Next, we describe how to increase the length of the transfer matrix in imaginary
time, i.e. the inverse temperature, by successive DMRG steps. Like in the ordinary
DMRG, we first divide the QTM into two parts, the system S and the environment
block E. Using the QTM, T#M , the density matrix is defined by
ρ = T#M
L
, (25.8)
" R L"
which reduces to ρ = "Ψ0 Ψ0 " up to a normalization constant in the thermody-
namic limit. As in the zero-temperature DMRG algorithm, a reduced density matrix
ρS is obtained by taking a partial trace over the environment
" "
ρS = TrE {"Ψ0R Ψ0L "} . (25.9)
Note that this matrix is real but non-symmetric, which complicates its numerical
diagonalization. It also allows for complex conjugated pairs of eigenvalues which
have to be treated separately (see [21] for details).
In actual computations, the Trotter-Suzuki parameter ǫ is fixed. Therefore the
temperature T ∼ 1/ǫM is decreased by an iterative algorithm M → M + 1. In the
following, the blocks of the QTM, T#M , are shown in a 90◦ -rotated view.
ns
σ τ
ns´
Fig. 25.2. The system block Γ . The plaquettes are connected by a summation over the adja-
cent corner spins
ns s2 s1 ne
σ σ
ns´ s 2´ s1´ ne´

Fig. 25.3. The superblock is closed periodically by a summation over all σ states
(i) First we construct the initial system block Γ (see Fig. 25.2) consisting of M
plaquettes so that S M ≤ N < S M+1 , where S is the dimension of the local
Hilbert space and N is the number of states which we want to keep. ns , n′s are
block-spin variables and contain N # = S M states. The S 2 · N # 2 -dimensional
′
array Γ (σ, ns , τ, ns ) is stored.
# 2 )-dimensional ar-
(ii) The enlarged system block Γ#(σ, ns , s2 , τ, s′2 , n′s ), a (S 4 · N
ray, is formed by adding a plaquette to the system block. If hi,i+1 is real and
translationally invariant, the environment block can be constructed by a 180◦ -
rotation and a following inversion of the system block. Otherwise the environ-
ment block has to be treated separately like the system block. Together both
blocks form the superblock (see Fig. 25.3).
(iii) The leading eigenvalue Λ0 and the corresponding left and right eigenstates
L" "
Ψ0 " = Ψ L (s1 , ns , s2 , ne ) , "Ψ0R = Ψ R (s′1 , n′s , s′2 , n′e )
are calculated and normalized Ψ0L |Ψ0R = 1. Now thermodynamic quantities
can be evaluated at the temperature T = 1/(2ǫ(M + 1)).
(iv) A reduced density matrix is calculated by performing the trace over the envi-
ronment
" "
ρs (n′s , s′2 |ns , s2 ) = "Ψ0R Ψ0L " = Ψ R (s1 , n′s , s′2 , ne )Ψ L (s1 , ns , s2 , ne )
s1 ,ne s1 ,ne
# L
and
Rthe ′complete
′ ′
spectrum is computed. A (N ×(S· N ))-matrix V (# ns |ns , s2 )
V (# ns |ns , s2 ) is constructed using the left (right) eigenstates belonging to
the N largest eigenvalues, where n n′s ) is a new renormalized block-spin
#s (#
variable with only N possible values.
ns
ns s2 ns
block
σ τ σ τ
renormalized
ns´ s 2´ ns´
n∼ s´
Fig. 25.4. The renormalization step for the system block
(v) Using V L and V R the system block is renormalized. The renormalization (see
Fig. 25.4) is given by

Γ (σ, n # ′s ) =
#s , τ, n ns |ns , s2 )Γ#(σ, ns , s2 , τ, s′2 , n′s )V R (#
V L (# n′s |n′s , s′2 ) .
ns ,s2 n′s ,s′2
Now the algorithm is repeated starting with step 2 using the new system block.
# values.
However, the block-spin variables can now take N instead of N
25.4 An Example: The Spin-1/2 Heisenberg Chain

with Staggered and Uniform Magnetic Fields
As example, we show here results for the magnetization of a spin-1/2 Heisenberg
chain subject to a staggered magnetic field hs and an uniform field hu = gμB Hext /J
) *
H=J S i · S i+1 − hu Siz − (−1)i hs Six , (25.10)
i
where Hext is the external uniform magnetic field and g the Landé factor. An effec-
tive staggered magnetic field is realized in spin-chain compounds as for example
copper pyrimidine dinitrate (CuPM) or copper benzoate if an external uniform mag-
netic field Hext is applied [22]. For CuPM the magnetization as a function of applied
1
(a) 0,15
m (µB/Cu)
0,8 0,1
0,05
0,6
m (µB/Cu)
0
0 5 10
µ0H (T)
0,4
χ (µB/ T Cu)
0,03
(b)
0,02 H=0
0,2
0,01
0 20 40 60
T (K)
0
0 10 20 30 40 50
µ0H (T)
Fig. 25.5. TMRG data (solid line) and experimental magnetization curves (circles) for CuPM
at a temperature T = 1.6 K with the magnetic field applied along the c′′ axis. For comparison
ED data for a system of 16 sites and T = 0 are shown (dashed lines). Here J/kB = 36.5 K,
hu = gμB Hext /J, hs = 0.11 hu and g = 2.19. Inset (a): Magnetization for small magnetic
fields. Inset (b): Susceptibility as a function of temperature T at Hext = 0 calculated by
TMRG
magnetic field Hext has been measured experimentally. In Fig. 25.5 the excellent
agreement between these experimental and TMRG data at a temperature T = 1.6 K
with a magnetic field applied along the c′′ axis is shown. Along the c′′ axis the ef-
fect due to the induced staggered field is largest (see [23] for more details). Note
that at low magnetic fields the TMRG data describe the experiment more accurately
than the exact diagonalization (ED) data, because there are no finite size effects (see
inset (a) of Fig. 25.5). For a magnetic field Hext applied along the c′′ axis a gap,
2/3
∆ ∝ Hext , is induced with multiplicative logarithmic corrections. For Hext → 0
and low T the susceptibility diverges χ ∼ 1/T because of the staggered part [24]
(see inset (b) of Fig. 25.5).
25.5 Impurity and Boundary Contributions

In recent years much interest has focused on the question how impurities and bound-
aries influence the physical properties of spin chains [25, 26, 27, 28, 29]. The doping
level p defines an averagechainlength L̄ = 1/p−1 and impurity or boundary contri-
butions are of order ∼ O 1/L̄ compared to the bulk. This makes it very difficult to
separate these contributions from finite-size corrections if numerical data for finite
systems (e.g. from QMC calculations) are used. TMRG, on the other hand, allows
to study directly impurities embedded into an infinite chain [18]. We will discuss
here only the simplest case that a single bond or a single site is different from the
rest. The partition function is then given by

Z = Tr T#M L−1
Timp , (25.11)
where Timp is the QTM describing the site impurity or the modified bond. In the
thermodynamic limit the total free energy then becomes
F = −T ln Z = Lfbulk + Fimp = −LT ln Λ0 − T ln(λimp /Λ0 ) , (25.12)
with Λ0 being the largest eigenvalue of the QTM, T#M , and λimp = Ψ0L |Timp |Ψ0R .
As example, we want to consider a semi-infinite spin-1/2 XXZ-chain with an
open boundary. In this case translational invariance is broken and field theory pre-
dicts Friedel-type oscillations in the local magnetization S z (r) and susceptibility
χ(r) = ∂S z (r)/∂h near the boundary [30, 31]. Using the TMRG method the
local magnetization can be calculated by
ΨL0 |T# (S z )T# r−1 Timp |ΨR0
S z (r) = , (25.13)
Λr0 λimp
where T# (S z ) is the transfer matrix with the operator S z included and Timp is the
transfer matrix corresponding to the bond with zero exchange coupling. Hence
Timp |ΨR0 is nothing but the state describing the open boundary at the right. In
Fig. 25.6 the susceptibility profile as a function of the distance r from the boundary
for various temperatures as obtained by TMRG calculations [31] is shown. For more
details the reader is referred to [18] and [31].
0.6
T = 0.014
0.4 T = 0.02
T = 0.03
0.2 T = 0.045
χ(r) - χbulk
T = 0.1
T = 0.4
0
–0.2
–0.4
0 20 40 60 80 100
r
Fig. 25.6. Susceptibility profile for ∆ = 0.6 and different temperatures T . N = 240 states
have been kept in the DMRG algorithm. The lines are a guide to the eye
25.6 Real-Time Dynamics

Finally, we want to discuss a very recent development in the TMRG method. The
Trotter-Suzuki decomposition of a 1D quantum system yields a 2D classical model
with one axis corresponding to imaginary time (inverse temperature). It is therefore
straightforward to calculate imaginary-time correlation functions (CFs). Although
the results for the imaginary-time CFs obtained by TMRG are very accurate, the re-
sults for real times (real frequencies) involve errors of unknown magnitude because
the analytical continuation poses an ill-conditioned problem. In practice, the max-
imum entropy method is the most efficient way to obtain spectral functions from
TMRG data. The combination of TMRG and maximum entropy has been used to
calculate spectral functions for the XXZ-chain [17] and the Kondo-lattice model
[14]. However, it is in principle impossible to say how reliable these results are be-
cause of the afore mentioned problems connected with the analytical continuation of
numerical data. It is therefore desirable to avoid this step completely and to calculate
real-time correlation functions directly.
A TMRG algorithm to do this has recently been proposed by two of us [19].
Starting point is an arbitrary two-point CF for an operator O r (t) at site r and time t

−βH/2 itH −itH −βH/2

−βH Tr e e O e O e
0 (0) = Tr(Or (t)O0 (0)e ) r 0
Or (t)O = .
Tr(e−βH ) Tr e−βH/2 eitH e−itH e−βH/2
(25.14)
Here we have used the cyclic invariance of the trace and have written the denomi-
nator in analogy to the numerator. In the following we will use the standard Trotter-
Suzuki decomposition leading to a 2D checkerboard model.
The crucial step in our approach to calculate real-time dynamics directly is to

introduce a second Trotter-Suzuki decomposition of exp(−iδH) with δ = t/N in
addition to the usual one for the partition function described in Sect. 25.2. We can
then define a column-to-column transfer matrix
T2N,M = (τ1,2 τ3,4 · · · τ2M−1,2M )(τ2,3 τ4,5 · · · τ2M,2M+1 )

(v̄2M+1,2M+2 · · · v̄2M+2N −1,2M+2N )
(v̄2M+2,2M+3 · · · v̄2M+2N,2M+2N +1 )
(v2M+2N +1,2M+2N +2 · · · v2M+4N −1,2M+4N )
(v2M+2N +2,2M+2N +3 · · · v2M+4N,1 ) , (25.15)
where the local transfer matrices have matrix elements
τ (sik si+1 i i+1 i i+1 −ǫhi,i+1 i

k |sk+1 sk+1 ) = sk sk |e |sk+1 si+1
k+1
v(sil si+1
l |sil+1 si+1
l+1 ) = sl sl |e |sl+1 si+1
i i+1 −iδhi,i+1 i
l+1 (25.16)
and v̄ is the complex conjugate. Here i = 1, . . . , L is the lattice site, k = 1, . . . , 2M

(l = 1, . . . , 2N ) the index of the imaginary time (real time) slices and sik(l) denotes
L/2
a local basis. The denominator in (25.14) can then be represented by Tr(T2N,M )
where N, M, L → ∞. A similar path-integral representation holds for the numer-
ator in (25.14). Here we have to introduce an additional modified transfer matrix
T2N,M (O) which contains the operator O
at the appropriate position. For r > 1 we
find
[r/2]−1 T (O)T
Tr(T (O)T L/2−[r/2]−1 )
r (t)O
O 0 (0) = lim lim
N,M→∞ L→∞ Tr(T L/2 )
[r/2]−1 T (O)|Ψ
Ψ0L |T (O)T R
0
= lim [r/2]+1
. (25.17)
N,M→∞ Λ0 L R
Ψ0 |Ψ0
Here [r/2] denotes the first integer smaller than or equal to r/2 and we have set
T ≡ T2N,M . A graphical representation of the transfer matrices appearing in the
numerator of (25.17) is shown in Fig. 25.7. This new transfer matrix can again be
treated with the DMRG algorithm described in Sect. 25.3 where either a τ or v
plaquette is added corresponding to a decrease in temperature T or an increase in
real time t, respectively.
To demonstrate the method, results for the longitudinal spin-spin autocorrelation
function of the XXZ-chain at infinite temperature are shown in Fig. 25.8. For ∆ = 0
the XXZ-model corresponds to free spinless fermions and is exactly solvable. We
focus on the case of free fermions, as here the analysis of the dynamical TMRG
(DTMRG) method, its results and numerical errors can be done to much greater ex-
tent than in the general case. The performance of the DTMRG itself is expected to
be independent of the strength of the interaction. The comparison with the exact re-
sult in Fig. 25.8 shows that the maximum time before the DTMRG algorithm breaks
down increases with the number of states. However, the improvement when taking
e−βΗ/2
E
e−itH
e itH
S
e−βΗ/2
T(O) T[r/2]−1 T(O)
Fig. 25.7. Transfer matrices appearing in the numerator of (25.17) for r > 1 with r even. The
T , T (O)
two big black dots denote the operator O. consist of three parts: A part representing
exp(−βH) (vertically striped plaquettes), another for exp(itH) (stripes from lower left to
are
upper right) and a third part describing exp(−itH) (upper left to lower right). T , T (O)
split into system (S) and environment (E)
N = 400 instead of N = 300 states is marginal. The reason for the breakdown of
the DTMRG computation can be traced back to an increase of the discarded weight
(see inset of Fig. 25.9). Throughout the RG procedure we keep only N of the leading
eigenstates of the reduced density matrix ρS . As long as the discarded states carry
a total weight less than, say, 10−3 the results are faithful. For infinite temperature
and ∆ = 0 we could explain the rapid increase of the discarded weight with time
by deriving an explicit expression for the leading eigenstate of the QTM as well as
for the corresponding reduced density matrix. At the free fermion point the spec-
trum of this density matrix is multiplicative. Hence, from the one-particle spectrum
0.25 0.2
<S (t)S (0)>
0.15
0.2
z
0.1
z
<S (t)S (0)>
0.15
z
0.05 50 100 200 300

z
0.1 400
0
0 2 4 6 8 10 12
0.05 Jt
100 400
0 exact
50 300
200
0 2 4 6 8 10 12 14
Jt
Fig. 25.8. Autocorrelation function for ∆ = 0 and ∆ = 1 (inset) at T = ∞, where N =

50−400 states have been kept and δ = 0.1. The exact result is shown for comparison in the
case ∆ = 0
Jt
0 1 2 3 4 5 6 7 8 9 10 11 12
1
1 × 10–2
1 × 10–4
1 × 10–6
Λi = 1,...,100
1 × 10–8 1 × 10–2
1 × 10–10 1 × 10–4
1 – Σ Λi
i=1
100
1 × 10–12 1 × 10–6
1 × 10–14 1 × 10–8
5 6 7 8 9 10 11 12
Jt
Fig. 25.9. Largest 100 eigenvalues Λi

of ρS for ∆ = 0 and T = ∞ calculated exactly. The
inset shows the discarded weight 1 − 100
i=1 Λi
which is calculated by simple numerics we obtain the entire spectrum. As shown

in Fig. 25.9 this spectrum becomes more dense with increasing time thus setting a
characteristic time scale tc (N ), quite independent of the discretization δ of the real
time, where the algorithm breaks down. Despite these limitations, it is often possible
to extrapolate the numerical data to larger times using physical arguments thus al-
lowing to obtain frequency-dependent quantities by a direct Fourier transform. This
way the spin-lattice relaxation rate for the Heisenberg chain has been successfully
calculated [32].
Acknowledgement
S.G. acknowledges support by the DFG under contracts KL645/4-2 and GK1052
(Representation theory and its applications in mathematics and physics) and J.S.
by the DFG and NSERC. The numerical calculations have been performed in part
using the Westgrid Facility (Canada).
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26 Architecture and Performance Characteristics
of Modern High Performance Computers
Georg Hager and Gerhard Wellein
Regionales Rechenzentrum Erlangen der Friedrich-Alexander-Universität

Erlangen-Nürnberg, 91058 Erlangen, Germany
In the past two decades the accessible compute power for numerical simulations has
increased by more than three orders of magnitude. Many-particle physics has largely
benefited from this development because the complex particle-particle interactions
often exceed the capabilities of analytical approaches and require sophisticated nu-
merical simulations. The significance of these simulations, which may require large
amounts of data and compute cycles, is frequently determined both by the choice of
an appropriate numerical method or solver and the efficient use of modern comput-
ers. In particular, the latter point is widely underestimated and requires an under-
standing of the basic concepts of current (super) computer systems.
In this chapter we present a comprehensive introduction to the architectural con-
cepts and performance characteristics of state-of-the art high performance comput-
ers, ranging from the “poor man’s” Linux cluster to leading edge supercomputers
with thousands of processors. In Sect. 26.1 we discuss basic features of modern
commodity microprocessors with a slight focus on Intel and AMD products. Vector
systems (NEC SX8) are briefly touched. The main emphasis is on the various ap-
proaches used for on-chip parallelism and data access, including cache design, and
the resulting performance characteristics.
In Sect. 26.2 we turn to the fundamentals of parallel computing. First we explain
the basics and limitations of parallelism without specialization to a concrete method
or computer system. Simple performance models are established which help to un-
derstand the most severe bottlenecks that will show up with parallel programming.
In terms of concrete manifestations of parallelism we then cover the principles
of distributed-memory parallel computers, of which clusters are a variant. These
systems are programmed using the widely accepted message passing paradigm
where processes running on the compute nodes communicate via a library that
sends and receives messages between them and thus serves as an abstraction layer
to the hardware interconnect. Whether the program is run on an inexpensive clus-
ter with bare Gigabit Ethernet or on a special-purpose vector system featuring a
high-performance switch like the NEC IXS does not matter as far as the paral-
lel programming paradigm is concerned. The Message Passing Interface (MPI) has
emerged as the quasi-standard for message passing libraries. We introduce the most
important MPI functionality using some simple examples. As the network is often
a performance-limiting aspect with MPI programming, some comments are made
G. Hager and G. Wellein: Architecture and Performance Characteristics of Modern High Performance Computers,
Lect. Notes Phys. 739, 681–730 (2008)
DOI 10.1007/978-3-540-74686-7 26
682 G. Hager and G. Wellein
about basic performance characteristics of networks and the influence of bandwidth

and latency on overall data transfer efficiency.
Price/performance considerations usually drive distributed-memory parallel sys-
tems into a particular direction of design. Compute nodes comprise multiple pro-
cessors which share the same address space (shared memory). Two types of shared
memory nodes are in wide use and will be discussed here: The uniform memory
architecture (UMA) provides the same view/performance of physical memory for
all processors and is used, e.g., in most current Intel-based systems. With the suc-
cess of AMD Opteron CPUs in combination with Hypertransport technology the
cache-coherent non-uniform memory architecture (ccNUMA) has gained increasing
attention. The concept of having a single address space on a physically distributed
memory (each processor can access local and remote memory) allows for scaling
available memory bandwidth but requires special care in programming and usage.
Common to all shared-memory systems are mechanisms for establishing cache
coherence, i.e. ensuring consistency of the different views to data on different pro-
cessors in presence of caches. One possible implementation of a cache coherence
protocol is chosen to illustrate the potential bottlenecks that coherence traffic may
impose. Finally, an introduction to the current standard for shared-memory scientific
programming, OpenMP, is given.
26.1 Microprocessors
In the “old days” of scientific supercomputing roughly between 1975 and 1995,
leading-edge high performance systems were specially designed for the HPC mar-
ket by companies like Cray, NEC, Thinking Machines, or Meiko. Those systems
were way ahead of standard commodity computers in terms of performance and
price. Microprocessors, which had been invented in the early 1970s, were only ma-
ture enough to hit the HPC market by the end of the 1980s, and it was not until
the end of the 1990s that clusters of standard workstation or even PC-based hard-
ware had become competitive at least in terms of peak performance. Today the sit-
uation has changed considerably. The HPC world is dominated by cost-effective,
off-the-shelf systems with microprocessors that were not primarily designed for sci-
entific computing. A few traditional supercomputer vendors act in a niche market.
They offer systems that are designed for high application performance on the sin-
gle CPU level as well as for highly parallel workloads. Consequently, the scientist
is likely to encounter commodity clusters first and only advance to more special-
ized hardware as requirements grow. For this reason we will mostly be focused on
microprocessor-based systems in this paper. Vector computers show a different pro-
gramming paradigm which is in many cases close to the requirements of scientific
computation, but they have become rare animals.
Microprocessors are probably the most complicated machinery that man has
ever created. Understanding all inner workings of a CPU is out of the question for
the scientist and also not required. It is helpful, though, to get a grasp of the high-
level features in order to understand potential bottlenecks. Figure 26.1 shows a very
26 Modern High Performance Computers 683
Memory queue
shift
L1D
INT reg. file

mask
L2 unified cache
cache
INT
op
LD
ST
INT/FP queue
FP reg. file
FP
interface
mult
Memory
L1I
FP
cache add
Fig. 26.1. Simplified block diagram of a typical microprocessor
simplified block diagram of a modern microprocessor. The components that actu-

ally do work for a running application are the arithmetic units for floating-point
(FP) and integer (INT) operations and make up for only a very small fraction of
chip area. The rest consists of administrative logic that helps to feed those units
with operands. All operands must reside in CPU registers which are generally di-
vided into floating-point and integer (or general purpose) varieties. Typical CPUs
nowadays have between 16 and 128 registers of both kinds. Load (LD) and store
(ST) units handle instructions that transfer data to and from registers. Instructions
are sorted into several queues, waiting to be executed, probably not in the order they
were issued (see below). Finally, caches hold data and instructions to be (re-)used
soon. A lot of additional logic, i.e. branch prediction, reorder buffers, data short-
cuts, transaction queues etc. that we cannot touch upon here is built into modern
processors. Vendors provide extensive documentation about those details [1, 2].
26.1.1 Performance Metrics and Benchmarks
All those components can operate at some maximum speed called peak perfor-
mance. Whether this limit can be reached with a specific application code depends
on many factors and is one of the key topics of Chap. 27. Here we would like to
introduce some basic performance metrics that can quantify the speed of a CPU.
Scientific computing tends to be quite centric to floating-point data, usually with
double precision (DP). The performance at which the FP units generate DP results
for multiply and add operations is measured in floating-point operations per sec-
ond (Flops/sec). The reason why more complicated arithmetic (divide, square root,
trigonometric functions) is not counted here is that those are executed so slowly
compared to add and multiply as to not contribute significantly to overall perfor-
mance in most cases (see also Sect. 27.1). At the time of writing, standard micro-
processors feature a peak performance between 4 and 12 GFlops/sec.
As mentioned above, feeding arithmetic units with operands is a complicated

task. The most important data paths from the programmer’s point of view are those
to and from the caches. The speed, or bandwidth of those paths is quantified in
GBytes/sec. The GFlops/sec and GBytes/sec metrics usually suffice for explaining
most relevant performance features of microprocessors.1
Fathoming the chief performance characteristics of a processor is one of the pur-
poses of low-level benchmarking. A low-level benchmark is a program that tries to
test some specific feature of the architecture like, e.g., peak performance or memory
bandwidth. One of the most prominent examples is the vector triad. It comprises
a nested loop, the inner level executing a combined vector multiply-add operation
(see Listing 26.1). The purpose of this benchmark is to measure the performance
of data transfers between memory and arithmetic units of a microprocessor. On the
inner level, three load streams for arrays B, C and D and one store stream for A are
active. Depending on N, this loop might execute in a very small time, which would
be hard to measure. The outer loop thus repeats the triad R times so that execution
time becomes large enough to be accurately measurable. In a real benchmarking
situation one would choose R according to N so that the overall execution time stays
roughly constant for different N.
Still the outer loop serves another purpose. In situations where N is small enough
to fit into some processor cache, one would like the benchmark to reflect the perfor-
mance of this cache. With R suitably chosen, startup effects become negligible and
this goal is achieved.
The aim of the dummy() subroutine is to prevent the compiler from doing an
obvious optimization: Without the call, the compiler might discover that the inner
loop does not depend at all on the outer loop index j and drop the outer loop right
away. The call to dummy(), which should reside in another compilation unit, fools
the compiler into believing that the arrays may change between outer loop iterations.
Listing 26.1. Basic code fragment for the vector triad benchmark, including performance
measurement
double precision A(N),B(N),C(N),D(N),S,E,MFLOPS
S = get_walltime()
do j=1,R
do i=1,N
A(i) = B(i) + C(i) * D(i) ! 3 loads, 1 store
enddo
call dummy(A,B,C,D) ! prevent loop interchange
enddo
E = get_walltime()
MFLOPS = R*N*2.d0/((E-S)*1.d6) ! compute MFlop/sec rate
1
Please note that the giga and mega prefixes refer to a factor of 109 and 106 , respectively,
when used in conjunction with ratios like bandwidth or performance.
This effectively prevents the optimization described, and the cost for the call are
negligible as long as N is not too small. Optionally, the call can be masked by an if
statement whose condition is never true (a fact that must of course also be hidden
from the compiler).
The MFLOPS variable is computed to be the MFlops/sec rate for the whole loop
nest. Please note that the most sensible time measure in benchmarking is wallclock
time. Any other “time” that the runtime system may provide, first and foremost
the often-used CPU time, is prone to misinterpretation because there might be con-
tributions from I/O, context switches, other processes etc. that CPU time cannot
encompass. This is even more true for parallel programs (see Sect. 26.2).
Figure 26.2 shows performance graphs for the vector triad obtained on current
microprocessor and vector systems. For very small loop lengths we see poor per-
formance no matter which type of CPU or architecture is used. On standard micro-
processors, performance grows with N until some maximum is reached, followed
by several sudden breakdowns. Finally, performance stays constant for very large
loops. Those characteristics will be analyzed and explained in the following sec-
tions.
Vector processors (dotted line in Fig. 26.2) show very contrasting features. The
low-performance region extends much farther than on microprocessors, but after
saturation at some maximum level there are no breakdowns any more. We con-
clude that vector systems are somewhat complementary to standard CPUs in that
they meet different domains of applicability. It may, however, be possible to opti-
mize real-world code in a way that circumvents the low-performance regions. See
Sect. 27.1 for details.
Low-level benchmarks are powerful tools to get information about the basic ca-
pabilities of a processor. However, they often cannot accurately predict the behavior
of real application code. In order to decide whether some CPU or architecture is
4000
3000
Intel Xeon/Netburst (3.2 GHz)
Intel Xeon/Core (2.66 GHz)
MFlops/sec
AMD Opteron (2.0 GHz)

2000 NEC SX8 (2.0 GHz)
1000
0 1 2 3 4 5 6 7
10 10 10 10 10 10 10
N
Fig. 26.2. Serial vector triad performance data for different architectures. Note the entirely
different performance characteristics of the vector processor (NEC SX8)
well-suited for some application (e.g., in the run-up to a procurement), the only safe
way is to prepare application benchmarks. This means that an application code is
used with input parameters that reflect as closely as possible the real requirements
of production runs but lead to a runtime short enough for testing (no more than a few
minutes). The decision for or against a certain architecture should always be heavily
based on application benchmarking. Standard benchmark collections like the SPEC
suite [3] can only be rough guidelines.
26.1.2 Moore’s Law
Computer technology had been used for scientific purposes and, more specifically,
for numerical calculations in physics long before the dawn of the desktop PC. For
more than 30 years scientists could rely on the fact that no matter which technology
was implemented to build computer chips, their complexity or general capability
doubled about every 24 months. In its original form, Moore’s law stated that the
number of components (transistors) on a chip required to hit the “sweet spot” of
minimal manufacturing cost per component would increase at the indicated rate [4].
This has held true since the early 1960s despite substantial changes in manufactur-
ing technologies that have happened over the decades. Amazingly, the growth in
complexity has always roughly translated to an equivalent growth in compute per-
formance, although the meaning of performance remains debatable as a processor
is not the only component in a computer (see below for more discussion regarding
this point).
Increasing chip transistor counts and clock speeds have enabled processor de-
signers to implement many advanced techniques that lead to improved applica-
tion performance. A multitude of concepts have been developed, including the
following:
(i) Pipelined functional units. Of all innovations that have entered computer de-
sign, pipelining is perhaps the most important one. By subdividing complex
operations (like, e.g., floating point addition and multiplication) into simple
components that can be executed using different functional units on the CPU,
it is possible to increase instruction throughput, i.e. the number of instructions
executed per clock cycle. Optimally pipelined execution leads to a throughput
of one instruction per cycle. At the time of writing, processor designs exist that
feature pipelines with more than 30 stages. See the next section for details.
(ii) Superscalar architecture. Superscalarity provides for an instruction through-
put of more than one per cycle by using multiple, identical functional units
concurrently. This is also called instruction-level parallelism (ILP). Modern
microprocessors are up to six-way superscalar.
(iii) Out-of-order execution. If arguments to instructions are not available on time,
e.g. because the memory subsystem is too slow to keep up with processor
speed, out-of-order execution can avoid pipeline bubbles by executing instruc-
tions that appear later in the instruction stream but have their parameters avail-
able. This improves instruction throughput and makes it easier for compilers to
arrange machine code for optimal performance. Current out-of-order designs

can keep hundreds of instructions in flight at any time, using a reorder buffer
that stores instructions until they become eligible for execution.
(iv) Larger caches. Small, fast, on-chip memories serve as temporary data storage
for data that is to be used again soon or that is close to data that has recently
been used. This is essential due to the increasing gap between processor and
memory speeds (see Sect. 26.1.5). Enlarging the cache size is always good for
application performance.
(v) Advancement of instruction set design. In the 1980s, a general move from the
Complex Instruction Set Computing (CISC) to the Reduced Instruction Set
Computing (RISC) paradigm took place. In CISC, a processor executes very
complex, powerful instructions, requiring a large effort for decoding but keep-
ing programs small and compact, lightening the burden on compilers. RISC
features a very simple instruction set that can be executed very rapidly (few
clock cycles per instruction; in the extreme case each instruction takes only
a single cycle). With RISC, the clock rate of microprocessors could be in-
creased in a way that would never have been possible with CISC. Additionally,
it frees up transistors for other uses. Nowadays, most computer architectures
significant for scientific computing use RISC at the low level. Recently, Intel’s
Itanium line of processors have introduced Explicitly Parallel Instruction Com-
puting (EPIC) which extends the RISC idea to incorporate information about
parallelism in the instruction stream, i.e. which instructions can be executed
in parallel. This reduces hardware complexity because the task of establish-
ing instruction-level parallelism is shifted to the compiler, making out-of-order
execution obsolete.
In spite of all innovations, processor vendors have recently been facing high obsta-
cles in pushing performance limits to new levels. It becomes more and more difficult
to exploit the potential of ever-increasing transistor numbers with standard, mono-
lithic RISC processors. Consequently, there have been some attempts to simplify
the designs by actually giving up some architectural complexity in favor of more
straightforward ideas like larger caches, multi-core chips (see below) and even het-
erogeneous architectures on a single chip.
26.1.3 Pipelining
Pipelining in microprocessors serves the same purpose as assembly lines in manu-

facturing: Workers (functional units) do not have to know all details about the final
product but can be highly skilled and specialized for a single task. Each worker
executes the same chore over and over again on different objects, handing the half-
finished product to the next worker in line. If it takes m different steps to finish the
product, m products are continually worked on in different stages of completion.
If all tasks are carefully tuned to take the same amount of time (the time step), all
workers are continuously busy. At the end, one finished product per time step leaves
the assembly line.
Complex operations like loading and storing data or floating-point arithmetic

cannot be executed in a single cycle without excessive hardware requirements. For-
tunately, the assembly line concept is applicable here. The most simple setup is a
fetch-decode-execute pipeline, in which each stage can operate independently of the
others. While an instruction is being executed, another one is being decoded and a
third one is being fetched from instruction (L1I) cache. These still complex tasks
are usually broken down even further. The benefit of elementary subtasks is the po-
tential for a higher clock rate as functional units can be kept simple. As an example,
consider floating-point multiplication for which a possible division in to five sub-
tasks is depicted in Fig. 26.3. For a vector product A(:)=B(:)*C(:), execution
begins with the first step, separation of mantissa and exponent, on elements B(1)
and C(1). The remaining four functional units are idle at this point. The interme-
diate result is then handed to the second stage while the first stage starts working on
B(2) and C(2). In the second cycle, only three out of five units are still idle. In
the fifth cycle the pipeline has finished its so-called wind-up phase (in other words,
the multiply pipeline has a latency of five cycles). From then on, all units are contin-
uously busy, generating one result per cycle (having a pipeline throughput of one).
When the first pipeline stage has finished working on B(N) and C(N), the wind-
down phase starts. Four cycles later, the loop is finished and all results have been
produced.
In general, for a pipeline of depth (or latency) m, executing N independent,
subsequent operations takes N + m − 1 steps. We can thus calculate the expected
speedup versus a general-purpose unit that needs m cycles to generate a single
result,
Tseq mN
= , (26.1)
Tpipe N +m−1
which is proportional to m for large N . The throughput is
1 2 3 4 5 ... N N+1 N+2 N+3 N+4

Cycle
Separate B(1) B(2) B(3) B(4) B(5)
...
B(N)
mant./exp. C(1) C(2) C(3) C(4) C(5) C(N)
Multiply B(1) B(2) B(3) B(4)

...
B(N–1) B(N)
mantissas C(1) C(2) C(3) C(4) C(N–1) C(N)
Add B(1) B(2) B(3)

...
B(N–2) B(N–1) B(N)
exponents C(1) C(2) C(3) C(N–2) C(N–1) C(N)
Normalize A A
A(1) A(2) ... (N−1) A(N)
result (N−3) (N−2)
Insert A A A
A(1) ... (N−2) A(N)
sign (N−4) (N−3) (N−1)
Fig. 26.3. Timeline for a simplified floating-point multiplication pipeline that executes
A(:)=B(:)*C(:). One result is generated on each cycle after a five-cycle wind-up phase
0.8
0.6
N/Tpipe
0.4
m=5
m=10
0.2 m=30
m=100
0
1 10 100 1000
N
Fig. 26.4. Pipeline throughput as a function of the number of independent operations. m is

the pipeline depth
N 1
= , (26.2)
Tpipe 1 + m−1
N
approaching one for large N (see Fig. 26.4). It is evident that the deeper the pipeline
the larger the number of independent operations must be to achieve reasonable
throughput because of the overhead incurred by wind-up and wind-down phases.
One can easily determine how large N must be in order to get at least p results
per cycle (0 < p ≤ 1):
1 (m − 1)p
p= m−1 =⇒ Nc = . (26.3)
1+ Nc
1−p
For p = 0.5 we arrive at Nc = m − 1. Taking into account that present-day mi-

croprocessors feature overall pipeline lengths between 10 and 35 stages, we can im-
mediately identify a potential performance bottleneck in codes that use short, tight
loops. In superscalar or even vector processors the situation becomes even worse as
multiple identical pipelines operate in parallel, leaving shorter loop lengths for each
pipe.
Another problem connected to pipelining arises when very complex calculations
like FP divide or even transcendental functions must be executed. Those operations
tend to have very long latencies (several tens of cycles for square root or divide,
often more than 100 for trigonometric functions) and are only pipelined to a small
level or not at all so that stalling the instruction stream becomes inevitable (this
leads to so-called pipeline bubbles). Avoiding such functions is thus a primary goal
of code optimization. This and other topics related to efficient pipelining will be
covered in Sect. 27.1.
26.1.3.1 Software Pipelining
Note that although a depth of five is not unrealistic for a FP multiplication pipeline,
executing a real code involves more operations like, e.g., loads, stores, address cal-
culations, opcode fetches etc. that must be overlapped with arithmetic. Each operand
of an instruction must find its way from memory to a register, and each result must
be written out, observing all possible interdependencies. It is the compiler’s job to
arrange instructions in a way to make efficient use of all the different pipelines. This
is most crucial for in-order architectures, but also required on out-of-order proces-
sors due to the large latencies for some operations.
As mentioned above, an instruction can only be executed if its operands are
available. If operands are not delivered on time to execution units, all the compli-
cated pipelining mechanisms are of no use. As an example, consider a simple scaling
loop:
do i=1,N
A(i) = s * A(i)
enddo
Seemingly simple in a high-level language, this loop transforms to quite a number

of assembly instructions for a RISC processor. In pseudo-code, a naive translation
could look like this:
loop: load A(i)
mult A(i) = A(i) * s
store A(i)
branch -> loop
Although the multiply operation can be pipelined, the pipeline will stall if the load
operation on A(i) does not provide the data on time. Similarly, the store operation
can only commence if the latency for mult has passed and a valid result is available.
Assuming a latency of four cycles for load, two cycles for mult and two cycles
for store, it is clear that above pseudo-code formulation is extremely inefficient.
It is indeed required to interleave different loop iterations to bridge the latencies and
avoid stalls:
loop: load A(i+6)
mult A(i+2) = A(i+2) * s
store A(i)
branch -> loop
Here we assume for simplicity that the CPU can issue all four instructions of an it-
eration in a single cycle and that the final branch and loop variable increment comes
at no cost. Interleaving of loop iterations in order to meet latency requirements is
called software pipelining. This optimization asks for intimate knowledge about pro-
cessor architecture and insight into application code on the side of compilers. Often,
heuristics are applied to arrive at optimal code.
It is, however, not always possible to optimally software pipeline a sequence

of instructions. In the presence of dependencies, i.e., if a loop iteration depends on
the result of some other iteration, there are situations when neither the compiler nor
the processor hardware can prevent pipeline stalls. For instance, if the simple scal-
ing loop from the previous example is modified so that computing A(i) requires
A(i+offset), with offset being either a constant that is known at compile
time or a variable:
real dependency pseudo-dependency general version
do i=2,N do i=1,N-1 start=max(1,1-offset)
A(i)=s*A(i-1) A(i)=s*A(i+1) end=min(N,N-offset)
enddo enddo do i=start,end
A(i)=s*A(i+offset)
enddo
As the loop is traversed from small to large indices, it makes a huge difference
whether the offset is negative or positive. In the latter case we speak of a pseudo-
dependency, because A(i+1) is always available when the pipeline needs it for
computing A(i), i.e. there is no stall. In case of a real dependency, however, the
pipelined computation of A(i) must stall until the result A(i-1) is completely
finished. This causes a massive drop in performance as can be seen on the left of
Fig. 26.5. The graph shows the performance of the above scaling loop in MFlops/sec
versus loop length. The drop is clearly visible only in cache because of the small
latencies of on-chip caches. If the loop length is so large that all data has to be
fetched from memory, the impact of pipeline stalls is much less significant.
Although one might expect that it should make no difference whether the offset
is known at compile time, the right graph in Fig. 26.5 shows that there is a dramatic
performance penalty for a variable offset. Obviously the compiler cannot optimally
software pipeline or otherwise optimize the loop in this case. This is actually a com-
mon phenomenon, not exclusively related to software pipelining; any obstruction
that hides information from the compiler can have a substantial performance im-
pact.
1000 A(i)=s*A(i) 1000 offset= 0

A(i)=s*A(i+1) offset=+1
A(i)=s*A(i-1) offset=-1
800 800
MFlop/s
600 600
400 400
200 200
0 2 4 6
0 2 4 6
10 10 10 10 10 10
N N
Fig. 26.5. Influence of constant (left) and variable (right) offsets on the performance of a
scaling loop. (AMD Opteron 2.0 GHz)
There are issues with software pipelining linked to the use of caches. See below
for details.
26.1.4 Superscalar Processors
If a processor is designed to be capable of executing more than one instruction or,

more generally, producing more than one result per cycle, this goal is reflected in
many of its design details:
– Multiple instructions can be fetched and decoded concurrently (4–6 nowadays).
– Address and other integer calculations are performed in multiple integer (add,
mult, shift, mask) units (2–6).
– Multiple DP floating-point pipelines can run in parallel. Often there are one or
two combined mult-add pipes that perform a=b+c*d with a throughput of one
each.
– Single Instruction Multiple Data (SIMD) extensions are special instructions that
issue identical operations on a whole array of integer or FP operands, probably
in special registers. Whether SIMD will pay off on a certain code depends cru-
cially on its recurrence structure and cache reuse. Examples are Intel’s SSE and
successors, AMD’s 3dNow! and the AltiVec extensions in Power and PowerPC
processors.
– Caches are fast enough to sustain more than one DP load or store operation per
cycle, and there are as many execution units for loads and stores available (2–4).
Out-of-order execution and compiler optimization must work together in order to
fully exploit superscalarity. However, even on the most advanced architectures it is
extremely hard for compiler-generated code to achieve a throughput of more than
2–3 instructions per cycle. This is why programmers with very high demands for
performance sometimes still resort to the use of assembly language.
26.1.5 Memory Hierarchies
Data can be stored in a computer system in a variety of ways. As described above,

CPUs feature a set of registers for instruction arguments that can be accessed with-
out any delays. In addition there are one or more small but very fast caches that hold
data items that have been used recently. Main memory is much slower but also much
larger than cache. Finally, data can be stored on disk and copied to main memory as
needed. This a is a complex memory hierarchy, and it is vital to understand how data
transfer works between the different levels in order to identify performance bottle-
necks. In the following we will concentrate on all levels from CPU to main memory
(see Fig. 26.6).
26.1.5.1 Cache
Caches are low-capacity, high-speed memories that are nowadays usually integrated
on the CPU die. The need for caches can be easily understood by the fact that data
Main memory Application data
"DRAM gap"
L2 cache
CPU chip
L1 cache
Registers
Arithmetic units
Computation
Fig. 26.6. Left: simplified data-centric memory hierarchy in a cache-based microprocessor

(direct access paths from registers to memory are not available on all architectures). There is
usually a separate L1 cache for instructions. This model must be mapped to the data access
requirements of an application (right)
transfer rates to main memory are painfully slow compared to the CPU’s arithmetic
performance. At a peak performance of several GFlops/sec, memory bandwidth, i.e.
the rate at which data can be transferred from memory to the CPU, is still stuck at a
couple of GBytes/sec, which is entirely insufficient to feed all arithmetic units and
keep them busy continuously (see Sect. 27.1 for a more thorough analysis). To make
matters worse, in order to transfer a single data item (usually one or two DP words)
from memory, an initial waiting time called latency occurs until bytes can actually
flow. Often, latency is defined as the time it takes to transfer a zero-byte message.
Memory latency is usually of the order of several hundred CPU cycles and is com-
posed of different contributions from memory chips, the chipset and the processor.
Although Moore’s law still guarantees a constant rate of improvement in chip com-
plexity and (hopefully) performance, advances in memory performance show up at
a much slower rate. The term DRAM gap has been coined for the increasing distance
between CPU and memory in terms of latency and bandwidth.
Caches can alleviate the effects of the DRAM gap in many cases. Usually there
are at least two levels of cache (see Fig. 26.6), and there are two L1 caches, one
for instructions (I-cache) and one for data. Outer cache levels are normally unified,
storing data as well as instructions. In general, the closer a cache is to the CPU’s
registers, i.e. the higher its bandwidth and the lower its latency, the smaller it must be
to keep administration overhead low. Whenever the CPU issues a read request (load)
for transferring a data item to a register, first-level cache logic checks whether this
item already resides in cache. If it does, this is called a cache hit and the request can
be satisfied immediately, with low latency. In case of a cache miss, however, data
must be fetched from outer cache levels or, in the worst case, from main memory. If
all cache entries are occupied, a hardware-implemented algorithm evicts old items
from cache and replaces them with new data. The sequence of events for a cache
miss on a write is more involved and will be described later. Instruction caches
are usually of minor importance as scientific codes tend to be largely loop-based;
I-cache misses are rare events.
Caches can only have a positive effect on performance if the data access pattern
of an application shows some locality of reference. More specifically, data items
that have been loaded into cache are to be used again soon enough to not have been
evicted in the meantime. This is also called temporal locality. Using a simple model,
we will now estimate the performance gain that can be expected from a cache that
is a factor of τ faster than memory (this refers to bandwidth as well as latency; a
more refined model is possible but does not lead to additional insight). Let β be
the cache reuse ratio, i.e. the fraction of loads or stores that can be satisfied from
cache because there was a recent load or store to the same address. Access time
to main memory (again this includes latency and bandwidth) is denoted by Tm . In
cache, access time is reduced to Tc = Tm /τ . For some finite β, the average access
time will thus be Tav = βTc + (1 − β)Tm , and we calculate an access performance
gain of
Tm τ Tc τ
G(τ, β) = = = . (26.4)
Tav βTc + (1 − β)τ Tc β + τ (1 − β)
As Fig. 26.7 shows, a cache can only lead to a significant performance advantage if
the hit ratio is relatively close to one.
However, many applications use streaming patterns where large amounts of data
are loaded to the CPU, modified and written back, without the potential of reuse in
20
15 τ=5
τ=10
τ=50
G(τ,β)
10
0
0.7 0.75 0.8 0.85 0.9 0.95 1
β
Fig. 26.7. Performance gain vs. cache reuse ratio. τ parametrizes the speed advantage of
cache vs. main memory
time. For a cache that only supports temporal locality, the reuse ratio β (see above)
is zero for streaming. Each new load is expensive as an item has to be evicted from
cache and replaced by the new one, incurring huge latency. In order to reduce the la-
tency penalty for streaming, caches feature a peculiar organization into cache lines.
All data transfers between caches and main memory happen on the cache line level.
The advantage of cache lines is that the latency penalty of a cache miss occurs only
on the first miss on an item belonging to a line. The line is fetched from memory as
a whole; neighboring items can then be loaded from cache with much lower latency,
increasing the cache hit ratio γ, not to be confused with the reuse ratio β. So if the
application shows some spatial locality, i.e. if the probability of successive accesses
to neighboring items is high, the latency problem can be significantly reduced. The
downside of cache lines is that erratic data access patterns are not supported. On the
contrary, not only does each load incur a miss and subsequent latency penalty, it also
leads to the transfer of a whole cache line, polluting the memory bus with data that
will probably never be used. The effective bandwidth available to the application
will thus be very low. On the whole, however, the advantages of using cache lines
prevail, and very few processor manufacturers have provided means of bypassing
the mechanism.
Assuming a streaming application working on DP floating point data on a CPU
with a cache line length of Lc = 16 words, spatial locality fixes the hit ratio at
γ = (16 − 1)/16 = 0.94, a seemingly large value. Still it is clear that performance
is governed by main memory bandwidth and latency – the code is memory-bound.
In order for an application to be truly cache-bound, i.e. decouple from main memory
so that performance is not governed by bandwidth or latency any more, γ must be
large enough that the time it takes to process in-cache data becomes larger than the
time for reloading it. If and when this happens depends of course on the details of
the operations performed.
By now we can interpret the performance data for cache-based architectures on
the vector triad in Fig. 26.2. At very small loop lengths, the processor pipeline is too
long to be efficient. Wind-up and wind-down phases dominate and performance is
poor. With growing N this effect becomes negligible, and as long as all four arrays
fit into the innermost cache, performance saturates at a high value that is set by
cache bandwidth and the ability of the CPU to issue load and store instructions.
Increasing N a little more gives rise to a sharp drop in performance because the
innermost cache is not large enough to hold all data. Second-level cache has usually
larger latency but similar bandwidth to L1 so that the penalty is larger than expected.
However, streaming data from L2 has the disadvantage that L1 now has to provide
data for registers as well as continuously reload and evict cache lines from/to L2,
which puts a strain on the L1 cache’s bandwidth limits. This is why performance is
usually hard to predict on all but the innermost cache level and main memory. For
each cache level another performance drop is observed with rising N, until finally
even the large outer cache is too small and all data has to be streamed from main
memory. The sizes of the different caches are directly related the locations of the
bandwidth breakdowns. Section 27.1 will describe how to predict performance for
simple loops from basic parameters like cache or memory bandwidths and the data
demands of the application.
Storing data is a little more involved than reading. In presence of caches, if
data to be written out already resides in cache, a write hit occurs. There are several
possibilities for handling this case, but usually outermost caches work with a write-
back strategy: The cache line is modified in cache and written to memory as a whole
when evicted. On a write miss, however, cache-memory consistency dictates that the
cache line in question must first be transferred from memory to cache before it can
be modified. This is called read for ownership (RFO) and leads to the situation that
a data write stream from CPU to memory uses the bus twice, once for all the cache
line RFOs and once for evicting modified lines (the data transfer requirement for the
triad benchmark code is increased by 25 % due to RFOs). Consequently, streaming
applications do not usually profit from write-back caches and there is often a wish
for avoiding RFO transactions. Some architectures provide this option, and there are
generally two different strategies:
– Non-temporal stores. These are special store instructions that bypass all cache
levels and write directly to memory. Cache does not get polluted by store streams
that do not exhibit temporal locality anyway. In order to prevent excessive laten-
cies, there is usually a write combine buffer of sorts that bundles a number of
successive stores.
– Cache line zero. Again, special instructions serve to zero out a cache line and
mark it as modified without a prior read. The data is written to memory when
evicted. In comparison to non-temporal stores, this technique uses up cache
space for the store stream. On the other hand it does not slow down store opera-
tions in cache-bound situations.
Both can be applied by the compiler and hinted at by the programmer by means
of directives. In very simple cases compilers are able to apply those instructions
automatically in their optimization stages, but one must take care to not slow down
a cache-bound code by using non-temporal stores, rendering it effectively memory-
bound.
26.1.5.2 Cache Mapping

So far we have implicitly assumed that there is no restriction on which cache line
can be associated with which memory locations. A cache design that follows this
rule is called fully associative. Unfortunately it is quite hard to build large, fast and
fully associative caches because of large bookkeeping overhead: For each cache
line the cache logic must store its location in the CPU’s address space, and each
memory access must be checked against the list of all those addresses. Furthermore,
the decision which cache line to replace next if the cache is full is made by some
algorithm implemented in hardware. Usually, there is a least-recently-used (LRU)
strategy that makes sure only the oldest items are evicted.
The most straightforward simplification of this expensive scheme consists in a
direct-mapped cache which maps the full cache size repeatedly into memory (see
Way 2
Way 1
Fig. 26.8. Direct-mapped (left) and two-way set-associative cache (right). Shaded boxes in-
dicate cache lines
Fig. 26.8 (left)). Memory locations that lie a multiple of the cache size apart are
always mapped to the same cache line, and the cache line that corresponds to some
address can be obtained very quickly by masking out the most significant bits. More-
over, an algorithm to select which cache line to evict is pointless. No hardware and
no clock cycles need to be spent for it.
The downside of a direct-mapped cache is that it is disposed toward cache
thrashing, which means that cache lines are loaded into and evicted from cache
in rapid succession. This happens when an application uses many memory locations
that get mapped to the same cache line. A simple example would be a strided triad
code for DP data:
do i=1,N,CACHE SIZE/8
A(i) = B(i) + C(i) * D(i)
enddo
By using the cache size in units of DP words as a stride, successive loop iterations
hit the same cache line so that every memory access generates a cache miss. This
is different from a situation where the stride is equal to the line length; in that case,
there is still some (albeit small) N for which the cache reuse is 100 %. Here, the
reuse fraction is exactly zero no matter how small N may be.
To keep administrative overhead low and still reduce the danger of cache thrash-
ing, a set-associative cache is divided into m direct-mapped caches of equal size,
so-called ways. The number of ways m is the number of different cache lines a
memory address can be mapped to (see Fig. 26.8 (right) for an example of a two-
way set-associative cache). On each memory access, the hardware merely has to
determine which way the data resides in or, in the case of a miss, which of the m
possible cache lines should be evicted.
For each cache level the tradeoff between low latency and prevention of thrash-
ing must be considered by processor designers. Innermost (L1) caches tend to be
less set-associative than outer cache levels. Nowadays, set-associativity varies be-
tween two- and 16-way. Still, the effective cache size, i.e. the part of the cache that
is actually useful for exploiting spatial and temporal locality in an application code
could be quite small, depending on the number of data streams, their strides and
mutual offsets. See Sect. 27.1 for examples.
26.1.5.3 Prefetch
Although exploiting spatial locality by the introduction of cache lines improves

cache efficiency a lot, there is still the problem of latency on the first miss. Figure
26.9 visualizes the situation for a simple vector norm kernel:
do i=1,N
S = S + A(i)*A(i)
enddo
There is only one load stream in this code. Assuming a cache line length of four
elements, three loads can be satisfied from cache before another miss occurs. The
long latency leads to long phases of inactivity on the memory bus.
Making the lines very long will help, but will also slow down applications with
erratic access patterns even more. As a compromise one has arrived at typical cache
line lengths between 64 and 128 bytes (8–16 DP words). This is by far not big
enough to get around latency, and streaming applications would suffer not only
from insufficient bandwidth but also from low memory bus utilization. Assuming
a typical commodity system with a memory latency of 100 ns and a bandwidth of
4GBytes/sec, a single 128-byte cache line transfer takes 32 ns, so 75 % of the poten-
tial bus bandwidth is unused. Obviously, latency has an even more severe impact on
performance than bandwidth.
The latency problem can be solved in many cases, however, by prefetching.
Prefetching supplies the cache with data ahead of the actual requirements of an
application. The compiler can do this by interleaving special instructions with the
software pipelined instruction stream that touch cache lines early enough to give
the hardware time to load them into cache (see Fig. 26.10). This assumes there is
the potential of asynchronous memory operations, a prerequisite that is to some
extent true for current architectures. As an alternative, some processors feature a
time
1 LD cache miss: latency use data
2 LD use data
3 LD use data
Iteration #
4 LD use data
5 LD cache miss: latency use data
6 LD use data
7 LD use data
Fig. 26.9. Timing diagram on the influence of cache misses and subsequent latency penalties
for a vector norm loop. The penalty occurs on each new miss
time
1 PF cache miss: latency LD use data
2 LD use data
3 LD use data
Iteration #
4 LD use data
6 LD use data
7 LD use data
8 LD use data
Fig. 26.10. Calculation and data transfer can be overlapped much better with prefetching. In
this example, two outstanding prefetches are required to hide latency completely
hardware prefetcher that can detect regular access patterns and tries to read ahead
application data, keeping up the continuous data stream and hence serving the same
purpose as prefetch instructions. Whichever strategy is used, it must be emphasized
that prefetching requires resources that are limited by design. The memory subsys-
tem must be able to sustain a certain number of outstanding prefetch operations,
i.e. pending prefetch requests, or else the memory pipeline will stall and latency
cannot be hidden completely. Applications with many data streams can easily over-
strain the prefetch mechanism. Nevertheless, if main memory access is unavoidable,
a good programming guideline is to try to establish long continuous data streams.
Figs. 26.9 and 26.10 stress the role of prefetching for hiding latency, but the ef-
fects of bandwidth limitations are ignored. It should be clear that prefetching cannot
enhance available memory bandwidth, although the transfer time for a single cache
line is dominated by latency.
26.1.6 Multi-Core Processors
In recent years it has become increasingly clear that, although Moore’s law is still
valid and will be at least for the next decade, standard microprocessors are starting
to hit the “heat barrier”: Switching and leakage power of several-hundred-million-
transistor chips are so large that cooling becomes a primary engineering effort
and a commercial concern. On the other hand, the necessity of an ever-increasing
clock frequency is driven by the insight that architectural advances and growing
cache sizes alone will not be sufficient to keep up the one-to-one correspondence of
Moore’s law with application performance.
Processor vendors are looking for a way out of this dilemma in the form of multi-
core designs. The technical motivation behind multi-core is based on the observation
that power dissipation of modern CPUs is proportional to the third power of clock
frequency fc (actually it is linear in fc and quadratic in supply voltage Vcc , but a

decrease in fc allows for a proportional decrease in Vcc ). Lowering fc and thus Vcc
can therefore dramatically reduce power dissipation. Assuming that a single core
with clock frequency fc has a performance of p and a power dissipation of W , some
relative change in performance εp = ∆p/p will emerge for a relative clock change
of εf = ∆fc /fc . All other things being equal, |εf | is an upper limit for |εp |, which
in turn will depend on the applications considered. Power dissipation is
W + ∆W = (1 + εf )3 W . (26.5)
Reducing clock frequency opens the possibility to place more than one CPU core
on the same die while keeping the same power envelope as before. For m cores, this
condition is expressed as
(1 + εf )3 m = 1 =⇒ εf = m−1/3 − 1 (26.6)
Figure 26.11 shows the required relative frequency reduction with respect to the
number of cores. The overall performance of the multi-core chip,
pm = (1 + εp )pm , (26.7)
should at least match the single-core performance so that

1
εp > −1 (26.8)
m
is a limit on the performance penalty for a relative clock frequency reduction of εf
that should be observed for multi-core to stay useful.
–0.6
–0.5
–0.4
εf
–0.3
–0.2
–0.1
0
2 4 8 16
m
Fig. 26.11. Relative frequency reduction required to keep a given power envelope versus
number of cores on a multi-core chip. The filled dots represent available technology at the
time of writing
Of course it is not easy to grow the CPU die by a factor of m with a given man-
ufacturing technology. Hence the most simple way to multi-core is to place separate
CPU dies in a common package. At some point advances in manufacturing technol-
ogy, i.e. smaller structure lengths, will then enable the integration of more cores on a
single die. Additionally, some compromises regarding the single-core performance
of a multi-core chip with respect to the previous generation will be made so that
the number of transistors per core will go down as will the clock frequency. Some
manufacturers have even adopted a more radical approach by designing new, much
simpler cores, albeit at the cost of introducing new programming paradigms.
Finally, the over-optimistic assumption (26.7) that m cores show m times the
performance of a single core will only be valid in the rarest of cases. Nevertheless,
multi-core has by now been adopted by all major processor manufacturers. There
are, however, significant differences in how the cores in a package can be arranged to
get good performance. Caches can be shared or exclusive to each core, the memory
interface can be on- or off-chip, fast data paths between the cores’ caches may or
may not exist, etc.
The most important conclusion one must draw from the multi-core transition is
the absolute demand for parallel programming. As the single core performance will
at best stagnate over the years, getting more speed for free through Moore’s law
just by waiting for the new CPU generation does not work any more. The following
section outlines the principles and limitations of parallel programming. More details
on dual- and multi-core designs will be discussed in the section on shared-memory
programming Sect. 26.2.4.
In order to avoid any misinterpretation we will always use the terms core, CPU
and processor synonymously.
26.2 Parallel Computing

We speak of parallel computing whenever a number of processors (cores) solve
a problem in a cooperative way. All modern supercomputer architectures depend
heavily on parallelism, and the number of CPUs in large-scale supercomputers in-
creases steadily. A common measure for supercomputer speed has been established
by the Top 500 list [5] that is published twice a year and ranks parallel computers
based on their performance in the LINPACK benchmark that solves a dense sys-
tem of linear equations of unspecified size. Although LINPACK is not generally
accepted as a good metric because it covers only a single architectural aspect (peak
performance), the list can still serve as an important indicator for trends in super-
computing. The main tendency is clearly visible from a comparison of processor
number distributions in Top 500 systems (see Fig. 26.12): Top of the line HPC sys-
tems do not rely on Moore’s law alone for performance but parallelism becomes
more important every year. This trend will accelerate even more by the advent of
multi-core processors – the June 2006 list contains only very few dual-core systems
(see also Sect. 26.1.6).
300
June 2000 June 2006

250
200
150
100
50
0
5–8 9–16 17–32 33–64 65–128 129– 257– 513– 1025– 2049– 4k–8k 8k–16k 32k– 64k–
256 512 1024 2048 4096 64k 128k
# CPUs
Fig. 26.12. Number of systems vs. processor count in the June 2000 and June 2006 Top 500
lists. The average number of CPUs has grown 16-fold in six years
26.2.1 Basic Principles of Parallelism
Parallelization is the process of formulating a problem in a way that lends itself to

concurrent execution by several execution units of some kind. This is not only a
common problem in computing but also in many other areas like manufacturing,
traffic flow and even business processes. Ideally, the execution units (workers, as-
sembly lines, border crossings, CPUs,. . . ) are initially given some amount of work
to do which they execute in exactly the same amount of time. Therefore, using N
workers, a problem that takes a time T to be solved sequentially will now take only
T /N . We call this a speedup of N .
Of course, reality is not perfect and some concessions will have to be made.
Not all workers might execute at the same speed (see Fig. 26.13), and the tasks
might not be easily partitionable into N equal chunks. Moreover there might be
shared resources like, e.g., tools that only exist once but are needed by all workers.
This will effectively serialize part of the concurrent execution (Fig. 26.14). Finally,
the parallel work-flow may require some communication between workers, adding
some overhead that would not be present in the serial case (Fig. 26.15). All these
effects can impose limits on speedup. How well a task can be parallelized is usually
quantified by some scalability metric.
26.2.2 Performance Models for Parallel Scalability
In order to be able to define scalability we first have to identify the basic mea-
surements on which derived performance metrics are built. In a simple model, the
overall problem size (amount of work) shall be s + p = 1, where s is the serial
(non-parallelizable) and p is the perfectly parallelizable fraction. The 1-CPU (se-
rial) runtime for this case,
1 2 3 4 5 6 7 8 9 10 11 12
W1 1 2 3 4 W1 1 2 3 4
W2 5 6 7 8 W2 5 6 7 8
W3 9 10 11 12 W3 9 10 11 12
Fig. 26.13. Parallelizing a sequence of tasks (top) using three workers (W1. . . W3). Left bot-
tom: perfect speedup. Right bottom: some tasks executed by different workers at different
speeds lead to load imbalance. Hatched regions indicate unused resources
Tfs = s + p , (26.9)
is thus normalized to one. Solving the same problem on N CPUs will require a
runtime of
p
Tfp = s +
. (26.10)
N
This is called strong scaling because the amount of work stays constant no matter
how many CPUs are used. Here the goal of parallelization is minimization of time
to solution for a given problem.
If time to solution is not the primary objective because larger problem sizes (for
which available memory is the limiting factor) are of interest, it is appropriate to
scale the problem size with some power of N so that the total amount of work is
s+pN α , where α is a positive but otherwise free parameter. Here we use the implicit
assumption that the serial fraction s is a constant. We define the serial runtime for
the scaled problem as
Tvs = s + pN α . (26.11)
Consequently, the parallel runtime is
Tvp = s + pN α−1 . (26.12)
The term weak scaling has been coined for this approach.
W1 1 2 3 4
W2 5 6 7 8
W3 9 10 11 12
Fig. 26.14. Parallelization in presence of a bottleneck that effectively serializes part of the
concurrent execution. Tasks 3, 7 and 11 cannot overlap across the dashed barriers
W1 1 2 3 4
W2 5 6 7 8
W3 9 10 11 12
Fig. 26.15. Communication processes (arrows represent messages) limit scalability if they
cannot be overlapped with each other or with calculation
26.2.2.1 Scalability Limitations
In a simple Ansatz, application speedup can be defined as the quotient of paral-

lel and serial performance for fixed problem size. In the following we will define
performance as work over time, unless otherwise noted. Serial performance for fixed
problem size (work) s + p is thus
s+p
Pfs = =1, (26.13)
Tfs
as expected. Parallel performance is in this case

s+p 1
Pfp = p = , (26.14)
Tf (N ) s + 1−s
N
and application speedup (scalability) is
Pfp 1
Sf = = . (26.15)
Pfs
s + 1−s
N
With (26.15) we have derived the well-known Amdahl law which limits application
speedup for large N to 1/s. It answers the question “How much faster (in terms of
runtime) does my application run when I put the same problem on N CPUs?” On
the other hand, in the case of weak scaling where workload grows with CPU count,
the question to ask is “How much more work can my program do in a given amount
of time when I put a larger problem on N CPUs?” Serial performance as defined
above is again
s+p
Pvs = =1, (26.16)
Tfs
as N = 1. Based on (26.11) and (26.12), Parallel performance (work over time) is
s + pN α s + (1 − s)N α
Pvp = p = = Sv , (26.17)
Tv (N ) s + (1 − s)N α−1
again identical to application speedup. In the special case α = 0 (strong scaling) we

recover Amdahl’s law. With 0 < α < 1, we get for large CPU counts
N ≫1 s + (1 − s)N α p
Sv −−−→ = 1 + Nα , (26.18)
s s
which is linear in N α . As a result, weak scaling allows us to cross the Amdahl

Barrier and get unlimited performance, even for small α. In the ideal case α = 1,
(26.17) simplifies to
Sv (α = 1) = s + (1 − s)N , (26.19)
and speedup is linear in N , even for small N . This is called Gustafson’s law. Keep in
mind that the terms with N or N α in the previous formulas always bear a prefactor
that depends on the serial fraction s, thus a large serial fraction can lead to a very
small slope.
26.2.2.2 Parallel Efficiency
In the light of the considerations about scalability, one other point of interest is the
question how effectively a given resource, i.e., CPU power, can be used in a parallel
program (in the following we assume that the serial part of the program is executed
on one single worker while all others have to wait). Usually, parallel efficiency is
then defined as
performance on N CPUs speedup
ε= = . (26.20)
N × performance on one CPU N
We will only consider weak scaling, as the limit α → 0 will always recover the
Amdahl case. We get
Sv sN −α + (1 − s)
ε= = . (26.21)
N sN 1−α + (1 − s)
For α = 0 this yields 1/(sN + (1 − s)), which is the expected ratio for the Amdahl
case and approaches zero with large N . For α = 1 we get s/N + (1 − s), which is
also correct because the more CPUs are used the more CPU cycles are wasted, and,
starting from ε = s + p = 1 for N = 1, efficiency reaches a limit of 1 − s = p for
large N . Weak scaling enables us to use at least a certain fraction of CPU power,
even when the CPU count is very large. Wasted CPU time grows linearly with N ,
though, but this issue is clearly visible with the definitions used.
26.2.2.3 Refined Performance Models
There are situations where Amdahl’s and Gustafson’s laws are not appropriate be-
cause the underlying model does not encompass components like communication,
load imbalance, parallel startup overhead etc. As an example, we will include a
simple communication model. For simplicity we presuppose that communication
cannot be overlapped with computation (see Fig. 26.15), an assumption that is ac-
tually true for many parallel architectures. In a parallel calculation, communication
must thus be accounted for as a correction term in parallel runtime (26.12):
Tvpc = s + pN α−1 + cα (N ) . (26.22)

The communication overhead cα (N ) must not be included into the definition of

work that is used to derive performance as it emerges from processes that are solely
a result of the parallelization. Parallel speedup is then
s + pN α s + (1 − s)N α
Svc = pc = . (26.23)
Tv (N ) s + (1 − s)N α−1 + cα (N )
The functional dependence cα (N ) can have a variety of forms; the dependency
on α is sometimes functional, sometimes conceptual. Furthermore we assume that
the amount of communication is the same for all workers. A few special cases are
described below:
– α = 0, blocking network: If the communication network has a bus-like struc-
ture, i.e. only one message can be in flight at any time, and the communication
overhead per CPU is independent of N then cα (N ) = (κ + λ)N , where κ is
message transfer time and λ is latency. Thus,
1 N ≫1 1
Svc = 1−s −−−→ , (26.24)
s+ N + (κ + λ)N (κ + λ)N
i.e. performance is dominated by communication and even goes to zero for large
CPU numbers. This is a very common situation as it also applies to the presence
of shared resources like memory paths, I/O devices and even on-chip arithmetic
units.
– α = 0, non-blocking network: If the communication network can sustain N/2
concurrent messages with no collisions, cα (N ) = κ + λ and
1 N ≫1 1
Svc = 1−s −−−→ . (26.25)
s+ N +κ+λ s+κ+λ
In this case the situation is quite similar to the Amdahl case and performance
will saturate at a lower value than without communication.
– α = 0, non-blocking network, 3D domain decomposition: There are also cases
where communication overhead decreases with N for strong scaling, e.g. like
cα (N ) = κN −β + λ. For any β > 0 performance at large N will be dominated
by s and the latency:
1 N ≫1 1
Svc = 1−s −β
−−−→ . (26.26)
s+ N + κN + λ s+λ
This arises, e.g., when domain decomposition (see Sect. 26.2.3) is employed on
a computational domain along all coordinate axes. In this case β = 2/3.
– α = 1, non-blocking network, 3D domain decomposition: Finally, when the
problem size grows linearly with N , one may end up in a situation where com-
munication per CPU stays independent of N . As this is weak scaling, the numer-
ator leads to linear scalability with an overall performance penalty (prefactor):
s + pN N ≫1 (1 − s)N
Svc = −−−→ . (26.27)
s+p+κ+λ 1+κ+λ
20
15
c
Sv
10 Amdahl (α=κ=λ=0)
α=0, blocking
α=0, non-blocking
α=0, 3D domain dec., non-blocking
α=1, 3D domain dec., non-blocking
5
0
1 10 100 1000
N
Fig. 26.16. Predicted parallel scalability for different models at s = 0.05. In general, κ =
0.005 and λ = 0.001 except for the Amdahl case which is shown for reference
Figure 26.16 illustrates the four cases at κ = 0.005, λ = 0.001 and s = 0.05 and
compares with Amdahl’s law. Note that the simplified models we have covered in
this section are far from accurate for many applications. In order to check whether
some performance model is appropriate for the code at hand, one should measure
scalability for some processor numbers and fix the free model parameters by least-
squares fitting.
26.2.3 Distributed-Memory Computing
After covering the principles and limitations of parallelization we will now turn
to the concrete architectures that are at the programmer’s disposal to implement a
parallel algorithm on. Two primary paradigms have emerged, and each features a
dominant and standardized programming model: Distributed-memory and shared-
memory systems. In this section we will be concerned with the former while the
next section covers the latter.
Figure 26.17 shows a simplified block diagram, or programming model, of a
distributed-memory parallel computer. Each processor P (with its own local cache
C) is connected to exclusive local memory, i.e. no other CPU has direct access to it.
Although many parallel machines today, first and foremost the popular PC clusters,
consist of a number of shared-memory compute nodes with two or more CPUs for
price/performance reasons, the programmer’s view does not reflect that (it is even
possible to use distributed-memory programs on machines that feature shared mem-
ory only). Each node comprises at least one network interface (NI) that mediates
the connection to a communication network. On each CPU runs a serial process that
can communicate with other processes on other CPUs by means of the network. In
the simplest case one could use standard switched Ethernet, but a number of more
advanced technologies have emerged that can easily have ten times the bandwidth
P P P P P
C C C C C
M M M M M
NI NI NI NI NI
Communication network
Fig. 26.17. Simplified programmer’s view, or programming model, of a distributed-memory
parallel computer
and 1/10 th of the latency of Gbit Ethernet. As shown in the section on performance
models, the exact layout and speed of the network has considerable impact on ap-
plication performance. The most favorable design consists of a non-blocking wire-
speed network that can switch N/2 connections between its N participants without
any bottlenecks. Although readily available for small systems with tens to a few
hundred nodes, non-blocking switch fabrics become vastly expensive on very large
installations and some compromises are usually made, i.e. there will be a bottleneck
if all nodes want to communicate concurrently.
26.2.3.1 Domain Decomposition
On a distributed-memory system it is the programmer’s responsibility to divide the

problem into pieces in an appropriate way and distribute data across the processes.
All process-to-process communication is explicit in the program. A very common
method in parallel programming is domain decomposition. As an example consider
a two-dimensional simulation code that updates physical variables on a n × n grid.
Domain decomposition subdivides the computational domain into N subdomains.
How exactly this is to be done is the choice of the programmer, but some guide-
lines should be observed (see Fig. 26.18). First, the computational effort should be
equal for all domains to avoid load imbalance. Second, next-neighbor interactions
require communication across domain boundaries. The data volume to be consid-
ered here is proportional to the overall length of the cuts. Comparing the two alter-
natives in Fig. 26.18, one arrives at a communication cost of n(N − 1) for stripe
domains,
√ whereas an optimal decomposition into square subdomains leads to a cost
of 2n( N − 1). Hence for large √ N the optimal decomposition has an advantage
in communication cost of 2/ N . Whether this difference is significant or not in
reality depends on the problem size and other factors, of course.
Fig. 26.18. Domain decomposition of a two-dimensional simulation with next-neighbor in-

teractions. Cutting into stripes (left) is simple but incurs more communication than optimal
decomposition (right). Shaded cells participate in network communication
Note that domain decomposition has the attractive property that domain bound-
ary area grows more slowly than volume if the problem size increases with N con-
stant. Therefore one can alleviate communication bottlenecks just by choosing a
larger problem size. The expected effects of strong and weak scaling with opti-
mal domain decomposition in three dimensions have been discussed in (26.26) and
(26.27).
26.2.3.2 The Message Passing Paradigm and MPI
As mentioned above, distributed-memory parallel programming requires the use

of explicit message passing (MP), i.e. communication between processes. This is
surely the most tedious and complicated but also the most flexible parallelization
method. Nowadays there is an established standard for message passing called MPI
(Message Passing Interface) that is supported by all vendors [6]. MPI conforms to
the following rules:
– The same program runs on all processes (Single Program Multiple Data, SPMD).
This is no restriction compared to the more general MPMD (Multiple Program
Multiple Data) model as all processes taking part in a parallel calculation can be
distinguished by a unique identifier called rank (see below).
– The program is written in a sequential language like Fortran, C or C++. Data
exchange, i.e. sending and receiving of messages, is done via calls to an appro-
priate library.
– All variables in a process are local to this process. There is no concept of shared
memory.
One should add that message passing is not the only possible programming paradigm
for distributed-memory machines. Specialized languages like High Performance
Fortran (HPF), Unified Parallel C (UPC) etc. have been created with support for
distributed-memory parallelization built in, but they have not developed a broad
user community and it is as yet unclear whether those approaches can match the
efficiency of MPI.
In a message passing program, messages move data between processes. A mes-

sage can be as simple as a single item (like a DP word) or even a complicated struc-
ture, perhaps scattered all over the address space. For a message to be transmitted
in an orderly manner, some parameters have to be fixed in advance:
– Which processor is sending the message?
– Where is the data on the sending processor?
– What kind of data is being sent?
– How much data is there?
– Which process/es is/are going to receive the message?
– Where should the data be left on the receiving process(es)?
– How much data are the receiving processes prepared to accept?
As we will see, all MPI calls that actually transfer data have to specify those param-
eters in some way. MPI is a very broad standard with (in its latest version) over 500
library routines. Fortunately, most applications merely require less than twenty of
those to work.
26.2.3.3 A Brief Glance on MPI
In order to compile and link MPI programs, compilers and linkers need options
that specify where include files and libraries can be found. As there is considerable
variation in those locations across installations, most MPI implementations provide
compiler wrapper scripts (often called mpicc, mpif77, etc.) that supply the re-
quired options automatically but otherwise behave like normal compilers. Note that
the way that MPI programs should be compiled and started is not fixed by the stan-
dard, so please consult your system documentation.
Listing 26.2. A very simple, fully functional “Hello World” MPI program
1 program mpitest
2 use MPI
3
4 integer rank, size, ierror

5
6 call MPI_Init(ierror)
7 call MPI_Comm_size(MPI_COMM_WORLD, size, ierror)
8 call MPI_Comm_rank(MPI_COMM_WORLD, rank, ierror)
9
10 write(*,*) ’Hello World, I am ’,rank,’ of ’,size

11
12 call MPI_Finalize(ierror)
13
14 end
Listing 26.2 shows a simple “Hello World” type MPI program in Fortran 90. In
line 2, the MPI module is loaded which provides required globals and definitions
(in Fortran 77 and C/C++ one would use the preprocessor to read in the mpif.h
or mpi.h header files, respectively). All MPI calls take an INTENT(OUT) argu-
ment, here called ierror, that transports information about the success of the MPI
operation to the user code (in C/C++, the return code is used for that). As failure
resiliency is not built into the MPI standard today and checkpoint/restart features
are usually implemented by the user code anyway, the error code is rarely checked
at all.
The first call in every MPI code should go to MPI_Init and initializes the par-
allel environment (line 6). In C/C++, &argc and &argv are passed to MPI_Init
so that the library can evaluate and remove any additional command line arguments
that may have been added by the MPI startup process. After initialization, MPI has
set up a so-called communicator, called MPI_COMM_WORLD. A communicator de-
fines a group of MPI processes that can be referred to by a communicator handle.
The MPI_COMM_WORLD handle describes all processes that have been started as
part of the parallel program. If required, other communicators can be defined as
subsets of MPI_COMM_WORLD. Nearly all MPI calls require a communicator as an
argument.
The calls to MPI_Comm_size and MPI_Comm_rank in lines 7 and 8 serve to
determine the number of processes (size) in the parallel program and the unique
identifier (the rank) of the calling process, respectively. The ranks in a commu-
nicator, in this case MPI_COMM_WORLD, are numbered starting from zero up to
N − 1. In line 12, the parallel program is shut down by a call to MPI_Finalize.
Note that no MPI process except rank 0 is guaranteed to execute any code beyond
MPI_Finalize.
In order to compile and run the source code in Listing 26.2, a common imple-
mentation would require the following steps:
$ mpif90 -O3 -o hello.exe hello.F90

$ mpirun -np 4 ./hello.exe
This would compile the code and start it with four processes. Be aware that proces-
sors may have to be allocated from some batch system before parallel programs can
be launched. How MPI processes are mapped to actual processors is entirely up to
the implementation. The output of this program could look like the following:
Hello World, I am 3 of 4
Although the stdout and stderr streams of MPI programs are usually redirected
to the terminal where the program was started, the order in which outputs from
different ranks will arrive is undefined.
This example did not contain any real communication apart from starting and
stopping processes. An MPI message is defined as an array of elements of a par-
ticular MPI datatype. Data types can either be basic types (corresponding to the
standard types that every programming language knows) or derived types that must
be defined by appropriate MPI calls. The reason why MPI needs to know the data
types of messages is that it supports heterogeneous environments where it may be
necessary to do on-the-fly data conversions. For some message transfer to take place,
the data types on sender and receiver sides must match. If there is exactly one sender
and one receiver we speak of point-to-point communication. Both ends are identified
uniquely by their ranks. Each message can carry an additional integer label, the so-
called tag that may be used to identify the type of a message, as a sequence number
or any other accompanying information. In Listing 26.3 we show an MPI program
fragment that computes an integral over some function f(x) in parallel. Each MPI
process gets assigned a subinterval of the integration domain (lines 9 and 10), and
some other function can then perform the actual integration (line 12). After that each
process holds its own partial result, which should be added to get the final integral.
This is done at rank 0, who executes a loop over all ranks from 1 to size − 1,
receiving the local integral from each rank in turn via MPI_Recv and accumulat-
ing the result in res. Each rank apart from 0 has to call MPI_Send to transmit
the data. Hence there are size − 1 send and size − 1 matching receive opera-
tions. The data types on both sides are specified to be MPI_DOUBLE_PRECISION,
which corresponds to the usual double precision type in Fortran (be aware
that MPI types are named differently in C/C++ than in Fortran). The message tag
is not used here, so we set it to 0 because identical tags are required for message
matching as well.
While all parameters are necessarily fixed on MPI_Send, there is some more
variability on the receiver side. MPI_Recv allows wildcards so that the source rank
and the tag do not have to be specified. Using MPI_ANY_SOURCE as source rank
and MPI_ANY_TAG as tag will match any message, from any source, with any tag
as long as the other matching criteria like data type and communicator are met (this
would have been possible in the integration example without further code changes).
After MPI_Recv has returned to the user code, the status array can be used to
extract the missing pieces of information, i.e. the actual source rank and message
tag, and also the length of the message as the array size specified in MPI_Recv is
only an upper limit.
The accumulation of partial results as shown above is an example for a reduction
operation, performed on all processes in the communicator. MPI has mechanisms
that make reductions much simpler and in most cases more efficient than looping
over all ranks and collecting results. As reduction is a procedure that all ranks in a
communicator participate in, it belongs to the so-called collective communication
operations in MPI. Collective communication, as opposed to point-to-point commu-
nication, requires that every rank calls the same routine, so it is impossible for a mes-
sage sent via point-to-point to match a receive that was initiated using a collective
Listing 26.3. Program fragment for parallel integration in MPI

1 integer stat(MPI_STATUS_SIZE)
2 call MPI_Comm_size(MPI_COMM_WORLD, size, ierror)
3 call MPI_Comm_rank(MPI_COMM_WORLD, rank, ierror)
4 ! integration limits
5 a=0.d0
6 b=2.d0
7 res=0.d0
8 ! limits for "me"
9 mya=a+rank*(b-a)/size
10 myb=mya+(b-a)/size
11 ! integrate f(x) over my own chunk - actual work
12 psum = integrate(mya,myb)
13 ! rank 0 collects partial results
14 if(rank.eq.0) then
15 res=psum
16 do i=1,size-1
17 call MPI_Recv(tmp, & ! receive buffer
18 1, & ! array length
19 ! datatype
20 MPI_DOUBLE_PRECISION,&
21 i, & ! rank of source
22 0, & ! tag (additional label)
23 ! communicator
24 MPI_COMM_WORLD,&
25 stat,& ! status array (msg info)
26 ierror)
27 res=res+tmp
28 enddo
29 write (*,*) ’Result: ’,res
30 ! ranks != 0 send their results to rank 0
31 else
32 call MPI_Send(psum, & ! send buffer
33 1, & ! array length
34 MPI_DOUBLE_PRECISION,&
35 0, & ! rank of destination
36 0, & ! tag
37 MPI_COMM_WORLD,ierror)
38 endif
call. The whole if. . . else. . . endif construct (apart from printing the result) in
Listing 26.3 could have been written as a single call:
call MPI_Reduce(psum, & ! send buffer
res, & ! receive buffer
1, & ! array length
MPI_DOUBLE_PRECISION,&
MPI_SUM,& ! type of operation
0, & ! root (accumulate res there)
MPI_COMM_WORLD,ierror)
Most collective routines define a root rank at which some general data source or
sink is located. Although rank 0 is a natural choice for root, it is in no way different
from other ranks.
There are collective routines not only for reduction but also for barriers (each
process stops at the barrier until all others have reached the barrier as well), broad-
casts (the root rank transmits some data to everybody else), scatter/gather (data is
distributed from root to all others or collected at root from everybody else), and
complex combinations of those. Generally speaking, it is a good idea to prefer col-
lectives over point-to-point constructs that emulate the same semantics. Good MPI
implementations are optimized for data flow on collective operations and also have
some knowledge about network topology built in.
All MPI functionalities described so far have the property that the call returns
to the user program only after the message transfer has progressed far enough so
that the send/receive buffer can be used without problems. That means, received
data has arrived completely and sent data has left the buffer so that it can be safely
modified without inadvertently changing the message. In MPI terminology, this is
called blocking communication. Although collective operations are always block-
ing, point-to-point communication can be performed with non-blocking calls as
well. A non-blocking point-to-point call merely initiates a message transmission
and returns very quickly to the user code. In an efficient implementation, waiting
for data to arrive and the actual data transfer occur in the background, leaving re-
sources free for computation. In other words, non-blocking MPI is a way in which
computation and communication may be overlapped. As long as the transfer has not
finished (which can be checked by suitable MPI calls), the message buffer must not
be used. Non-blocking and blocking MPI calls are mutually compatible, i.e. a mes-
sage sent via a blocking send can be matched by a non-blocking receive. Table 26.1
gives a rough overview of available communication modes in MPI.
26.2.3.4 Basic Performance Characteristics of Networks
As mentioned before, there are various options for the choice of a network in a
distributed-memory computer. The simplest and cheapest solution to date is Gbit
Ethernet, which will suffice for many throughput applications but is far too slow –
in terms of bandwidth and latency – for parallel code with any need for fast com-
munication. Assuming that the total transfer time for a message of size N [bytes] is
Table 26.1. Non-exhaustive overview on MPI’s communication modes
Point-to-point Collective
Blocking MPI_Send(buf,...) MPI_Barrier(...)
MPI_Ssend(buf,...) MPI_Bcast(...)
MPI_Bsend(buf,...) MPI_Reduce(...)
MPI_Recv(buf,...) (all processes in communicator
(buf can be used after call returns) must call)
Non-blocking MPI_Isend(buf,...)
MPI_Irecv(buf,...)
(buf can not be used or modified N/A
after call returns; check for
completion with MPI_Wait(...)
or MPI_Test(...))
composed of latency and streaming parts,

N
T = Tl + (26.28)
B
and B being the maximum network bandwidth in MBytes/sec, the effective band-
width is
N
Beff = . (26.29)
Tl + N
B
In Fig. 26.19, the model parameters in (26.29) are fitted to real data obtained on a
Gbit Ethernet network. Obviously this simple model is able to describe the gross
features well.
The measurement of the effective bandwidth is frequently done with the Ping-
Pong benchmark. The basic code sends a message of size N [bytes] once back and
forth between two nodes:
S = get_walltime()
if(rank.eq.0) then
call MPI_Send(buf,N,MPI_BYTE,1,0,...)
call MPI_Recv(buf,N,MPI_BYTE,1,0,...)
else
call MPI_Recv(buf,N,MPI_BYTE,0,0,...)
call MPI_Send(buf,N,MPI_BYTE,0,0,...)
endif
E = get_walltime()
MBYTES = 2*N/(E-S)/1.d6 ! MByte/sec rate
TIME = (E-S)/2*1.d6 ! transfer time in microsecs
! for single message
Bandwidth in MBytes/sec is then reported for different N (see Fig. 26.20). Common
to all interconnects, we observe very low bandwidth for small message sizes as
expected from the model (26.29). Latency can be measured directly by taking the
100
80
Beff [MBytes/sec]
60
40
measured (GE)
20 model fit (Tl = 41µs,
B = 102 MBytes/sec)
0
101 102 103 104 105 106 107

N [bytes]
Fig. 26.19. Fit of the model for effective bandwidth (26.29) to data measured on a Gbit
Ethernet network
N = 0 limit of transfer time (inset in Fig. 26.20). The reasons for latency can be
diverse:
– All data transmission protocols have some overhead in the form of administra-
tive data like message headers etc.
– Some protocols (like, e.g., TCP/IP as used over Ethernet) define minimum mes-
sage sizes, so even if the application sends a single byte, a small frame of N > 1
bytes is transmitted.
– Initiating a message transfer is a complicated process that involves multiple soft-
ware layers, depending on the complexity of the protocol. Each software layer
adds to latency.
– Standard PC hardware as frequently used in clusters is not optimized towards
low-latency I/O.
In fact, high-performance networks try to improve latency by reducing the influence
of all of the above. Lightweight protocols, optimized drivers and communication
devices directly attached to processor buses are all used by vendors to provide low
MPI latency.
For large messages, effective bandwidth saturates at some maximum value.
Structures like local minima etc. frequently occur but are very dependent on hard-
ware and software implementations (e.g., the MPI library could decide to switch
to a different buffering algorithm beyond some message size). Although saturation
bandwidths can be quite high (there are systems where achievable MPI bandwidths
are comparable to the local memory bandwidth of the processor), many applications
work in a region on the bandwidth graph where latency effects still play a dominant
role. To quantify this problem, the N1/2 value is often reported. This is the message
size at which Beff = B/2 (see Fig. 26.20). In the model (26.29), N1/2 = BTl . From
this point of view it makes sense to ask whether an increase in maximum network
bandwidth by a factor of β is really beneficial for all messages. At message size N ,
1500 35
30
Latency [µs]
25
20
Beff [MBytes/sec]
15
1000 10
5
0
100 101 102 103
500 Message Size [Byte] GBit Ethernet
Infiniband 4X (PCI-X)
SGI NUMALink4
100 101 102 103 104 105 106 107 108

N [bytes]
Fig. 26.20. Result of the PingPong benchmark for three different networks. The N1/2 point
is marked for the NumaLink4 data. Inset: Latencies can be deduced by extrapolating to zero
message length
the improvement in effective bandwidth is
Beff (βB, Tl ) 1 + N/N1/2

= , (26.30)
Beff (B, Tl ) 1 + N/βN1/2
so that for N = N1/2 and β = 2 the gain is only 33 %. In case of a reduction of la-
tency by a factor of β, the result is the same. Hence it is desirable to improve on both
latency and bandwidth to make an interconnect more efficient for all applications.
Please note that the simple PingPong algorithm described above cannot pinpoint
saturation effects: If the network fabric is not completely non-blocking and all nodes
transmit or receive data (as is often the case with collective MPI operations), aggre-
gated bandwidth, i.e. the sum over all effective bandwidths for all point-to-point
connections, is lower than the theoretical limit. This can severely throttle the perfor-
mance of applications on large CPU numbers as well as overall throughput of the
machine.
26.2.4 Shared-Memory Computing
A shared-memory parallel computer is a system in which a number of CPUs work on

a common, shared physical address space. This is fundamentally different from the
distributed-memory paradigm as described in the previous section. Although trans-
parent to the programmer as far as functionality is concerned, there are two varieties
of shared-memory systems that have very different performance characteristics:
– Uniform Memory Access (UMA) systems feature a flat memory model: Memory
bandwidth and latency are the same for all processors and all memory locations.
This is also called symmetric multiprocessing (SMP).
– On cache-coherent Non-Uniform Memory Access (ccNUMA) machines, mem-
ory is physically distributed but logically shared. The physical layout of such
systems is quite similar to the distributed-memory case (Fig. 26.17), but net-
work logic makes the aggregated memory of the whole system appear as one
single address space. Due to the distributed nature, memory access performance
varies depending on which CPU accesses which parts of memory (local vs. re-
mote access).
With multiple CPUs, copies of the same cache line may reside in different caches,
probably in modified state. So for both above varieties, cache coherence protocols
must guarantee consistency between cached data and data in memory at all times.
Details about UMA, ccNUMA and cache coherence mechanisms are provided in
the following sections.
26.2.4.1 UMA
The simplest implementation of a UMA system is a dual-core processor in which

two CPUs share a single path to memory. Technical details vary among vendors,
and it is very common in high performance computing to use more than one chip
in a compute node (be they single-core or multi-core), which adds to diversity. In
Figs. 26.21 and 26.22, two typical representatives of UMA systems used in HPC are
shown.
In Fig. 26.21 two (single-core) processors, each in its own socket, communicate
and access memory over a common bus, the so-called front-side bus (FSB). All
arbitration protocols required to make this work are already built into the CPUs. The
chipset (often termed north-bridge) is responsible for driving the memory modules
and connects to other parts of the node like I/O subsystems.
In Fig. 26.22, two dual-core chips connect to the chipset, each with its own FSB.
The chipset plays an important role in enforcing cache coherence and also mediates
the connection to memory. In principle, a system like this could be designed so
P P
socket
C C
C C
Chipset
Memory
Fig. 26.21. A UMA system with two single-core CPUs that share a common front-side bus
(FSB)
P P P P
socket
C C C C
C C
Chipset
Memory
Fig. 26.22. A UMA system in which the FSBs of two dual-core chips are connected separately
to the chipset
that the bandwidth from chipset to memory matches the aggregated bandwidth of
the front-side buses. Each dual-core chip features a separate L1 on each CPU but
a shared L2 cache for both. The advantage of a shared cache is that, to an extent
limited by cache size, data exchange between cores can be done there and does not
have to resort to the slow front-side bus. Of course, a shared cache should also meet
the bandwidth requirements of all connected cores, which might not be the case.
Due to the shared caches and FSB connections this kind of node is, while still a
UMA system, quite sensitive to the exact placement of processes or threads on its
cores. For instance, with only two processes it may be desirable to keep (pin) them
on separate sockets if the memory bandwidth requirements are high. On the other
hand, processes communicating a lot via shared memory may show more perfor-
mance when placed on the same socket because of the shared L2 cache. Operating
systems as well as some modern compilers usually have tools or library functions
for observing and implementing thread or process pinning.
The general problem of UMA systems is that bandwidth bottlenecks are bound
to occur when the number of sockets, or FSBs, is larger than a certain limit. In very
simple designs like the one in Fig. 26.21, a common memory bus is used that can
only transfer data to one CPU at a time (this is also the case for all multi-core chips
available today).
In order to maintain scalability of memory bandwidth with CPU number, non-
blocking crossbar switches can be built that establish point-to-point connections
between FSBs and memory modules (similar to the chip set in Fig. 26.22). Due
to the very large aggregated bandwidths those become very expensive for a larger
number of sockets. At the time of writing, the largest UMA systems with scalable
bandwidth (i.e. the memory bandwidth matches the aggregated FSB bandwidths of
all processors in the node) have eight CPUs. This problem can only be solved by
giving up on the UMA principle.
26.2.4.2 ccNUMA
In ccNUMA, a locality domain is a set of processor cores together with locally

connected memory, which can be accessed in the most efficient way, i.e. without re-
sorting to a network of any kind. Although the ccNUMA principle provides scalable
bandwidth for very large processor counts (systems with up to 1024 CPUs in a sin-
gle address space with a single OS instance are available today), it is also found in
inexpensive two- or four-socket AMD Opteron nodes frequently used for HPC clus-
tering (see Fig. 26.23). In this example two locality domains, i.e. dual-core chips
with separate caches and a common interface to local memory, are linked using a
special high-speed connection called Hypertransport (HT). Apart from the minor
peculiarity that the sockets can drive memory directly, making a north-bridge obso-
lete, this system differs substantially from networked UMA designs in that the HT
link can mediate direct coherent access from one processor to another processor’s
memory. From the programmer’s point of view this mechanism is transparent: All
the required protocols are handled by the HT hardware.
In Fig. 26.24 another approach to ccNUMA is shown, which is flexible enough
to scale to large machines, and used, e.g., in SGI Altix systems. Each processor
socket connects to a communication interface (S) that provides memory access as
well as connectivity to the proprietary NUMALink (NL) network. The NL network
relies on routers (R) to switch connections for non-local access. As with HT, the NL
hardware allows for transparent access to the whole address space of the machine
from all CPUs. Although shown here only with four sockets, multi-level router fab-
rics can be built that scale up to hundreds of CPUs. It must, however, be noted that
each piece of hardware inserted into a data connection (communication interfaces,
routers) adds to latency, making access characteristics very inhomogeneous across
P P P P
C C C C
C C C C
MI MI
HT
Memory Memory
Fig. 26.23. Hypertransport-based ccNUMA system with two locality domains (one per
socket) and four cores
P P P P
C C C C
C C C C
S S R
R S S
Memory Memory Memory Memory
Fig. 26.24. ccNUMA system with routed NUMALink network and four locality domains
the system. Furthermore, as is the case with networks for distributed-memory com-
puters, providing wire-equivalent speed, non-blocking bandwidth in large systems
is extremely expensive.
In all ccNUMA designs network connections must have bandwidth and latency
characteristics comparable to those of local memory. Although this is the case for
all contemporary systems, even a penalty factor of two for non-local transfers can
badly hurt application performance if access can not be restricted inside locality
domains. This locality problem is the first of two obstacles to take with high per-
formance software on ccNUMA. It occurs even if there is only one serial program
running on a ccNUMA machine. The second problem is potential congestion if two
processors from different locality domains access memory in the same locality do-
main, fighting for memory bandwidth. Even if the network is non-blocking and its
performance matches the bandwidth and latency of local access, congestion can oc-
cur. Both problems can be solved by carefully observing the data access patterns
of an application and restricting data access of each processor to its own locality
domain. Section 27.2.3 will elaborate on this topic.
In inexpensive ccNUMA systems I/O interfaces are often connected to a sin-
gle locality domain. Although I/O transfers are usually slow compared to memory
bandwidth, there are, e.g., high-speed network interconnects that feature multi-GB
bandwidths between compute nodes. If data arrives at the wrong locality domain,
written by an I/O driver that has positioned its buffer space disregarding any cc-
NUMA constraints, it should be copied to its optimal destination, reducing effective
bandwidth by a factor of four (three if RFOs can be avoided, see Sect 26.1.5.2.
In this case even the most expensive interconnect hardware is wasted. In truly scal-
able ccNUMA designs this problem is circumvented by distributing I/O connections
across the whole machine and using ccNUMA-aware drivers.
P1 P2
1. C1 requests exclusive CL ownership
C1 C2
2. Set CL in C2 to state I
3 7
3. CL has state E in C1 → modify A1 in C1
and set to state M
A1 A2 A1 A2
4. C2 requests exclusive CL ownership
1 5 2 4 6
5. Evict CL from C1 and set to state I
A1 A2 6. Load CL to C2 and set to state E
Memory
7. Modify A2 in C2 and set to state M in C2
Fig. 26.25. Two processors P1, P2 modify the two parts A1, A2 of the same cache line in
caches C1 and C2. The MESI coherence protocol ensures consistency between cache and
memory
26.2.4.3 Cache Coherence
Cache coherence mechanisms are required in all cache-based multiprocessor sys-

tems, UMA as well as ccNUMA. This is because potentially copies of the same
cache line could reside in several CPU caches. If, e.g., one of those gets modified
and evicted to memory, the other caches’ contents reflect outdated data. Cache co-
herence protocols ensure a consistent view of memory under all circumstances.
Figure 26.25 shows an example on two processors P1 and P2 with respective
caches C1 and C2. Each cache line holds two items. Two neighboring items A1 and
A2 in memory belong to the same cache line and are modified by P1 and P2, respec-
tively. Without cache coherence, each cache would read the line from memory, A1
would get modified in C1, A2 would get modified in C2 and some time later both
modified copies of the cache line would have to be evicted. As all memory traffic is
handled in chunks of cache line size, there is no way to determine the correct values
of A1 and A2 in memory.
Under control of cache coherence logic this discrepancy can be avoided. As an
example we pick the MESI protocol, which draws its name from the four possible
states a cache line can take:
M modified: The cache line has been modified in this cache, and it resides in no
other cache than this one. Only upon eviction will memory reflect the most cur-
rent state.
E exclusive: The cache line has been read from memory but not (yet) modified.
However, it resides in no other cache.
S shared: The cache line has been read from memory but not (yet) modified. There
may be other copies in other caches of the machine.
I invalid: The cache line does not reflect any sensible data. Under normal circum-
stances this happens if the cache line was in shared state and another processor
has requested exclusive ownership. A cache miss occurs if and only if the chosen
line is invalid.
The order of events is depicted in Fig. 26.25. The question arises how a cache line in
state M is notified when it should be evicted because another cache needs to read the
most current data. Similarly, cache lines in state S or E must be invalidated if another
cache requests exclusive ownership. In small systems a bus snoop is used to achieve
this: Whenever notification of other caches seems in order, the originating cache
broadcasts the corresponding cache line address through the system, and all caches
“snoop” the bus and react accordingly. While simple to implement, this method has
the crucial drawback that address broadcasts pollute the system buses and reduce
available bandwidth for useful memory accesses. A separate network for coherence
traffic can alleviate this effect but is not always practicable.
A better alternative, usually applied in larger ccNUMA machines, is a directory-
based protocol where bus logic like chip sets or memory interfaces keep track of the
location and state of each cache line in the system. This uses up some small part of
main memory (usually far less than 10 %), but the advantage is that state changes
of cache lines are transmitted only to those caches that actually require them. This
greatly reduces coherence traffic through the system. Today even workstation chip
sets implement snoop filters that serve the same purpose.
Coherence traffic can severely hurt application performance if the same cache
line is written to frequently by different processors (false sharing). In Sect. 27.2.1.2
we will give hints for avoiding false sharing in user code.
26.2.4.4 Short Introduction to Shared-Memory Programming with OpenMP
As mentioned before, programming shared-memory systems can be done in an en-

tirely distributed-memory fashion, i.e. the processes making up an MPI program
can run happily on a UMA or ccNUMA machine, not knowing that the underlying
hardware provides more efficient means of communication. In fact, even on large
constellation clusters (systems where the number of nodes is smaller than the num-
ber of processors per node), the dominant parallelization method is often MPI due
to its efficiency and flexibility. After all, an MPI code can run on shared- as well as
distributed-memory systems, and efficient MPI implementations transparently use
shared memory for communication if available.
However, MPI is not only the most flexible but also the most tedious way of
parallelization. Shared memory opens the possibility to have immediate access to
all data from all processors without explicit message passing. The established stan-
dard in this field is OpenMP [7]. OpenMP is a set of compiler directives that a
non-OpenMP-capable compiler would just regard as comments and ignore. Thus, a
well-written parallel OpenMP program is also a valid serial program (of course it
is possible to write OpenMP code that will not run sequentially, but this is not the
intention of the method). In contrast to MPI, the central entity in OpenMP is not a
process but a thread. Threads are also called lightweight processes because several
of them can share a common address space and mutually access data. Spawning a
thread is much less costly than forking a new process, because threads share ev-
erything but instruction pointer (the address of the next instruction to be executed),
stack pointer and register state. Each thread can, by means of its local stack pointer,
also have private variables, but as all data is accessible via the common address
space, it is only a matter of taking the address of an item to make it accessible to all
other threads as well: Thread-private data is for convenience, not for protection.
It is indeed possible to use operating system threads (POSIX threads) directly,
but this option is seldom used with numerical software. OpenMP is a layer that
adapts the raw OS thread interface to make it more usable with the typical loop
structures that numerical software tends to show. As an example, consider a paral-
lel version of a simple integration program (Listing 26.4). This is valid serial code,
but equipping it with the comment lines starting with the sequence !$OMP (called
a sentinel) and using an OpenMP-capable compiler makes it shared-memory paral-
lel. The PARALLEL directive instructs the compiler to start a parallel region (see
Fig. 26.26). A team of threads is spawned that executes identical copies of every-
thing up to END PARALLEL (the actual number of threads is unknown at compile
time as it is set by an environment variable). By default, all variables which were
present in the program before the parallel region are shared among all threads. How-
ever, that would include x and sum of which we later need private versions for each
thread. OpenMP provides a way to make existing variables private by means of the
PRIVATE clause. If, in the above example, any thread in a parallel region writes
to sum (see line 4), it will update its own private copy, leaving the other threads’
untouched. Therefore, before the loop starts each thread’s copy of sum is set to zero.
In order to share some amount of work between threads and actually reduce
wallclock time, work sharing directives can be applied. This is done in line 5 using
the DO directive with the optional SCHEDULE clause. The DO directive is always re-
lated to the immediately following loop (line 6) and generates code that distributes
Listing 26.4. A simple program for numerical integration of a function f (x) in OpenMP
1 pi=0.d0
2 w=1.d0/n
3 !$OMP PARALLEL PRIVATE(x,sum)
4 sum=0.d0
5 !$OMP DO SCHEDULE(STATIC)
6 do i=1,n
7 x=w*(i-0.5d0)
8 sum=sum+f(x)
9 enddo
10 !$OMP END DO
11 !$OMP CRITICAL
12 pi=pi+w*sum
13 !$OMP END CRITICAL
14 !$OMP END PARALLEL
master thread
fork
parallel
region
join
serial
region
team of
threads
Fig. 26.26. Model for OpenMP thread operations: The master thread forks a thread team that
work on shared memory in a parallel region. After the parallel region, the threads are joined
or put to sleep until the next parallel region starts
the loop iterations among the team of threads (please note that the loop counter
variable is automatically made private). How this is done is controlled by the argu-
ment of SCHEDULE. The simplest possibility is STATIC which divides the loop
in chunks of (roughly) equal size and executes each thread on a chunk. If for some
reason the amount of work per loop iteration is not constant but, e.g., decreases
with loop count, this strategy is suboptimal because different threads will get vastly
different workloads, which leads to load imbalance. One solution would be to use
a chunk size like in “STATIC,1” that dictates that chunks of size one should be
distributed across threads in a round-robin manner. There are alternatives to static
schedule for other types of workload (DYNAMIC, GUIDED).
The parallelized loop computes a partial sum in each thread’s private sum vari-
able. To get the final result, all the partial sums must be accumulated in the global
pi variable (line 12), but pi is shared so that uncontrolled updates would lead to
a race condition, i.e. the exact order and timing of operations will influence the re-
sult. In OpenMP, critical sections solve this problem by making sure that at most
one thread at a time executes some piece of code. In the example, the CRITICAL
and END CRITICAL directives bracket the update to pi so that a correct result
emerges at all times.
Critical sections hold the danger of deadlocks when used inappropriately. A
deadlock arises when one or more threads wait for resources that will never be-
come available, a situation that is easily generated with badly arranged CRITICAL
directives. When a thread encounters a CRITICAL directive inside a critical region,

it will block forever. OpenMP provides two solutions for this problem:
– A critical section may be given a name that distinguishes it from others. The
name is specified in parentheses after the CRITICAL directive:
!$OMP PARALLEL DO PRIVATE(x)
do i=1,N
x=sin(2*PI*x/N)
!$OMP CRITICAL (psum)
sum=sum+func(x)
!$OMP END CRITICAL (psum)
enddo
!$OMP END PARALLEL DO
...
SUBROUTINE func(v)
double precision v
!$OMP CRITICAL (prand)
v=v+random_func()
!$OMP END CRITICAL (prand)
END SUBROUTINE func
Without the names on the two different critical sections in this code would dead-
lock.
– There are OpenMP API functions (see below) that support the use of locks for
protecting shared resources. The advantage of locks is that they are ordinary
variables that can be arranged as arrays or in structures. That way it is possible
to protect each single element of an array of resources individually.
Whenever there are different shared resources in a program that must be protected
from concurrent access each for its own but are otherwise unconnected, named crit-
ical sections or OpenMP locks should be used both for correctness and performance
reasons.
In some cases it may be useful to write different code depending on OpenMP
being enabled or not. The directives themselves are no problem here because they
will be ignored gracefully. Conditional compilation however is supported by the
preprocessor symbol _OPENMP which is defined only if OpenMP is available and
(in Fortran) the special sentinel !$ that acts as a comment only if OpenMP is not
enabled (see Listing 26.5). Here we also see a part of OpenMP that is not concerned
with directives. The use omp_lib declaration loads the OpenMP API func-
tion prototypes (in C/C++, #include <omp.h> serves the same purpose). The
omp_get_thread_num() function determines the thread ID, a number between
zero and the number of threads minus one, while omp_get_num_threads()
returns the number of threads in the current team. So if the general disposition of
OpenMP towards loop-based code is not what the programmer wants, one can easily
switch to an MPI-like style where thread ID determines the tasks of each thread.
In above example the second API call (line 8) is located in a SINGLE region,
which means that it will be executed by exactly one thread, namely the one that
Listing 26.5. Fortran sentinels and conditional compilation with OpenMP

1 !$ use omp lib
2 myid=0
3 numthreads=1
4 #ifdef _OPENMP
5 !$OMP PARALLEL PRIVATE(myid)
6 myid = omp_get_thread_num()
7 !$OMP SINGLE
8 numthreads = omp_get_num_threads()
9 !$OMP END SINGLE
10 !$OMP CRITICAL
11 write(*,*) ’Parallel program - this is thread ’,myid,&
12 ’ of ’,numthreads
13 !$OMP END CRITICAL
14 !$OMP END PARALLEL
15 #else
16 write(*,*) ’Serial program’
17 #endif
reaches the SINGLE directive first. This is done because numthreads is global
and should be written to only by one thread. In the critical region each thread just
prints a message, but a necessary requirement for the numthreads variable to
have the updated value is that no thread leaves the SINGLE region before update
has been promoted to memory. The END SINGLE directive acts as an implicit bar-
rier, i.e. no thread can continue executing code before all threads have reached the
same point. The OpenMP memory model ensures that barriers enforce memory con-
sistency: Variables that have been held in registers are written out so that cache co-
herence can make sure that all caches get updated values. This can also be initiated
under program control via the FLUSH directive, but most OpenMP work-sharing
and synchronization constructs perform implicit barriers and hence flushes at the
end.
There is an important reason for serializing the write statements in line 10.
As a rule, I/O operations and general OS functionality, but also common library
functions should be serialized because they are usually not thread-safe, i.e. calling
them in parallel regions from different threads at the same time may lead to errors.
A prominent example is the rand() function from the C library as it uses a static
variable to store its hidden state (the seed). Although local variables in functions are
private to the calling thread, static data is shared by definition. This is also true for
Fortran variables with a SAVE attribute.
One should note that the OpenMP standard gives no hints as to how threads
are to be distributed among the processors, let alone observe locality constraints.
Usually the OS makes a good choice regarding placement of threads, but sometimes
(especially on multi-core architectures and ccNUMA systems) it makes sense to
Listing 26.6. C/C++ example with reduction clause for adding noise to the elements of an
array and calculating its vector norm. rand() is not thread-safe so it must be protected by a
critical region
1 double r,s;
2 #pragma omp parallel for private(r) reduction(+:s)
3 for(i=0; i<N; ++i) {
4 #pragma omp critical
5 {
6 r = rand(); // not thread-safe
7 }
8 a[i] += func(r/RAND_MAX); // func() is thread-safe
9 s = s + a[i] * a[i]; // calculate norm
10 }
use OS-level tools, compiler support or library functions to explicitly pin threads to
cores. See Sect. 27.2.3 for details.
So far, all OpenMP examples were concerned with the Fortran bindings. Of
course there is also a C/C++ interface that has the same functionality. The C/C++
sentinel is called #pragma omp, and the only way to do conditional compila-
tion is to use the _OPENMP symbol. Loop parallelization only works for canon-
ical for loops that have standard integer-type loop counters (i.e., no STL2 -style
iterator loops) and is done via #pragma omp for. All directives that act on
code regions apply to compound statements and an explicit ending directive is not
required.
The example in Listing 26.6 shows a C code that adds some random noise to
the elements of an array a[] and calculates its vector norm. As mentioned be-
fore, rand() is not thread-safe and must be protected with a critical region. The
function func(), however, is assumed to be thread-safe as it only uses automatic
(stack) variables and can thus be called safely from a parallel region (line 8). An-
other peculiarity in this example is the fusion of the parallel and for directives
to parallel for, which allows for more compact code. Finally, the reduction
operation is not performed using critical updates as in the integration example. In-
stead, an OpenMP reduction clause is used (end of line 2) that automatically
initializes the summation variable s with a sensible starting value, makes it private
and accumulates the partial results to it.
A word of caution is in order concerning thread-local variables. Usually the OS
shell restricts the maximum size of all stack variables of its processes. This limit
can often be adjusted by the user or the administrators. However, in a threaded pro-
gram there are as many stacks as there are threads, and the way the thread-local
stacks get their limit set is not standardized at all. Please consult OS and compiler
2
Standard template library
documentation as to how thread-local stacks are limited. Stack overflows are a fre-
quent source of problems with OpenMP programs.
Running an OpenMP program is as simple as starting the executable binary just
like in the serial case. The number of threads to be used is determined by an environ-
ment variable called OMP_NUM_TREADS. There may be other means to influence
the way the program is running, e.g. OS scheduling of threads, pinning, getting de-
bug output etc., but those are not standardized.
26.3 Conclusion and Outlook

We have presented architectural characteristics of current cache-based micropro-
cessors and the systems they are used in. The dominant parallel architectures (dis-
tributed and shared memory) have been outlined and their main programming
methodologies explained. We have deliberately focused on mainstream technology
because it is yet unclear whether any of the new approaches to computing currently
put forward by the HPC industry will prevail.
For processor manufacturers, the multi-core path is surely the way to go for
the next decade. Moore’s law will be valid for a long time, and in a few years we
will see tens or even hundreds of cores on a single die. The bandwidth bottlenecks
implied will require some new approaches to high-performance programming, other
than just putting all cores to use with plain OpenMP or MPI. This problem is under
intense discussion in the HPC community today.
As far as more radical approaches are concerned, there is a clear tendency to-
wards the use of building blocks for special-purpose computing. One might argue
that vector systems have concentrated on special-purpose computing for the last 30
years, but today the aim is different. Approaches like FPGAs (Field Programmable
Gate Arrays), computing with graphics hardware (GPUs) and new ideas like the
Cell processor with vector-like slave units currently show benefits only for very
narrow fields of applications. Some trends indicate a move to hybrid architectures,
turning away from homogeneous parallelism to a diversity of programming models
and specialized functionality in a single machine. How programming languages and
tools in such an environment should look like is, even with some systems already
in the planning stage, as yet largely unknown. Given the considerable inertia of the
scientific computing community when it comes to adopting new standards, MPI and
OpenMP can be expected to be around for a very long time, though.
References
1. Intel 64 and IA-32 Architectures Optimization Reference Manual (2006). URL http:
//developer.intel.com/design/processor/manuals/248966.pdf 683
2. Software Optimization Guide for AMD64 Processors (2005). URL http:
//www.amd.com/us-en/assets/content_type/white_papers_and_
tech_docs/25112.PDF 683
3. URL http://www.spec.org/ 686

4. G.E. Moore, Electronics 38(8) (1965) 686
5. URL http://www.top500.org 701
6. URL http://www.mpi-forum.org 709
7. URL http://www.openmp.org 723
27 Optimization Techniques for Modern High
Performance Computers
Georg Hager and Gerhard Wellein
Regionales Rechenzentrum Erlangen der Friedrich-Alexander-Universität

Erlangen-Nürnberg, 91058 Erlangen, Germany
The rapid development of faster and more capable processors and architectures has
often led to the false conclusion that the next generation of hardware will easily meet
the scientist’s requirements. This view is at fault for two reasons: First, utilizing the
full power of existing systems by proper parallelization and optimization strategies,
one can gain a competitive advantage without waiting for new hardware. Second,
computer industry has now reached a turning point where exponential growth of
compute power has ended and single-processor performance will stagnate at least
for the next couple of years. The advent of multi-core CPUs was triggered by this
development, making the need for more advanced, parallel, and well-optimized al-
gorithms imminent.
This chapter describes different ways to write efficient code on current super-
computer systems. In Sect. 27.1, simple common sense optimizations for scalar
code like strength reduction, correct layout of data structures and tabulation are
covered first. Many scientific programs are limited by the speed of the computer
system’s memory interface, so it is vital to avoid slow data paths or, if this is not
possible, at least use them efficiently. After some theoretical considerations on data
access and performance estimates based on code analysis and hardware character-
istics, techniques like loop transformations and cache blocking are explained using
examples from linear algebra (matrix-vector multiplication, matrix transpose). The
importance of interpreting compiler logs is emphasized. Along the discussion of per-
formance measurements for vanilla and optimized codes we introduce peculiarities
like cache thrashing and translation look-aside buffer misses, both potential show-
stoppers for compute performance. In a case study we apply the acquired knowl-
edge on sparse matrix-vector multiplication, a performance-determining operation
required for practically all sparse diagonalization algorithms.
Turning to shared-memory parallel programming in Sect. 27.2, we identify typ-
ical pitfalls (OpenMP loop overhead and false sharing) that can severely limit par-
allel scalability, and show some ways to circumvent them. The abundance of AMD
Opteron nodes in clusters has initiated the necessity for optimizing memory local-
ity. ccNUMA can lead to diverse bandwidth bottlenecks, and few compilers support
special features for ensuring memory locality. Programming techniques which can
alleviate ccNUMA effects are therefore described in detail using a parallelized
sparse matrix-vector multiplication as a nontrivial but instructive example.
G. Hager and G. Wellein: Optimization Techniques for Modern High Performance Computers, Lect. Notes Phys. 739,
731–767 (2008)
DOI 10.1007/978-3-540-74686-7 27
27.1 Optimizing Serial Code
In the age of multi-1000-processor parallel computers, writing code that runs ef-
ficiently on a single CPU has grown slightly old-fashioned in some circles. The
argument for this point of view is derived from the notion that it is easier to add
more CPUs and boasting massive parallelism instead of investing effort into serial
optimization.
Nevertheless there can be no doubt that single-processor optimizations are of
premier importance. If a speedup of two can be gained by some straightforward
common sense optimization as described in the following section, the user will be
satisfied with half the number of CPUs in the parallel case. In the face of Amdahl’s
law the benefit will usually be even larger. This frees resources for other users and
projects and puts the hardware that was often acquired for considerable amounts of
money to better use. If an existing parallel code is to be optimized for speed, it must
be the first goal to make the single-processor run as fast as possible.
27.1.1 Common Sense Optimizations
Often very simple changes to code can lead to a significant performance boost.
The most important common sense guidelines regarding the avoidance of perfor-
mance pitfalls are summarized in the following. Those may seem trivial, but ex-
perience shows that many scientific codes can be improved by the simplest of
measures.
27.1.1.1 Do Less Work!
In all but the rarest of cases, rearranging the code such that less work than before
is being done will improve performance. A very common example is a loop that
checks a number of objects to have a certain property, but all that matters in the end
is that any object has the property at all:
logical FLAG
FLAG = .false.
do i=1,N
if(complex_func(A(i)) < THRESHOLD) then
FLAG = .true.
endif
enddo
If complex_func() has no side effects, the only information that gets com-
municated to the outside of the loop is the value of FLAG. In this case, depending
on the probability for the conditional to be true, much computational effort can be
saved by leaving the loop as soon as FLAG changes state:
27 Optimization techniques in HPC 733
logical FLAG
FLAG = .false.
do i=1,N
if(complex_func(A(i)) < THRESHOLD) then
FLAG = .true.
exit
endif
enddo
27.1.1.2 Avoid Expensive Operations!
Sometimes, implementing an algorithm is done in a thoroughly one-to-one way,

translating formulae to code without any reference to performance issues. While
this is actually good (performance optimization always bears the slight danger of
changing numerics, if not results), in a second step all those operations should be
eliminated that can be substituted by cheaper alternatives. Prominent examples for
such strong operations are trigonometric functions or exponentiation. Bear in mind
that an expression like x**2.0 is often not optimized by the compiler to become
x*x but left as it stands, resulting in the evaluation of an exponential and a loga-
rithm. The corresponding optimization is called strength reduction. Apart from the
simple case described above, strong operations often appear with a limited set of
fixed arguments. This is an example from a simulation code for non-equilibrium
spin systems:
integer iL,iR,iU,iO,iS,iN,edelz
double precision tt
... ! load spin orientations
edelz=iL+iR+iU+iO+iS+iN ! loop kernel
BF= 0.5d0*(1.d0+tanh(edelz/tt))
The last two lines are executed in a loop that accounts for nearly the whole runtime
of the application. The integer variables store spin orientations (up or down, i.e.
−1 or +1, respectively), so the edelz variable only takes integer values in the
range {−6, . . . , +6}. The tanh() function is one of those operations that take
vast amounts of time (at least tens of cycles), even if implemented in hardware. In
the case described, however, it is easy to eliminate the tanh() call completely by
tabulating the function over the range of arguments required, assuming that tt does
not change its value so that the table does only have to be set up once:
double precision tanh_table(-6:6)
integer iL,iR,iU,iO,iS,iN, edelz
double precision, tt
...
do i=-6,6 ! do this once
tanh_table(i) = tanh(dble(i)/tt)
enddo
...
edelz=iL+iR+iU+iO+iS+iN ! loop kernel
BF= 0.5d0*(1.d0+tanh_table(edelz))
The table lookup is performed at virtually no cost compared to the tanh() evalu-
ation since the table will, due to its small size and frequent use, be available in L1
cache at access latencies of a few CPU cycles.
27.1.1.3 Shrink the Working Set!
The working set of a code is the amount of memory it uses (i.e. actually touches) in
the course of a calculation. In general, shrinking the working set by whatever means
is a good thing because it raises the probability for cache hits. If and how this can
be achieved and whether it pays off performance-wise depends heavily on the al-
gorithm and its implementation, of course. In the above example, the original code
used standard four-byte integers to store the spin orientations. The working set was
thus much larger than the L2 cache of any processor. By changing the array defini-
tions to use integer*1 for the spin variables, the working set could be reduced
by nearly a factor of four, and became comparable to cache size.
Many recent microprocessor designs have instruction set extensions for integer
and floating-point SIMD operations (see also Sect. 26.1.4) that allow the concur-
rent execution of arithmetic operations on a wide register that can hold, e.g., two
DP or four SP floating-point words. Although vector processors also use SIMD in-
structions and the use of SIMD in microprocessors is often coined vectorization,
it is more similar to the multi-track property of modern vector systems. Generally
speaking, a vectorizable loop in this context will run faster if more operations can be
performed with a single instruction, i.e. the size of the data type should be as small
as possible. Switching from DP to SP data could result in up to a twofold speedup,
with the additional benefit that more items fit into the cache.
Consider, however, that not all microprocessors can handle small types effi-
ciently. Using byte-size integers for instance could result in very ineffective code
that actually works on larger word sizes but extracts the byte-sized data by mask
and shift operations.
27.1.1.4 Eliminate Common Subexpressions!
Common subexpression elimination is an optimization that is often considered a

task for compilers. Basically one tries to save time by pre-calculating parts of com-
plex expressions and assigning them to temporary variables before a loop starts:
! inefficient tmp=s+r*sin(x)
do i=1,N do i=1,N
A(i)=A(i)+s+r*sin(x) −→ A(i)=A(i)+tmp
enddo enddo
A lot of compute time can be saved by this optimization, especially where strong
operations (like sin()) are involved. Although it may happen that subexpressions
are obstructed by other code and not easily recognizable, compilers are in princi-
ple able to detect this situation. They will however often refrain from pulling the
subexpression out of the loop except with very aggressive optimizations turned on.
The reason for this is the well-known non-associativity of FP operations: If floating-
point accuracy is to be maintained compared to non-optimized code, associativity
rules must not be used and it is left to the programmer to decide whether it is safe
to regroup expressions by hand.
27.1.1.5 Avoid Conditionals in Tight Loops!
Tight loops, i.e. loops that have few operations in them, are typical candidates for
software pipelining (see Sect. 26.1.3.1), loop unrolling and other optimization tech-
niques (see below). If for some reason compiler optimization fails or is inefficient,
performance will suffer. This can easily happen if the loop body contains conditional
branches:
do j=1,N
do i=1,N
if(i.ge.j) then
sign=1.d0
else if(i.lt.j) then
sign=-1.d0
else
sign=0.d0
endif
C(j) = C(j) + sign * A(i,j) * B(i)
enddo
enddo
In this multiplication of a matrix with a vector, the upper and lower triangular parts
get different signs and the diagonal is ignored. The if statement serves to decide
about which factor to use. Each time a corresponding conditional branch is encoun-
tered by the processor, some branch prediction logic tries to guess the most probable
outcome of the test before the result is actually available, based on statistical meth-
ods. The instructions along the chosen path are then fetched, decoded, and generally
fed into the pipeline. If the anticipation turns out to be false (this is called a mispre-
dicted branch or branch miss), the pipeline has to be flushed back to the position
of the branch, implying many lost cycles. Furthermore, the compiler refrains from
doing advanced optimizations like loop unrolling (see Sect. 27.1.3.2).
Fortunately the loop nest can be transformed so that all if statements vanish:
do j=1,N
do i=j+1,N
C(j) = C(j) + A(i,j) * B(i)
enddo
enddo
do j=1,N
do i=1,j-1
C(j) = C(j) - A(i,j) * B(i)
enddo
enddo
By using two different variants of the inner loop, the conditional has virtually been
moved outside. One should add that there is more optimization potential in this loop
nest. Please consider the section on data access below for more information.
27.1.1.6 Use Compiler Logs!
The previous sections have pointed out that the compiler is a crucial component
in writing efficient code. It is very easy to hide important information from the
compiler, forcing it to give up optimization at an early stage. In order to make the
decisions of the compiler’s intelligence available to the user, many compilers offer
options to generate annotated source code listings or at least logs that describe in
some detail what optimizations were performed. Listing 27.1 shows an example
for a compiler annotation regarding a standard vector triad loop as in listing 26.1.
Unfortunately, not all compilers have the ability to write such comprehensive code
annotations and users are often left with guesswork.
27.1.2 Data Access
Of all possible performance-limiting factors in HPC, the most important one is data
access. As explained earlier, microprocessors tend to be inherently unbalanced with
respect to the relation of theoretical peak performance versus memory bandwidth.
As many applications in science and engineering consist of loop-based code that
Listing 27.1. Compiler log for a software pipelined triad loop

#<swps> 16383 estimated iterations before pipelining
#<swps> 4 unrollings before pipelining
#<swps> 20 cycles per 4 iterations
#<swps> 8 flops ( 20% of peak) (madds count as 2)
#<swps> 4 flops ( 10% of peak) (madds count as 1)
#<swps> 4 madds ( 20% of peak)
#<swps> 16 mem refs ( 80% of peak)
#<swps> 5 integer ops ( 12% of peak)
#<swps> 25 instructions ( 31% of peak)
#<swps> 2 short trip threshold
#<swps> 13 integer registers used.
#<swps> 17 float registers used.
moves large amounts of data in and out of the CPU, on-chip resources tend to be
underutilized and performance is limited only by the relatively slow data paths to
memory or even disks. Any optimization attempt should therefore aim at reducing
traffic over slow data paths, or, should this turn out to be infeasible, at least make
data transfer as efficient as possible.
27.1.2.1 Balance and Lightspeed Estimates
Some programmers go to great lengths trying to improve the efficiency of code.

In order to decide whether this makes sense or if the program at hand is already
using the resources in the best possible way, one can often estimate the theoretical
performance of loop-based code that is bound by bandwidth limitations by simple
rules of thumb. The central concept to introduce here is balance. For example, the
machine balance Bm of a processor is the ratio of possible memory bandwidth in
GWords/sec to peak performance in GFlops/sec:
memory bandwidth [GWords/sec]
Bm = . (27.1)
peak performance [GFlops/sec]
Memory bandwidth could also be substituted by the bandwidth to caches or even
network bandwidths, although the metric is generally most useful for codes that are
really memory-bound. Access latency is assumed to be hidden by techniques like
prefetching and software pipelining. As an example, consider a processor with a
clock frequency of 3.2 GHz that can perform at most two flops per cycle and has
a memory bandwidth of 6.4 GBytes/sec. This processor would have a machine bal-
ance of 0.125 W/F. At the time of writing, typical values of Bm lie in the range
between 0.1 W/F for commodity microprocessors and 0.5 W/F for top of the line
vector computers. Due to the continuously growing DRAM gap and the advent of
multi-core designs, machine balance for standard architectures will presumably de-
crease further in the future. Table 27.1 shows typical balance values for several
possible transfer paths.
In order to quantify the requirements of some code that runs on a machine with
a certain balance, we further define the code balance of a loop to be
data traffic volume [Words]
Bc = . (27.2)
floating point operations [Flops]
Table 27.1. Typical balance values for operations limited by different transfer paths
data path balance
cache 0.5–1.0
machine (memory) 0.05–0.5
interconnect (high speed) 0.01–0.04
interconnect (GBit ethernet) 0.001–0.003
disk 0.001–0.02
Now it is obvious that the expected maximum fraction of peak performance one can
expect from a code with balance Bc on a machine with balance Bm is

Bm
l = min 1, . (27.3)
Bc
We call this fraction the lightspeed of a code. If l ≃ 1, loop performance is not

limited by bandwidth but other factors, either inside the CPU or elsewhere. Note
that this simple performance model is based on some crucial assumptions:
– The loop code makes use of all arithmetic units (multiplication and addition)
in an optimal way. If this is not the case, e.g., when only additions are used,
one must introduce a correction term that reflects the ratio of MULT to ADD
operations.
– Code is based on double precision floating-point arithmetic. In cases where this
is not true, one can easily derive similar, more appropriate metrics (e.g., words
per instruction).
– Data transfer and arithmetic overlap perfectly.
– The system is in throughput mode, i.e. latency effects are negligible.
We must emphasize that more advanced strategies for performance modeling do
exist and refer to the literature [1, 2].
As an example consider the standard vector triad benchmark introduced in
Sect. 26.1.5. The kernel loop,
do i=1,N
A(i) = B(i) + C(i) * D(i)
enddo
features two flops per iteration, for which three loads (to elements B(i), C(i), and
D(i)) and one store operation (to A(i)) provide the required input data. The code
balance is thus Bc = (3 + 1)/2 = 2. On a CPU with machine balance Bm = 0.1,
we can then expect a lightspeed ratio of 0.05, i.e. 5 % of peak.
Standard cache-based microprocessors usually feature an outermost cache level
with write-back strategy. As explained in Sect. 26.1.5, cache line read for ownership
(RFO) is then required to ensure cache-memory coherence if nontemporal stores
or cache line zero is not used. Under such conditions, the store stream to array A
must be counted twice in calculating the code balance, and we would end up with a
lightspeed estimate of lRFO = 0.04.
27.1.2.2 Storage Order of Multi-Dimensional Arrays
Multi-dimensional arrays, first and foremost matrices or matrix-like structures, are

omnipresent in scientific computing. Data access is a crucial topic here as the map-
ping between the inherently one-dimensional, cache line based memory layout of
standard computers and any multi-dimensional data structure must be matched to
the order in which code loads and stores data so that spatial and temporal locality can
be employed. In Sect. 26.1.5 it was shown that strided access to a one-dimensional

array reduces spatial locality, leading to low utilization of the available bandwidth.
When dealing with multi-dimensional arrays, those access patterns can be generated
quite naturally:
Stride-N access Stride-1 access
do i=1,N for(i=0; i<N; ++i) {

do j=1,N for(j=0; j<N; ++j) {
A(i,j) = i*j a[i][j] = i*j;
enddo }
enddo }
These Fortran and C codes perform exactly the same task, and the second array
index is the fast (inner loop) index both times, but the memory access patterns are
quite distinct. In the Fortran example, the memory address is incremented in steps
of N*sizeof(double), whereas in the C example the stride is optimal. This is
because Fortran follows the so-called column major order whereas C follows row
major order for multi-dimensional arrays (see Fig. 27.1). Although mathematically
insignificant, the distinction must be kept in mind when optimizing for data access.
27.1.2.3 Case Study: Dense Matrix Transpose
For the following example we assume column major order as implemented in For-
tran. Calculating the transpose of a dense matrix, A = B T , involves strided memory
access to A or B, depending on how the loops are ordered. The most unfavorable
way of doing the transpose is shown here:
[0][0] [0][1] [0][2] [0][3] [0][4]

0 1 2 3 4
(1,1) (1,2) (1,3) (1,4) (1,5)
0 5 10 15 20
[1][0] [1][1] [1][2] [1][3] [1][4]
5 6 7 8 9 (2,1) (2,2) (2,3) (2,4) (2,5)
1 6 11 16 21
[2][0] [2][1] [2][2] [2][3] [2][4]

(3,1) (3,2) (3,3) (3,4) (3,5)
10 11 12 13 14 2 7 12 17 22
[3][0] [3][1] [3][2] [3][3] [3][4] (4,1) (4,2) (4,3) (4,4) (4,5)
15 16 17 18 19 3 8 13 18 23
(5,1) (5,2) (5,3) (5,4) (5,5)

[4][0] [4][1] [4][2] [4][3] [4][4] 4 9 14 19 24
20 21 22 23 24
Fig. 27.1. Row major order (left) and column major order (right) storage schemes for matri-
ces. The small numbers indicate the offset of the element with respect to the starting address
of the array. Solid frames symbolize cache lines
do i=1,N
do j=1,N
A(i,j) = B(j,i)
enddo
enddo
Write access to matrix A is strided (see Fig. 27.2). Due to RFO transactions, strided
writes are more expensive than strided reads. Starting from this worst possible code
we can now try to derive expected performance features. As matrix transpose does
not perform any arithmetic, we will use effective bandwidth (i.e., GBytes/sec avail-
able to the application) to denote performance.
Let C be the cache size and Lc the cache line size, both in DP words. Depending
on the size of the matrices we can expect three primary performance regimes:
– In case the two matrices fit into a CPU cache (2N 2 C), we expect effective
bandwidths of the order of cache speeds. Spatial locality is of importance only
between different cache levels; optimization potential is limited.
– If the matrices are too large to fit into cache but still
N Lc C , (27.4)
the strided access to A is insignificant because all stores performed during a

complete traversal of a row that cause a write miss start a cache line RFO. Those
lines are most probably still in cache for the next Lc − 1 rows, alleviating the
effect of strided write (spatial locality). Effective bandwidth should be of the
order of the processor’s memory bandwidth.
– If N is even larger so that N Lc C, each store to A causes a cache miss and a
subsequent RFO. A sharp drop in performance is expected at this point as only
one out of Lc cache-line entries is actually used for the store stream and any
spatial locality is suddenly lost.
1 2 3 4 5 6 7
Fig. 27.2. Cache line traversal for vanilla matrix transpose (strided store stream, column
major order). If the leading matrix dimension is a multiple of the cache line size, each column
starts on a line boundary
1 2 3 4 5 6 7
Fig. 27.3. Cache line traversal for padded matrix transpose. Successive iterations hit different
cache lines
The vanilla graph in Fig. 27.4 shows that the assumptions described above are es-
sentially correct, although the strided write seems to be very unfavorable even when
the whole working set fits into cache. This is because the L1 cache on the considered
architecture is of write-through type, i.e. the L2 cache is always updated on a write,
regardless whether there was an L1 hit or miss. The RFO transactions between the
two caches hence waste the major part of available internal bandwidth.
In the second regime described above, performance stays roughly constant up to
a point where the fraction of cache used by the store stream for N cache lines be-
comes comparable to the L2 size. Effective bandwidth is around 1.8 GBytes/sec, a
15000 vanilla
flipped
N = 8192
flipped, unroll = 4
12500 flipped, block = 50, unroll = 4
Bandwidth [MBytes/sec]
N = 256
10000
400
7500
200
5000
0
6000 8000 10000
2500
0
100 1000 10000
N
Fig. 27.4. Performance (effective bandwidth) for different implementations of the dense ma-
trix transpose on a modern microprocessor with 1 MByte of L2 cache. The N = 256 and
N = 8192 lines indicate the positions where the matrices fit into cache and where N cache
lines fit into cache, respectively. (Intel Xeon/Nocona 3.2 Ghz)
mediocre value compared to the theoretical maximum of 5.3 GBytes/sec (delivered

by two-channel memory at 333 MTransfers/sec). On most commodity architectures
the theoretical bandwidth limits can not be reached with compiler-generated code,
but 50 % is usually attainable, so there must be a factor that further reduces avail-
able bandwidth. This factor is the translation look-aside buffer (TLB) that caches
the mapping between logical and physical memory pages. The TLB can be envi-
sioned as an additional cache level with cache lines the size of memory pages (the
page size is often 4 kB, sometimes 16 kB and even configurable on some systems).
On the architecture considered, it is only large enough to hold 64 entries, which
corresponds to 256 kBytes of memory at a 4 kB page size. This is smaller than the
whole L2 cache, so it must be expected that this cache level cannot be used with
optimal performance. Moreover, if N is larger than 512, i.e. if one matrix row ex-
ceeds the size of a page, every single access in the strided stream causes a TLB
miss. Even if the page tables reside in L2 cache, this penalty reduces effective band-
width significantly because every TLB miss leads to an additional access latency of
at least 57 processor cycles. At a core frequency of 3.2 GHz and a bus transfer rate
of 666 MWords/sec, this matches the time needed to transfer more than half a cache
line!
At N 8192, performance has finally arrived at the expected low level. The
machine under investigation has a theoretical memory bandwidth of 5.3 GBytes/sec
of which around 200 MBytes/sec actually “hit the floor”.
At a cache line length of 16 words (of which only one is used for the strided
store stream), three words per iteration are read or written in each loop iteration for
the in-cache case whereas 33 words are read or written for the worst case. We thus
expect a 1 : 11 performance ratio, roughly the value observed.
We must stress here that performance predictions based on architectural spec-
ifications do work in many, but not in all cases, especially on commodity systems
where factors like chip sets, memory chips, interrupts etc. are basically uncontrol-
lable. Sometimes only a qualitative understanding of the reasons for some peculiar
performance behavior can be developed, but this is often enough to derive the next
logical optimization steps.
The first and most simple optimization for dense matrix transpose would consist
in interchanging the order of the loop nest, i.e. pulling the i loop inside. This would
render the access to matrix B strided but eliminate the strided write for A, thus sav-
ing roughly half the bandwidth (5/11, to be exact) for very large N . The measured
performance gain (see the inset in Fig. 27.4, flipped graph), albeit very noticeable,
falls short of this expectation. One possible reason for this could be a slightly better
effectivity of the memory interface with strided writes.
In general, the performance graphs in Fig. 27.4 look quite erratic at some points.
At first sight it is unclear whether some N should lead to strong performance penal-
ties as compared to neighboring values. A closer look (vanilla graph in Fig. 27.5)
reveals that powers of two in array dimensions seem to be quite unfavorable (the
benchmark program allocates new matrices with appropriate dimensions for each
new N ). As mentioned in Sect. 26.1.5.2, strided memory access leads to thrashing
2000
1500
MBytes/sec
1000
500 vanilla
padded
0
1020 1024 1028 1032
N
Fig. 27.5. Cache thrashing for unfavorable choice of array dimensions (dashed). Padding
removes thrashing completely (solid)
when successive iterations hit the same (set of) cache line(s) because of insufficient
associativity. Fig. 27.2 shows clearly that this can easily happen with matrix trans-
pose if the leading dimension is a power of two. On a direct-mapped cache of size
C, every C/N -th iteration hits the same cache line. At a line length of Lc words,
the effective cache size is

C
Ceff = Lc max 1, . (27.5)
N
It is the number of cache words that are actually usable due to associativity con-
straints. On an m-way set-associative cache this number is merely multiplied by m.
Considering a real-world example with C = 217 (1 MByte), Lc = 16, m = 8 and
N = 1024 one arrives at Ceff = 211 DP words, i.e. 16 kBytes. So N Lc ≫ Ceff and
performance should be similar to the very large N limit described above, which is
roughly true.
A simple code modification, however, eliminates the thrashing effect: Assuming
that matrix A has dimensions 1024×1024, enlarging the leading dimension by p
(called padding) to get A(1024+p,1024) leads to a fundamentally different cache
use pattern. After Lc /p iterations, the address belongs to another set of m cache lines
and there is no associativity conflict if Cm/N > Lc /p (see Fig. 27.3). In Fig. 27.5
the striking effect of padding the leading dimension by p = 1 is shown with the
padded graph.
Generally speaking, one should by all means stay away from powers of two in
array dimensions. It is clear that different dimensions may require different paddings
to get optimal results, so sometimes a rule of thumb is applied: Try to make leading
array dimensions odd multiples of 16.
Further optimization approaches will be considered in the following sections.
27.1.3 Data Access Optimizations and Classification of Algorithms
The optimization potential of many loops on cache-based processors can easily be

estimated just by looking at basic parameters like the scaling behavior of data trans-
fers and arithmetic operations versus problem size. It can then be decided whether
investing optimization effort would make sense.
27.1.3.1 O(N )/O(N )
If both the number of arithmetic operations and the number of data transfers (load-
s/stores) are proportional to the problem size (or loop length) N , optimization po-
tential is usually very limited. Scalar products, vector additions and sparse matrix-
vector multiplication are examples for this kind of problems. They are inevitably
memory-bound for large N , and compiler-generated code achieves good perfor-
mance because O(N )/O(N ) loops tend to be quite simple and the correct soft-
ware pipelining strategy is obvious. Loop nests, however, are a different matter (see
below).
But even if loops are not nested there is sometimes room for improvement. As
an example, consider the following vector additions:
do i=1,N ! optimized
A(i) = B(i) + C(i) do i=1,N
enddo loop fusion A(i) = B(i) + C(i)
do i=1,N - ! save a load for B(i)
Z(i) = B(i) + E(i) Z(i) = B(i) + E(i)
enddo enddo
Each of the loops on the left has no options left for optimization. The code bal-
ance is 3/1 as there are two loads, one store and one addition per loop (not counting
RFOs). Array B, however, is loaded again in the second loop, which is unneces-
sary: Fusing the loops into one has the effect that each element of B only has to be
loaded once, reducing code balance to 5/2. All else being equal, performance in the
memory-bound case will improve by a factor of 6/5 (if RFO cannot be avoided, this
will be 8/7).
Loop fusion has achieved an O(N ) data reuse for the two-loop constellation so
that a complete load stream could be eliminated. In simple cases like the one above,
compilers can often apply this optimization by themselves.
27.1.3.2 O(N 2 )/O(N 2 )
In typical two-level loop nests where each loop has a trip count of N , there are
O(N 2 ) operations for O(N 2 ) loads and stores. Examples are dense matrix-vector
multiplication, matrix transpose, matrix addition etc., Although the situation on
the inner level is similar to the O(N )/O(N ) case and the problems are gener-
ally memory-bound, the nesting opens new opportunities. Optimization, however,
is again usually limited to a constant factor of improvement. Consider dense matrix-

vector multiplication (MVM):
do i=1,N
tmp = C(i)
do j=1,N
tmp = tmp + A(j,i) * B(j)
enddo
C(i) = tmp
enddo
This code has a balance of 1 (two loads for A and B and two flops). Array C is
indexed by the outer loop variable, so updates can go to a register (here clarified
through the use of the scalar tmp although compilers can do this transformation
automatically) and do not count as load or store streams. Matrix A is only loaded
once, but B is loaded N times, once for each outer loop iteration. One would like to
apply the same fusion trick as above, but there are not just two but N inner loops to
fuse. The solution is loop unrolling: The outer loop is traversed with a stride m and
the inner loop is replicated m times. Obviously, one has to deal with the situation
that the outer loop count might not be a multiple of m. This case has to be handled
by a remainder loop:
! remainder loop
do r=1,mod(N,m)
do j=1,N
C(r) = C(r) + A(j,r) * B(j)
enddo
enddo
! main loop
do i=r,N,m
do j=1,N
C(i) = C(i) + A(j,i) * B(j)
enddo
do j=1,N
C(i+1) = C(i+1) + A(j,i+1) * B(j)
enddo
! m times
...
do j=1,N
C(i+m-1) = C(i+m-1) + A(j,i+m-1) * B(j)
enddo
enddo
The remainder loop is obviously subject to the same optimization techniques as the
original loop, but otherwise unimportant. For this reason we will ignore remainder
loops in the following.
By just unrolling the outer loop we have not gained anything but a considerable
code bloat. However, loop fusion can now be applied easily:
! remainder loop ignored

do i=1,N,m
do j=1,N
C(i) = C(i) + A(j,i) * B(j)
C(i+1) = C(i+1) + A(j,i+1) * B(j)
! m times
...
C(i+m-1) = C(i+m-1) + A(j,i+m-1) * B(j)
enddo
enddo
The combination of outer loop unrolling and fusion is often called unroll and jam.
By m-way unroll and jam we have achieved an m-fold reuse of each element of
B from register so that code balance reduces to (m + 1)/(2m) which is clearly
smaller than one for m > 1. If m is very large, the performance gain can get close
to a factor of two. In this case array B is only loaded a few times or, ideally, just
once from memory. As A is always loaded exactly once and has size N 2 , the total
memory traffic with m-way unroll and jam amounts to N 2 (1 + 1/m) + N . Fig. 27.6
shows the memory access pattern for vanilla and 2-way unrolled dense MVM.
All this assumes, however, that register pressure is not too large, i.e. the CPU
has enough registers to hold all the required operands used inside the now quite
sizeable loop body. If this is not the case, the compiler must spill register data to
cache, slowing down the computation. Again, compiler logs can help identify such
a situation.
Unroll and jam can be carried out automatically by some compilers at high opti-
mization levels. Be aware though that a complex loop body may obscure important
information and manual optimization could be necessary, either – as shown above
– by hand-coding or compiler directives that specify high-level transformations like
unrolling. Directives, if available, are the preferred alternative as they are much eas-
ier to maintain and do not lead to visible code bloat. Regrettably, compiler directives
are inherently non-portable.
The matrix transpose code from the previous section is another example for
a problem of O(N 2 )/O(N 2 ) type, although in contrast to dense MVM there is
no direct opportunity for saving on memory traffic; both matrices have to be read
= + * = + *
Fig. 27.6. Vanilla (left) and 2-way unrolled (right) dense matrix vector multiplication. The
remainder loop is only a single (outer) iteration in this example
or written exactly once. Nevertheless, by using unroll and jam on the flipped
version a significant performance boost of nearly 50 % is observed (see dotted line
in Fig. 27.4):
do j=1,N,m
do i=1,N
A(i,j) = B(j,i)
A(i,j+1) = B(j+1,i)
...
A(i,j+m-1) = B(j+m-1,i)
enddo
enddo
Naively one would not expect any effect at m = 4 because the basic analysis stays
the same: In the mid-N region the number of available cache lines is large enough
to hold up to Lc columns of the store stream. The left picture in Fig. 27.7 shows the
situation for m = 2. However, the fact that m words in each of the load stream’s
cache lines are now accessed in direct succession reduces the TLB misses by a factor
of m, although the TLB is still way too small to map the whole working set.
Even so, cutting down on TLB misses does not remedy the performance break-
down for large N when the cache gets too small to hold N cache lines. It would
be nice to have a strategy which reuses the remaining Lc − m words of the strided
stream’s cache lines right away so that each line may be evicted soon and would not
have to be reclaimed later. A brute force method is Lc -way unrolling, but this ap-
proach leads to large-stride accesses in the store stream and is not a general solution
as large unrolling factors raise register pressure in loops with arithmetic operations.
Loop blocking can achieve optimal cache line use without additional register pres-
sure. It does not save load or store operations but increases the cache hit ratio. For
a loop nest of depth d, blocking introduces up to d additional outer loop levels that
cut the original inner loops into chunks:
do jj=1,N,b
jstart=jj; jend=jj+b-1
do ii=1,N,b
istart=ii; iend=ii+b-1
do j=jstart,jend,m
do i=istart,iend
a(i,j) = b(j,i)
a(i,j+1) = b(j+1,i)
...
a(i,j+m-1) = b(j+m-1,i)
enddo
enddo
enddo
enddo
In this example we have used 2D blocking with identical blocking factors b for
both loops in addition to m-way unroll and jam. Obviously, this change does not
Fig. 27.7. Two-way unrolled (left) and blocked/unrolled (right) flipped matrix transpose, i.e.
with strided load
alter the loop body so the number of registers needed to hold operands stays the
same. However, the cache line access characteristics are much improved (see the
right picture in Fig. 27.7 which shows a combination of two-way unrolling and 4×4
blocking). If the blocking factors are chosen appropriately, the cache lines of the
strided stream will have been used completely at the end of a block and can be
evicted soon. Hence we expect the large-N performance breakdown to disappear.
The dotted-dashed graph in Fig. 27.4 demonstrates that 50 × 50 blocking combined
with 4-way unrolling alleviates all memory access problems induced by the strided
stream.
Loop blocking is a very general and powerful optimization that can often not be
performed by compilers. The correct blocking factor to use should be determined
experimentally through careful benchmarking, but one may be guided by typical
cache sizes, i.e. when blocking for L1 cache the aggregated working set size of
all blocked inner loop nests should not be much larger than half the cache. Which
cache level to block for depends on the operations performed and there is no general
recommendation.
27.1.3.3 O(N 3 )/O(N 2 )
If the number of operations is larger than the number of data items by a factor that
grows with problem size, we are in the very fortunate situation to have tremendous
optimization potential. By the techniques described above (unroll and jam, loop
blocking) it is usually possible for these kinds of problems to render the imple-
mentation cache-bound. Examples for algorithms that show O(N 3 )/O(N 2 ) char-
acteristics are dense matrix-matrix multiplication (MMM) and dense matrix diago-
nalization. It is beyond the scope of this contribution to develop a well-optimized
MMM, let alone eigenvalue calculation, but we can demonstrate the basic principle
by means of a simpler example which is actually of the O(N 2 )/O(N ) type:
do i=1,N
do j=1,N
sum = sum + foo(A(i),B(j))
enddo
enddo
The complete data set is O(N ) here but O(N 2 ) operations (calls to foo(), addi-
tions) are performed on it. In the form shown above, array B is loaded from memory
N times, so the total memory traffic amounts to N (N + 1) words. m-way unroll
and jam is possible and will immediately reduce this to N (N/m + 1), but the dis-
advantages of large unroll factors have been pointed out already. Blocking the inner
loop with a block size of b, however,
do jj=1,N,b
jstart=jj; jend=jj+b-1
do i=1,N
do j=jstart,jend
sum = sum + foo(A(i),B(j))
enddo
enddo
enddo
has two effects:

– Array B is now loaded only once from memory, provided that b is small enough
so that b elements fit into cache and stay there as long as they are needed.
– Array A is loaded from memory N/b times instead of once.
Although A is streamed through cache N/b times, the probability that the current
block of B will be evicted is quite low, the reason being that those cache lines are
used very frequently and thus kept by the LRU replacement algorithm. This leads
to an effective memory traffic of N (N/b + 1) words. As b can be made much larger
than typical unrolling factors, blocking is the best optimization strategy here. Un-
roll and jam can still be applied to enhance in-cache code balance. The basic N 2
dependence is still there, but with a prefactor that can make the difference between
memory-bound and cache-bound behavior. A code is cache-bound if main mem-
ory bandwidth and latency are not the limiting factors for performance any more.
Whether this goal is achievable on a certain architecture depends on the cache size,
cache and memory speeds, and the algorithm, of course.
Algorithms of the O(N 3 )/O(N 2 ) type are typical candidates for optimizations
that can potentially lead to performance numbers close to the theoretical maximum.
If blocking and unrolling factors are chosen appropriately, dense MMM, e.g., is an
operation that usually achieves over 90 % of peak for N × N matrices if N is not
too small. It is provided in highly optimized versions by system vendors as, e.g.,
contained in the BLAS (Basic Linear Algebra Subsystem) library. One might ask
why unrolling should be applied at all when blocking already achieves the most im-
portant task of making the code cache-bound. The reason is that even if all the data
resides in cache, many processor architectures do not have the capability for sus-
taining enough loads and stores per cycle to feed the arithmetic units continuously.
The once widely used but now outdated MIPS R1X000 family of processors for in-
stance could only sustain one load or store operation per cycle, which makes unroll
and jam mandatory if the kernel of a loop nest uses more than one stream, especially
in cache-bound situations like the blocked O(N 2 )/O(N ) example above.
Although demonstrated here for educational purpose, there is no need to hand-

code and optimize standard linear algebra and matrix operations. They should al-
ways be used from optimized libraries, if available. Nevertheless the techniques
described can be applied in many real-world codes. An interesting example with
some complications is sparse MVM (see next section).
27.1.4 Case Study: Sparse Matrix-Vector Multiplication
An interesting real-world application of the blocking and unrolling strategies dis-

cussed in the previous sections is the multiplication of a sparse matrix with a vector.
It is a key ingredient in most iterative matrix diagonalization algorithms (Lanczos,
Davidson, Jacobi-Davidson; see Chap. 18) and usually a performance-limiting fac-
tor. A matrix is called sparse if the number of non-zero entries Nnz grows linearly
with the number of matrix rows Nr . Of course, only the non-zeroes are stored at all
for efficiency reasons. Sparse MVM (sMVM) is hence an O(Nr )/O(Nr ) problem
and inherently memory-bound if Nr is reasonably large. Nevertheless, the presence
of loop nests enables some significant optimization potential. Fig. 27.8 shows that
sMVM generally requires some strided or even indirect addressing of the r.h.s. vec-
tor, although there exist matrices for which memory access patterns are much more
favorable. In the following we will keep at the general case.
27.1.4.1 Sparse Matrix Storage Schemes
Several different storage schemes for sparse matrices have been developed, some of
which are suitable only for special kinds of matrices [3]. Of course, memory access
patterns and thus performance characteristics of sMVM depend heavily on the stor-
age scheme used. The two most important and also general formats are CRS (Com-
pressed Row Storage) and JDS (Jagged Diagonals Storage). We will see that CRS
is well-suited for cache-based microprocessors while JDS supports dependency and
loop structures that are favorable on vector systems.
= + *
Fig. 27.8. Sparse matrix-vector multiplication. Dark elements visualize entries involved in
updating a single l.h.s. element. Unless the sparse matrix rows have no gaps between the first
and last non-zero elements, some indirect addressing of the r.h.s. vector is inevitable
In CRS, an array val of length Nnz is used to store all non-zeroes of the matrix,
row by row, without any gaps, so some information about which element of val
originally belonged to which row and column must be supplied. This is done by
two additional integer arrays, col_idx of length Nnz and row_ptr of length Nr .
col_idx stores the column index of each non-zero element in val, and row_ptr
contains the indices at which new rows start in val (see Fig. 27.9). The basic code
to perform a MVM using this format is quite simple:
do i = 1,Nr
do j = row_ptr(i), row_ptr(i+1) - 1
c(i) = c(i) + val(j) * b(col_idx(j))
enddo
enddo
The following points should be noted:

– There is a long outer loop (length Nr ).
– The inner loop may be short compared to typical microprocessor pipeline
lengths.
– Access to result vector c is well optimized: It is only loaded once from memory.
– The non-zeroes in val are accessed with stride one.
– As expected, the r.h.s. vector b is accessed indirectly. This may however not be
a serious performance problem depending on the exact structure of the matrix.
If the non-zeroes are concentrated mainly around the diagonal, there will even
be considerable spatial and/or temporal locality.
– Bc = 5/4 if the integer load to col_idx is counted with four bytes.
Some of those points will be of importance later when we demonstrate parallel
sMVM (see Sect. 27.2.2).
JDS requires some rearrangement of the matrix entries beyond simple zero elim-
ination. First, all zeroes are eliminated from the matrix rows and the non-zeroes are
shifted to the left. Then the matrix rows are sorted by descending number of non-
zeroes so that the longest row is at the top and the shortest row is at the bottom.
The permutation map generated during the sorting stage is stored in array perm of
length Nr . Finally, the now established columns are stored in array val consecu-
tively. These columns are also called jagged diagonals as they traverse the original
1 2 3 4 5
1 −4 2 −4 2 2 8 8 −5 10 −5 10 −6 val
2 2 8
3 8 −5 10 1 2 1 3 2 4 5 3 3 5 col_idx
4 −5
5 10 −6 1 3 5 8 9 row_ptr
Fig. 27.9. CRS sparse matrix storage format

sparse matrix from left top to right bottom (see Fig. 27.10). For each non-zero the
original column index is stored in col_idx just like in the CRS. In order to have
the same element order on the r.h.s. and l.h.s. vectors, the col_idx array is sub-
ject to the above-mentioned permutation as well. Array jd_ptr holds the start
indices of the Nj jagged diagonals. A standard code for sMVM in JDS format is
only slightly more complex than with CRS:
do diag=1, Nj
diagLen = jd_ptr(diag+1) - jd_ptr(diag)
offset = jd_ptr(diag)
do i=1, diagLen
c(i) = c(i) + val(offset+i) * b(col_idx(offset+i))
enddo
enddo
The perm array storing the permutation map is not required here; usually, all sMVM
operations are done in permuted space. These are the notable properties of this loop:
– There is a long inner loop without dependencies, which makes JDS a much
better storage format for vector processors than CRS.
– The outer loop is short (number of jagged diagonals).
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
1 −4 2 1 −4 2 1 8 −5 10
2 2 8 2 2 8 2 −4 2
3 8 −5 10 3 8 −5 10 3 2 8
4 −5 4 −5 4 10 −6
5 10 −6 5 10 −6 5 −5
8 −4 2 10 −5 −5 2 8 −6 10 val
original
2 1 1 3 3 4 2 3 5 5
col index
perm 2 3 1 5 4
3 2 2 1 1 5 3 1 4 4 col_idx
1 6 10 jd_ptr
Fig. 27.10. JDS sparse matrix storage format. The permutation map is also applied to the
column index array. One of the jagged diagonals is marked
– The result vector is loaded multiple times (at least partially) from memory, so
there might be some optimization potential.
– The non-zeroes in val are accessed with stride one.
– The r.h.s. vector is accessed indirectly, just as with CRS. The same comments
as above do apply, although a favorable matrix layout would feature straight
diagonals, not compact rows. As an additional complication the matrix rows as
well as the r.h.s. vector are permuted.
– Bc = 9/4 if the integer load to col_idx is counted with four bytes.
The code balance numbers of CRS and JDS sMVM seem to be quite in favor of
CRS.
27.1.4.2 Optimizing JDS Sparse MVM

Unroll and jam should be applied to the JDS sMVM, but it usually requires the
length of the inner loop to be independent of the outer loop index. Unfortunately, the
jagged diagonals are generally not all of the same length, violating this condition.
However, an optimization technique called loop peeling can be employed which, for
m-way unrolling, cuts rectangular m × x chunks and leaves m − 1 partial diagonals
over for separate treatment (see Fig. 27.11; the remainder loop is omitted as usual):
do diag=1,Nj ,2 ! 2-way unroll & jam

diagLen = min( (jd_ptr(diag+1)-jd_ptr(diag)) ,\
(jd_ptr(diag+2)-jd_ptr(diag+1)) )
offset1 = jd_ptr(diag)
offset2 = jd_ptr(diag+1)
do i=1, diagLen
c(i) = c(i)+val(offset1+i)*b(col_idx(offset1+i))
enddo
! peeled-off iterations
offset1 = jd_ptr(diag)
do i=(diagLen+1),(jd_ptr(diag+1)-jd_ptr(diag))
enddo
enddo
Assuming that the peeled-off iterations account for a negligible contribution to CPU
time, m-way unroll and jam reduces code balance to
1 5
Bc = + .
m 4
If m is large enough, this can get close to the CRS balance. However, as explained
before large m leads to strong register pressure and is not always desirable. Gener-
ally, a sensible combination of unrolling and blocking is employed to reduce mem-
ory traffic and enhance in-cache performance at the same time. Blocking is indeed
possible for JDS sMVM as well (see Fig. 27.12):
Fig. 27.11. JDS matrix traversal with 2-way unroll and jam and loop peeling. The peeled
iterations are marked
! loop over blocks

do ib=1, Nr , bl
block_start = ib
block_end = min(ib+bl-1, Nr )
! loop over diagonals in one block
do diag=1, Nj
diagLen = jd_ptr(diag+1)-jd_ptr(diag)
if(diagLen .ge. block_start) then
! standard JDS sMVM kernel
do i=block_start, min(block_end,diagLen)
c(i) = c(i)+val(offset+i)*b(col_idx(offset+i))
enddo
endif
enddo
enddo
Fig. 27.12. JDS matrix traversal with 4-way loop blocking

450
AMD Opteron
400 Intel Itanium2 (SGI Altix)
Intel Xeon/Core
350
MFlops/sec 300
250
200
150
100
50
0
CRS JDS JDS JDS
vanilla unroll = 2 block = 400
Fig. 27.13. Performance comparison of sparse MVM codes with different optimizations. A
matrix with 1.7 × 107 unknowns and 20 jagged diagonals was chosen. The blocking size of
400 has proven to be optimal for a wide range of architectures
With this optimization the result vector is effectively loaded only once from memory
if the block size bl is not too large. The code should thus get similar performance as
the CRS version, although code balance has not been changed. As anticipated above
with dense matrix transpose, blocking does not optimize for register reuse but for
cache utilization.
Fig. 27.13 shows a performance comparison of CRS and plain, 2-way unrolled
and blocked (b = 400) JDS sMVM on three different architectures. The CRS vari-
ant seems to be preferable for standard AMD and Intel microprocessors, which is
not surprising because it features the lowest code balance right away without any
subsequent manual optimizations and the short inner loop length is less unfavorable
on CPUs with out-of-order capabilities. The Intel Itanium2 processor with its EPIC
architecture, however, shows mediocre performance for CRS and tops at the blocked
JDS version. This architecture can not cope very well with the short loops of CRS
due to the absence of out-of-order processing and the compiler, despite detecting all
instruction-level parallelism on the inner loop level, not being able to overlap the
wind-down of one row with the wind-up phase of the next.
27.2 Shared-Memory Parallelization

OpenMP seems to be the easiest way to write parallel programs as it features a
simple, directive-based interface and incremental parallelization, meaning that the
loops of a program can be tackled one by one without major code restructuring. It
turns out, however, that getting a truly scalable OpenMP program is a significant
undertaking in all but the most trivial cases. This section pinpoints some of the
performance problems that can arise with shared-memory programming and how
they can be circumvented. We then turn to the OpenMP parallelization of the sparse
MVM code that has been demonstrated in the previous sections.
27.2.1 Performance Pitfalls
Like any other parallelization method, OpenMP is prone to the standard problems
of parallel programming: Serial fraction (Amdahl’s law) and load imbalance, both
introduced in Sect. 26.2.
An overabundance of serial code can easily arise when critical sections become
out of hand. If all but one threads continuously wait for a critical section to become
available, the program is effectively serialized. This can be circumvented by em-
ploying finer control on shared resources using named critical sections or OpenMP
locks. Sometimes it may even be useful to supply thread-local copies of otherwise
shared data that may be pulled together by a reduction operation at the end of a par-
allel region. The load imbalance problem can often be solved by choosing a different
OpenMP scheduling strategy (see Sect. 26.2.4.4).
There are, however, very specific performance problems that are inherently con-
nected to shared-memory programming in general and OpenMP in particular.
27.2.1.1 OpenMP Overhead
Whenever a parallel region is started or stopped or a parallel loop is initiated or

ended, there is some non-negligible overhead involved. Threads must be spawned
or at least woken up from an idle state, the size of the work packages (chunks) for
each thread must be determined, and in the case of dynamic or guided scheduling
schemes each thread that becomes available must be supplied with a new chunk to
work on. Generally, the overhead caused by the start of a parallel region consists of
a (large) constant part and a part that is proportional to the number of threads. There
are vast differences from system to system as to how large this overhead can be,
but it is generally of the order of at least hundreds if not thousands of CPU cycles.
If the programmer follows some simple guidelines, the adverse effects of OpenMP
overhead can be much reduced:
– Avoid parallelizing short, tight loops. If the loop body does not contain much
work, i.e. if each iteration executes in a very short time, OpenMP loop overhead
will lead to very bad performance. It is often beneficial to execute a serial version
if the loop count is below some threshold. The OpenMP IF clause helps with
this:
!$OMP PARALLEL DO IF(N>10000)
do i=1,N
A(i) = B(i) + C(i) * D(i)
enddo
Fig. 27.14 shows a comparison of vector triad data in the purely serial case
and with one and four OpenMP threads, respectively. The presence of OpenMP
causes overhead at small N even if only a single thread is used. Using the IF
clause leads to an optimal combination of threaded and serial loop versions if
serial version
OMP_NUM_THREADS = 1
1500 OMP_NUM_THREADS = 4
OMP_NUM_THREADS = 4, if clause
MFlops/sec
1000
500
0
102 103 104 105 106
N
Fig. 27.14. OpenMP overhead and the benefits of the IF(N>10000) clause for the vector
triad benchmark. Note the impact of aggregate cache size on the position of the performance
breakdown from L2 to memory. (AMD Opteron 2.0 GHz)
the threshold is chosen appropriately, and is hence mandatory when large loop
lengths cannot be guaranteed.
As a side-note, there is another harmful effect of short loop lengths: If the num-
ber of iterations is comparable to the number of threads, load imbalance may
cause bad scalability.
– In loop nests, parallelize on a level as far out as possible. This is inherently con-
nected to the previous advice. Parallelizing inner loop levels leads to increased
OpenMP overhead because a team of threads is spawned or woken up multiple
times.
– Be aware that most OpenMP work-sharing constructs (including OMP DO and
END DO) insert automatic barriers at the end so that all threads have completed
their share of work before anything after the construct is executed. In cases
where this is not required, a NOWAIT clause removes the implicit barrier:
!$OMP PARALLEL
!$OMP DO
do i=1,N
A(i) = func1(B(i))
enddo
!$OMP END DO NOWAIT
! still in parallel region here. do more work:
!$OMP CRITICAL
CNT = CNT + 1
!$OMP END CRITICAL
!$OMP END PARALLEL
There is also an implicit barrier at the end of a parallel region that cannot be re-
moved. In general, implicit barriers add to synchronization overhead like critical
regions, but they are often required to protect from race conditions.
27.2.1.2 False Sharing
The hardware-based cache coherence mechanisms described in Sect. 26.2.4 make

the use of caches in a shared-memory system transparent to the programmer. In
some cases, however, cache coherence traffic can throttle performance to very low
levels. This happens if the same cache line is modified continuously by a group
of threads so that the cache coherence logic is forced to evict and reload it in rapid
succession. As an example, consider a program fragment that calculates a histogram
over the values in some large integer array A that are all in the range {1, . . . , 8}:
integer, dimension(8) :: S
integer IND
S = 0
do i=1,N
IND = A(i)
S(IND) = S(IND) + 1
enddo
In a straightforward parallelization attempt one would probably go about and

make S two-dimensional, reserving space for the local histogram of each thread:
integer, dimension(:,:), allocatable :: S

integer IND,ID,NT
!$OMP PARALLEL PRIVATE(ID,IND)
!$OMP SINGLE
NT = omp_get_num_threads()
allocate(S(0:NT,8))
S = 0
!$OMP END SINGLE
ID = omp_get_thread_num() + 1
!$OMP DO
do i=1,N
IND = A(i)
S(ID,IND) = S(ID,IND) + 1
enddo
!$OMP END DO NOWAIT
! calculate complete histogram
!$OMP CRITICAL
do j=1,8
S(0,j) = S(0,j) + S(ID,j)
enddo
!$OMP END CRITICAL
!$OMP END PARALLEL
The loop starting at line 18 collects the partial results of all threads. Although this
is a valid OpenMP program, it will not run faster but much more slowly when using
four threads instead of one. The reason is that the two-dimensional array S contains
all the histogram data from all threads. With four threads these are 160 bytes, less
than two cache lines on most processors. On each histogram update to S in line 10,
the writing CPU must gain exclusive ownership of one of the two cache lines, i.e.
every write leads to a cache miss and subsequent coherence traffic. Compared to
the situation in the serial case where S fits into the cache of a single CPU, this will
result in disastrous performance.
One should add that false sharing can be eliminated in simple cases by the stan-
dard register optimizations of the compiler. If the crucial update operation can be
performed to a register whose contents are only written out at the end of the loop, no
write misses turn up. This is not possible in the above example, however, because
of the computed second index to S in line 10.
Getting rid of false sharing by manual optimization is often a simple task once
the problem has been identified. A standard technique is array padding, i.e. insertion
of a suitable amount of space between memory locations that get updated by differ-
ent threads. In the histogram example above, an even more painless solution exists
in the form of data privatization: On entry to the parallel region, each thread gets
its own local copy of the histogram array in its own stack space. It is very unlikely
that those different instances will occupy the same cache line, so false sharing is
not a problem. Moreover, the code is simplified and made equivalent with the serial
version by using the REDUCTION clause introduced in Sect. 26.2.4.4:
integer, dimension(8) :: S
integer IND
S=0
!$OMP PARALLEL DO PRIVATE(IND) REDUCTION(+:S)
do i=1,N
IND = A(i)
S(IND) = S(IND) + 1
enddo
!$OMP EMD PARALLEL DO
Setting S to zero is only required for serial equivalence as the reduction clause au-
tomatically initializes the variables in question with appropriate starting values. We
must add that OpenMP reduction to arrays in Fortran does not work for allocatable,
pointer or assumed size types.
27.2.2 Case Study: Parallel Sparse Matrix-Vector Multiplication
As an interesting application of OpenMP to a nontrivial problem we now extend the

considerations on sparse MVM data layout and optimization by parallelizing the
CRS and JDS matrix-vector multiplication codes from Sect. 27.1.4.
No matter which of the two storage formats is chosen, the general paralleliza-
tion approach is always the same: In both cases there is a parallelizable loop that
calculates successive elements (or blocks of elements) of the result vector (see
Fig. 27.15). For the CRS matrix format, this principle can be applied in a straight-
forward manner:
!$OMP PARALLEL DO PRIVATE(j)1
do i = 1,Nr
do j = row_ptr(i), row_ptr(i+1) - 1
c(i) = c(i) + val(j) * b(col_idx(j))
enddo
enddo
Due to the long outer loop, OpenMP overhead is usually not a problem here. De-
pending on the concrete form of the matrix, however, some loop imbalance might
occur if very short or very long matrix rows are clustered at some regions. A differ-
ent kind of OpenMP scheduling strategy like DYNAMIC or GUIDED might help in
this situation.
The vanilla JDS sMVM is also parallelized easily:
!$OMP PARALLEL PRIVATE(diag,diagLen,offset)
do diag=1, Nj
diagLen = jd_ptr(diag+1) - jd_ptr(diag)
!$OMP DO
do i=1, diagLen
c(i) = c(i) + val(offset+i) * b(col_idx(offset+i))
enddo
!$OMP END DO
enddo
T0
T1
T2 = + *
T3
T4
Fig. 27.15. Parallelization approach for sparse MVM (five threads). All marked elements
are handled in a single iteration of the parallelized loop. The r.h.s. vector is accessed by all
threads
1
The privatization of inner loop indices in the lexical extent of a parallel outer loop is not
required in Fortran, but it is in C/C++ [4].
!$OMP END PARALLEL
The parallel loop is the inner loop in this case, but there is no OpenMP overhead
problem as the loop count is large. Moreover, in contrast to the parallel CRS version,
there is no load imbalance because all inner loop iterations contain the same amount
of work. All this would look like an ideal situation were it not for the bad code
balance of vanilla JDS sMVM. However, the unrolled and blocked versions can be
equally well parallelized. For the blocked code (see Fig. 27.12), the outer loop over
all blocks is a natural candidate:
!$OMP DO PARALLEL DO PRIVATE(block_start,block_end,i,diag,
!$OMP& diagLen,offset)
do ib=1,Nr ,b
block_start = ib
block_end = min(ib+b-1,Nr )
do diag=1,Nj
diagLen = jd_ptr(diag+1)-jd_ptr(diag)
if(diagLen .ge. block_start) then
do i=block_start, min(block_end,diagLen)
c(i) = c(i)+val(offset+i)*b(col_idx(offset+i))
enddo
endif
enddo
enddo
This version has even got less OpenMP overhead because the DO directive is on the
outermost loop. Unfortunately, there is more potential for load imbalance because
of the matrix rows being sorted for size. But as the dependence of workload on loop
index is roughly predictable, a static schedule with a chunk size of one can remedy
most of this effect.
Fig. 27.16 shows performance and scaling behavior of the parallel CRS and
blocked JDS versions on three different architectures. In all cases, the code was run
on as few locality domains or sockets as possible, i.e. first filling one locality domain
or socket before going to the next. On the ccNUMA systems (Altix and Opterons,
equivalent to the block diagrams in Figs. 26.23 and 26.24), the performance charac-
teristics with growing CPU number is obviously fundamentally different from the
UMA system (Xeon/Core node like in Fig. 26.22). Both code versions seem to be
extremely unsuitable for ccNUMA. Only the UMA node shows the expected be-
havior of strong bandwidth saturation at 2 threads and significant speedup when the
second socket gets used (additional bandwidth due to second FSB).
The reason for the failure of ccNUMA to deliver the expected bandwidth lies in
our ignorance of a necessary prerequisite for scalability that we have not honored
yet: Correct data and thread placement for access locality.
800
700
600
500
MFlops/sec
400
300 CRS - Intel Xeon/Core

bJDS - Intel Xeon/Core
CRS - SGI Altix
200 bJDS - SGI Altix
CRS - AMD Opteron
100 bJDS - AMD Opteron
0
1 2 4 6 8
# Threads
Fig. 27.16. Performance and strong scaling for straightforward OpenMP parallelization of
sparse MVM on three different architectures, comparing CRS (open symbols) and blocked
JDS (closed symbols) variants. The Intel Xeon/Core system (dashed) is of UMA type, the
other two systems are ccNUMA
27.2.3 Locality of Access on ccNUMA
It was mentioned already in the section on ccNUMA architecture that locality and
congestion problems (see Figs. 27.17 and 27.18) tend to turn up when thread-
s/processes and their data are not carefully placed across the locality domains of
a ccNUMA system. Unfortunately, the current OpenMP standard does not refer to
placement at all and it is up to the programmer to use the tools that system builders
provide.
The placement problem has two dimensions: First, one has to make sure that
memory gets mapped into the locality domains of processors that actually access
them. This minimizes NUMA traffic across the network. Second, threads or pro-
cesses must be “pinned” to those CPUs which had originally mapped their memory
regions in order not to lose locality of access. In this context, mapping means that
a page table entry is set up which describes the association of a physical with a vir-
P P P P
C C C C
C C C C
Memory Memory
Fig. 27.17. Locality problem on a ccNUMA system. Memory pages got mapped into a local-
ity domain that is not connected to the accessing processor, leading to NUMA traffic
P P P P
C C C C
C C C C
Memory Memory
Fig. 27.18. Congestion problem on a ccNUMA system. Even if the network is very fast, a
single locality domain can usually not saturate the bandwidth demands from concurrent local
and non-local accesses
tual memory page. Consequently, locality of access in ccNUMA systems is always

followed on the page level, with typical page sizes of (commonly) 4 kB or (more
rarely) 16 kB, sometimes larger. Hence strict locality may be hard to implement
with working sets that only encompass a few pages.
27.2.3.1 Ensuring Locality of Memory Access
Fortunately, the initial mapping requirement can be enforced in a portable manner

on all current ccNUMA architectures. They support a first touch policy for memory
pages: A page gets mapped into the locality domain of the processor that first reads
or writes to it. Merely allocating memory is not sufficient (and using calloc()
in C will most probably be counterproductive). It is therefore the data initialization
code that deserves attention on ccNUMA:
integer,parameter::N=1000000 integer,parameter::N=1000000
double precision A(N), B(N) double precision A(N), B(N)
!$OMP PARALLEL DO
do i=1,N
! executed on single A(i) = 0.d0
! locality domain !$OMP END PARALLEL DO
READ(1000) A - ! A is mapped now
! congestion problem READ(1000) A
!$OMP PARALLEL DO !$OMP PARALLEL DO
do i = 1, N do i = 1, N
B(i) = func(A(i)) B(i) = func(A(i))
enddo enddo
!$OMP END PARALLEL DO !$OMP END PARALLEL DO
On the left, initialization of A is done in a serial region using a READ staement, so

the array data gets mapped to a single locality domain (maybe more if the array is
very large). The access to A in the parallel loop will then lead to congestion. The
version on the right corrects this problem by initializing A in parallel, first-touching
its elements in the same way they are accessed later. Although the READ operation
is still sequential, the data will be distributed across the locality domains. Array B
does not have to be initialized but will automatically be mapped correctly.
A required condition for this strategy to work is that the OpenMP loop schedules
of initialization and work loops are identical and reproducible, i.e. the only possible
choice is STATIC with a constant chunk size. As the OpenMP standard does not
define a default schedule, it is generally a good idea to specify it explicitly on all
parallel loops. All current compilers choose STATIC by default, though. Of course,
the use of a static schedule poses some limits on possible optimizations for elim-
inating load imbalance. One option is the choice of an appropriate chunk size (as
small as possible, but at least several pages).
Unfortunately it is not always at the programmer’s discretion how and when data
is touched first. In C/C++, global data (including objects) is initialized before the
main() function even starts. If globals cannot be avoided, properly mapped local
copies of global data may be a possible solution, code characteristics in terms of
communication vs. calculation permitting [5]. A discussion of some of the problems
that emerge from the combination of OpenMP with C++ can be found in [6].
27.2.3.2 ccNUMA Optimization of Sparse MVM
It should now be obvious that the bad scalability of OpenMP-parallelized sparse

MVM codes on ccNUMA systems (see Fig. 27.16) is due to congestion that arises
because of wrong data placement. By writing parallel initialization loops that exploit
first touch mapping policy, scaling can be improved considerably. We will restrict
ourselves to CRS here as the strategy is basically the same for JDS. Arrays c, val,
col_idx, row_ptr and b must be initialized in parallel:
!$OMP PARALLEL DO
do i=1,Nr
row_ptr(i) = 0 ; c(i) = 0.d0 ; b(i) = 0.d0
enddo
.... ! preset row_ptr array
!$OMP PARALLEL DO PRIVATE(start,end,j)
do i=1,Nr
start = row_ptr(i) ; end = row_ptr(i+1)
do j=start,end-1
val(j) = 0.d0 ; col_idx(j) = 0
enddo
enddo
The initialization of b is based on the assumption that the non-zeroes of the matrix
are roughly clustered around the main diagonal. Depending on the matrix structure
it may be hard in practice to perform proper placement for the r.h.s. vector at all.
Fig. 27.19 shows performance data for the same architectures and sMVM codes
as in Fig. 27.16 but with appropriate ccNUMA placement. There is no change in
Fig. 27.19. Performance and strong scaling for ccNUMA-optimized OpenMP parallelization
of sparse MVM on three different architectures, comparing CRS (open symbols) and blocked
JDS (closed symbols) variants. Cf. Fig. 27.16 for performance without proper placement
scalability for the UMA platform, which was to be expected, but also on the cc-
NUMA systems for up to two threads. The reason is of course that both architectures
feature two-processor locality domains which are of UMA type. On four threads
and above, the locality optimizations yield dramatically improved performance. Es-
pecially for the CRS version scalability is nearly perfect when going from 2n to
2(n + 1) threads (due to bandwidth limitations inside the locality domains, scalabil-
ity on ccNUMA systems should always be reported with reference to performance
on all cores of a locality domain). The JDS variant of the code benefits from the op-
timizations as well, but falls behind CRS for larger thread numbers. This is because
of the permutation map for JDS which makes it hard to place larger portions of the
r.h.s. vector into the correct locality domains, leading to increased NUMA traffic.
It should be obvious by now that data placement is of premier importance on cc-
NUMA architectures, including commonly used two-socket cluster nodes. In prin-
ciple, ccNUMA features superior scalability for memory-bound codes, but UMA
systems are much easier to handle and require no code optimization for locality of
access. It is to be expected, though, that ccNUMA designs will prevail in the mid-
term future.
27.2.3.3 Pinning
One may speculate that the considerations about locality of access on ccNUMA sys-
tems from the previous section do not apply for MPI-parallelized code. Indeed, MPI
processes have no concept of shared memory. They allocate and first-touch memory
pages in their own locality domain by default. Operating systems are nowadays ca-
pable of maintaining strong affinity between threads and processors, meaning that a
thread (or process) will be reluctant to leave the processor it was initially started on.
However, it might happen that system processes or interactive load push threads off
their original CPUs. It is not guaranteed that the previous state will be re-established
after the disturbance. One indicator for insufficient thread affinity are erratic perfor-
mance numbers (i.e., varying from run to run). Even on UMA systems insufficient
affinity can lead to problems if the UMA node is divided into sections (e.g., sockets
with dual-core processors like in Fig. 26.22) that have separate paths to memory and
internal shared caches. It may be of advantage to keep neighboring thread IDs on
the cores of a socket to exploit the advantage of shared caches. If only one core per
socket is used, migration of both threads to the same socket should be avoided if the
application is bandwidth-bound.
The programmer can avoid those effects by pinning threads to CPUs. Every
operating system has ways of limiting the mobility of threads and processes. Unfor-
tunately, these are by no means portable, but there is always a low-level interface
with library calls that access the basic functionality. Under the Linux OS, PLPA [7]
can be used for that purpose. The following is a C example that pins each thread to
a CPU whose ID corresponds to the thread ID:
#include <plpa.h>
...
#pragma omp parallel
{
plpa_cpu_set_t mask;
PLPA_CPU_ZERO(&mask);
int id = omp_get_thread_num();
PLPA_CPU_SET(id,&mask);
PLPA_NAME(sched_setaffinity)((pid_t)0, (size_t)32, &mask);
}
The mask variable is used as a bit mask to identify those CPUs the thread should
be restricted to by setting the corresponding bits to one (this could be more than one
bit, a feature often called CPU set). After this code has executed, no thread will be
able to leave its CPU any more.
System vendors often provide high-level interfaces to the pinning or CPU set
mechanism. Please consult the system documentation for details.
27.3 Conclusion and Outlook

In this chapter we have presented basic optimization techniques on the processor
and the shared-memory level. Although we have mainly used examples from lin-
ear algebra for clarity of presentation, the concepts can be applied to all numerical
program codes. Although compilers are often surprisingly smart in detecting opti-
mization opportunities, they are also easily deceived by the slightest obstruction of
their view on program source. Regrettably, compiler vendors are very reluctant to
build tools into their products that facilitate the programmer’s work by presenting a
clear view on optimizations performed or dropped.
There is one important topic in code optimization that we have neglected for
brevity: The start of any serious optimization attempt on a nontrivial application
should be the production of a profile that identifies the hot spots, i.e. the parts of
the code that take the most time to execute. Many tools, free and commercial, exist
in this field and more are under development. In which form a programmer should
be presented performance data for a parallel run with thousands of processors and
how the vast amounts of data can be filtered to extract the important insights is the
subject of intense research. Multi-core technologies are adding another dimension
to this problem.
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A Appendix: Abbreviations
Abbreviation Explanation
1D,2D,3D one-, two-, three-dimensional
1D3V 1D in a usual space and 3D in a velocity space
ABINIT DFT software package (open source)
AIREBO Adaptive Intermolecular Reactive Bond Order
API Application Programming Interface
ARPES Angle-Resolved Photo-Emission Spectroscopy
BE Boltzmann Equation
BIT1 1D3V PIC code
BLAS Basic Linear Algebra Subsystem
BO Born-Oppenheimer
CASTEP DFT software package (commercial)
ccNUMA cache-coherent Non-Uniform Memory Architecture
CDW Charge Density Wave
CF Correlation Functions
CI Configuration Interaction
CIC Cloud in Cell
CISC Complex Instruction Set Computing
CO Complex Object
CP Car-Parrinello
CPA Coherent Potential Approximation
CP-PAW Car-Parrinello software package
CPT Cluster Perturbation Theory
CPU Central Processing Unit
CRS Compressed Row Storage
dc direct current
DDCF Density-Density time Correlation Functions
DDMRG Dynamical Density Matrix Renormalization Group
DFT Density Functional Theory
DMC Diagrammatic Monte Carlo
DMFT Dynamical Mean-Field Theory
DMRG Density-Matrix Renormalization Group
(continued)
770 A Appendix: Abbreviations
(continued)
DOS Density of States
DP Double Precision
DRAM Dynamic Random Access Memory
DTMRG Dynamical TMRG
ED Exact Diagonalization
EDIP Environment-Depedent Interaction Potential
EIRENE A Monte Carlo linear transport solver
EPIC Explicitly Parallel Instruction Computing
FD Feynman Diagram
FFT Fast Fourier Transform
FFTW Fastest Fourier Transform in the West (FFT library)
FHI98md DFT software package
FMM Fast Multipole Method
FP Floating Point
FPGA Field Programmable Gate Arrays
FSB Front Side Bus
GAUSSIAN computational chemistry software program
GF Green Function
GTO Gaussian Type Orbitals
GMRES Generalized Minimum Residual Method
GPU Graphics Processing Unit
HF Hartree-Fock
HPC High Performance Computing
HPF High Performance Fortran
HT Hypertransport
IKP Improved Kelbg Potential
ILP Instruction-Level Parallelism
JDS Jagged Diagonals Storage
KPM Kernel Polynomial Method
LAPACK Linear Algebra Package
LD Local Distribution
LDA Local Density Approximation
LDA-KS Local Density Approximation in the Kohn-Sham scheme
LDOS Local Density of States
LINPACK Linear Algebra Package (superseeded by LAPACK)
LJ Lennard-Jones
LR Lanczos Recursion
LRU Least Recently Used
MC Monte Carlo
MD Molecular Dynamics
MEM Maximum Entropy Method
MESI Modified/Exclusive/Shared/Invalid protocol
MIPS Microprocessor without Interlocked Pipeline Stages
MIT Metal-Insulator Transition
MMM Matrix Matrix Multiplication
A Appendix: Abbreviations 771
MOLPRO quantum chemistry software package
MP Message Passing
MPI Message Passing Interface
MPMD Multiple Program Multiple Data
MVM Matrix Vector Multiplication
NGP Nearest Grid Point
NI Network Interface
NL NUMA Link
NRG Numerical Renomalization Group
NUMA Non-Uniform Memory Architecture
NWChem computational chemistry software package
OpenMP Open Multi-Processing
OS Operating System
PDP1 Programmed Data Processor 1
PES Potential Energy Surface
PIC Particle-in-Cell
PIC-MCC Particle-in-Cell Monte Carlo Collision
PIMC Path Integral Monte Carlo
PJT Pseudo Jahn-Teller
PLPA Pageable Link Pack Area
POSIX Portable Operating System Interface
QMC Quantum Monte Carlo
QMD Quantum Molecular Dynamics
QMR Quasi Minimum Residual Method
QP Quantum Particle
QPT Quantum Phase Transition
REBO Reactive Empirical Bond Order
RFO Read For Ownership
RG Renormalization Group
RISC Reduced Instruction Set Computing
RKHS Reproducing Kernel Hilbert Space
SIAM Single Impurity Anderson Model;
Society for Industrial and Applied Mathematics
SIMD Single Instruction Multiple Data
SMP Symmetric Multi-Processing
sMVM Sparse Matrix Vector Multiplication
SO Stochastic Optimization
SPEC Standard Performance Evaluation Corporation
SP Single Precision
SPMD Single Program Multiple Data
STL Standard Template Library
STM Scanning Tunneling Microscopy
STO Slater Type Orbitals
TCP/IP Transmission Control Protocol / Internet Protocol
TLB Translation Look-aside Buffer
(continued)
772 A Appendix: Abbreviations
(continued)
TMRG Transfer Matrix Renormalization Group
UMA Uniform Memory Architecture
UPC Unified Parallel C
VASP ab initio molecular dynamics software package
VBS Valence Bond Solid
WF Wave Function
XOOPIC X-windows Object Oriented PIC
XPDP1 X-windows PDP1 plasma code
Index
ab initio applications, 686

method, 415, 490 low-level, 684
molecular dynamics, 24 time measurement, 685
packages, 466 vector triad, 684
transport coefficients, 227, 239 Berendsen control
ageing, 100 pressure, 7
Alfven wave instability, 210 temperature, 7
Amdahl’s law, 704, 707, 732, 756 Bethe ansatz, 540, 570, 606, 629, 634
Anderson localization, 58, 505, 516 Bethe lattice, 509, 510
polaron, 522 binary alloy model, 515, 555
Anderson model binary collision approximation, 146, 184
disorder, 564 Binder parameter, 114, 121
single-impurity, 454, 481, 482, 520 binning analysis, 106, 360
antiferromagnetism, 81, 278, 303, 474, 477, bisection algorithm, 401
478, 487, 496 BLAS, 617, 749
Arnoldi method, 638, 642 Boltzmann equation, 146, 227
arrays, multi-dimensional, 738 heuristic derivation, 228
atomic pseudopotentials, 266, 425 integral representation, 234
autocorrelation Boris method, 164
density, 47, 48 Born-Oppenheimer approximation, 415,
exponential autocorrelation time, 91 505
integrated autocorrelation time, 103 Bose-Einstein condensation, 411, 638
momentum, 58 bosonic bath, 367, 371, 389
in Monte Carlo, 90, 103, 278, 357, 358 bound state, 44, 368, 411
numerical estimation, 104 Box-Muller method, 71, 364
spin, 674 branch
elimination, 735
balance miss, 735
code, 737 prediction, 735
detailed, 86, 229, 291 branching process, 151
machine, 737 Buffon’s needles, 64
bandwidth
memory, 684, 693 cache, 684, 687, 692
network, 714 associativity, 743
basis function, 422 coherence, 718, 722
biorthogonal, 238 direct-mapped, 696
valence bond, 305 directory, 723
benchmark effective size, 697, 743
774 Index
fully associative, 696 cluster Monte Carlo, see Monte Carlo

hit, 693, 695 method
instruction cache, 693 cluster perturbation theory, 568
levels, 693 coherent potential approximation, 477, 506,
line, 695 511
replacement strategy, 696 collision density, 147
zero, 696, 738 collision integral, 145, 229
miss, 693, 723 column major order, 739
read for ownership, 696, 738 compiler
reuse ratio, 694 directives, 746
set-associative, 697 logs, 736, 746
thrashing, 697, 742 compressed row storage, 751
unified, 693 conductivity
way, 697 electric, 232
write-back, 696 optical, 319, 563
write-through, 741 confidence interval, 67, 102
cache-bound, 695 configuration interaction method, 431
Cauchy distribution, 70 conformal field theory, 588, 591, 658
ccNUMA, 717 constellation cluster, 723
congestion problem, 721 correlation function
locality domain, 720, 761 density autocorrelation, 47, 48
dynamic, 560, 621
locality problem, 721
finite temperature, 557, 563
memory mapping, 762
momentum autocorrelation, 58
central limit theorem, 66, 102, 380
pair, 20
central processing unit
spin autocorrelation, 674
floating-point units, 683
static, 557
instruction queues, 683
time, 20, 47, 54
integer units, 683
zero momentum, 126
load/store units, 683
correlation sampling technique, 76
multi-core, 699
Coulomb hole, 226
register, 683, 692 Courant condition, 182
Chebyshev expansion, 545–575 CPU, see central processing unit
convergence, 549 CPU set, 766
discrete Fourier transform, 553 CPU time, 685
kernel polynomials, 549 Crank-Nicolson method, 567, 638
maximum entropy method, 570 critical amplitude, 82
multi-dimensional, 552 critical exponent, 82, 83, 118–125
resolution, 551 critical slowing down, 92
time evolution, 566 cross section, macroscopic, 146
Chebyshev polynomial, 546 crossbar switch, 719
CISC architecture, 687 cumulant, 114, 242
cloud-in-cell algorithm, 172
cluster deadlock, 725
embedded, 96 density functional theory, 432–435
geometrical, 94, 98 constrained, 463, 490
simple-metal, 265 LDA+DMFT, 490
stochastic, 94 density matrix, 256, 397
cluster mean-field theory, 494 canonical, 54
Index 775
group property, 398 DMRG, see density matrix renormalization

high-temperature approximation, 398 group
one-particle, 408, 409 domain decomposition, 706, 708
reduced, 582, 583 downfolding approach, 456
density matrix renormalization group, 562, DRAM gap, 693
581, 583, 589, 592, 593 dynamical cluster approximation, 494–499
additive quantum numbers, 611–613 dynamical mean-field theory, 477–484, 505,
computational cost, 616 520
correction vector, 626 in density functional theory, 490
discarded weight, 614 extension to clusters, 492
dynamical, 626–629 LDA+DMFT, 490
finite system algorithm, 607–611
eigenvalue problem
infinite system algorithm, 602–607
generalized, 423
long-ranged interactions, 656–657 implicit, 226
optimization, 616 LAPACK, 424
quantum data compression, 654 sparse, 539–543
sweeping, 607 energy hypersurface, 437
time evolution, 639–643 ensemble
truncation error, 613–616, 654 canonical, 5, 54, 80
two-dimensional lattice, 617 expanded, 129
density of states, 480, 485–488, 491, 497, extended, 130
507, 555, 622 generalized, 129
density operator, see density matrix generalized Gibbs, 651
detailed balance, 86, 229, 291 Gibbs, 5
detector function, 150 grand-canonical, 5, 313
directed loop, 307 isothermal-isobaric, 5
disordered system, 477, 493, 506, 555, 556, micro-canonical, 5, 573
564 multi-canonical, 131
distribution ensemble average, 18, 241, 477
bimodal, 555 entanglement, 581, 593, 653
Boltzmann, 85 entropy
Cauchy, 70, 628 entanglement, 589, 653
Fermi-Dirac, 261 von Neumann, 589, 653
EPIC architecture, 687, 755
Gauss, 66, 69, 185, 364
ergodic hypothesis, 6, 18, 240
Gaussian flux, 70
estimator, 66, 150
local Green function, 509
biased, 104
Lorentz ansatz, 236
collison, 151
Maxwell-Boltzmann, 6, 169 conditional expectation, 72, 153
momentum, 408, 628, 632, 644–650 improved, 97, 306
multicanonical, 131 improved cluster estimator, 97
for particle injection, 168 path integral, 402
Poisson, 300, 303, 304 track-length, 153
quasiparticle, 228 Ewald summation, 30
Student’s t-distribution, 67 exchange energy, 263
uniform, 68 exciton, 368, 371, 385–389
Wigner, 41, 257 exciton-polaron, 371, 372
DMFT, see dynamical mean-field theory extinction coefficient, 147
776 Index
false sharing, 723, 758 Heisenberg model, 278, 303, 474–477, 529,
fast Fourier transform, 175, 181, 209, 303, 537, 671
309, 423, 554 hidden free energy barriers, 134
Fermi gas, 261 High Performance Fortran, 709
Fermi liquid, 223, 485 Hilbert transform, 480, 561
Fermi surface, 227, 497, 592 Hirsch-Fye algorithm, 337–343, 482
harmonics, 237 Holstein model, 358, 521, 523, 562, 567
ferromagnetism, 81, 99, 119, 474, 477, 489, Holstein-Hubbard model, 368
529, 658, 660 Hubbard model, 455, 473, 480, 484–490,
Feynman expansion, 375, 383, 479 496, 529–537, 540, 543, 570, 574,
field weighting, 173 632, 655
finite-size scaling, 84, 114–128, 307, 475, multi-orbital, 490
591, 630 hypertransport, 720
first touch policy, 763
flop, 683 importance sampling, 73, 85, 151, 375
Fortuin-Kasteleyn representation, 93, 289, instruction throughput, 686
303 instruction-level parallelism, 686
Fredholm integral equation, 63, 141, 374 interaction representation, 302, 311, 375
front-side bus, 718 Ising model, 81, 586
Gauss distribution, 66, 69, 185, 364 jackknife method, 107, 360
Gaussian flux distribution, 70 Jacobi-Davidson algorithm, 541
Gibbs oscillation, 549 jagged diagonals storage, 751
Glauber algorithm, 89
global optimization, 443 Kelbg potential, improved, 44
goodness-of-fit parameter, 117 kernel
Green function, 148, 478, 485, 552, 554, collision, 146
562, 568 Dirichlet, 550
local, 480, 481, 509 Fejér, 551
Gustafson’s law, 705 Jackson, 551
gyrofluid model Lorentz, 552
three-field, 204 subcritical, 152
two-fluid equations, 193 transport, 148
vorticity equation, 207 kernel polynomial method, see Chebyshev
gyrokinetics expansion
dispersion relation and fluctuation Kholevo bound, 654
spectrum, 209 Kohn-Sham method, 433
guiding center drift velocity, 197 Kondo problem, 341, 482, 600
gyro-averaged potential, 201 Krylov space, 540, 625, 638
gyro-center eq. of motion, 195 Kubo formalism, 253, 560
gyrophase-averaged eq. of motion, 197
history, 192 Lanczos algorithm, 638, 642
one-form, 198 correlation functions, 572, 625
particle simulation, 207 DMRG, 625
polarization drift, 202 eigenvalues, 539
eigenvectors, 540
Hartree approximation, 427, 477 latency, 693, 698
Hartree-Fock approximation, 427–432 of network, 715
heat-bath algorithm, 88 leap-frog algorithm, 16, 164
Index 777
least-recently-used strategy, 696, 749 barrier, 714

Lebesgue-Stieltjes integral, 72 benchmarks, 715
Lehmann function, 370, 391 blocking communication, 714
Lenard-Balescu equation, 224 collective communication, 712
Lennard-Jones potential, 8 communicator, 711
Lewis diagram, 420 derived types, 712
Li-Sokal bound, 96 non-blocking communication, 714
Lie transform, 199 point-to-point communication, 712
limit D → ∞, 477–480 rank, 709, 711
linear response, 253, 267, 560 wildcards, 712
LINPACK, 701 wrapper scripts, 710
Liouville equation, 42, 51 metal-insulator transition, 344, 486–487,
load imbalance, 703, 708, 725, 756 516
local density approximation, 258, 262, 435 Metropolis algorithm, 86, 378
local density of states, 507, 556 mobility edge, 518, 519, 522
local distribution approach, 506, 509 molecular dynamics, 3–37
local scale invariance, 101 quantum, 41, 50
locality semiclassical, 43, 50, 58
of reference, 694 momentum distribution, 408, 628, 632,
spatial, 695, 740 644–650
temporal, 694 Monte Carlo method, 52, 63, 511, 520
loop δf method, 76
blocking, 747 cluster, 93–98, 277, 303
fusion, 744
multiple-cluster update, 94
interchange, 742
Swendsen-Wang algorithm, 93
nest, 744
Wolff algorithm, 94
peeling, 753
continuous imaginary time, 299, 302
unroll and jam, 746
diffusion, 141
unrolling, 745
directed loop, 307
loop algorithm, 277, 288, 300, 303
importance sampling, 73
directed, 307
loop algorithm, 277, 288, 300, 303
loop operators, 303
multibondic simulations, 133
Markov chain, 85, 143, 287, 375 quantum, 357
master equation, 249 auxiliary field, 277, 312–325
matrix-product state, 593, 598–600, 639 determinant, 359
maximum entropy method, 391, 497, 570 diagrammatic, 374–390
Maxwell-Boltzmann distribution, 6, 169 Hirsch-Fye algorithm, 337–343, 482
mean-field theory, 475–491 path integral, 397–405
memory projector, 305, 483
bandwidth, 693, 717 world-line method, 277, 358
bus, 719 sampling of permutations, 404
distributed, 707 sign problem, 292, 365, 404
latency, 693, 717 stochastic series expansion, 301, 302
shared, 717 Wigner-Liouville equation, 43
memory-bound, 695 worm algorithm, 307
Mermin-Wagner theorem, 492 Moore’s law, 417, 686
MESI protocol, 722 Morse potential, 11
message passing interface Mott-Hubbard insulator, 486–487
778 Index
MPI, see message passing interface second-order, 82

phase-ordering kinetics, 99
Néel state, 487, 496 phonons, 308, 358
Nagaoka theorem, 474, 489 acoustical, 310
network, 707 optical, 309
bandwidth, 714 PingPong, 715
non-blocking, 708 pipeline
neutral gas transport, 156 bubbles, 686, 689
Newton-Lorentz force, 162 depth, 688, 689
Newton-Raphson method, 441 flush, 735
non-temporal stores, 696, 738 latency, 688
nudged elastic band method, 442 stall, 690
null-collision approximation, 186 throughput, 688
NUMALink, 720 wind-down, 688, 695
numerical renormalization group, 483–484, wind-up, 688, 695
600–602 pipelining, 686, 687
software, 690, 735, 737
O(n) spin models, 96 plasmon, 48
OpenMP, 484, 723 surface, 270
barrier Poisson distribution, 300, 303, 304
implicit, 727, 757 Poisson equation, 162
critical section, 725, 756 gyrokinetic, 201
flush, 727 Poisson solver, 177
lock, 726 polaron, 367, 369, 373, 522
overhead, 756 potential energy surface, 28
parallel region, 724 Potts models, 93
reduction clause, 728, 759 power-law singularity, 82
sentinel, 724 predictor-corrector method, 15
thread, 723 prefetch, 698, 737
thread ID, 726 in hardware, 699
work sharing directives, 724 outstanding, 699
optimization in software, 698
common sense, 732–736 principal component representation, 364
by compiler, 691, 734 probability
orbital picture, 419 conditional, 243
orthogonality catastrophe, 482 marginal, 243
out-of-order execution, 686, 692 profiling, 767
pseudo-gap, 493, 497
padding, 743, 759 pseudopotential approximation, 266, 425
parallel efficiency, 705
parallelization, 484, 702 quantum impurity problem, 482–484
incremental, 755 quantum Monte Carlo, see Monte Carlo
particle mesh technique, 260 method
particle mover, 163 quantum pair potential, 43, 58, 402
particle weighting, 170 quantum percolation, 555
Pauli-blocking, 229 quantum phase transition, 500
peak performance, 683 entropic analysis, 657
phase separation, 489 quantum transfer matrix, 667
phase transition quasiparticle, 367, 485, 486, 496
Index 779
concept, 224 snoop, 723

sparse matrix, 533, 539, 547, 566, 575, 750
race condition, 725, 758 spectral function, 319, 498, 562, 571, 574,
radiation transfer, 145 622, 632
random numbers spin Peierls transition, 308
congruential generator, 68 statistical error, 103
Gauss distributed, 69 steepest descent, 440
hit or miss, 72 stochastic fix-point equation, 511
inversion method, 69 stochastic optimization, 391–393
pseudo-random number generator, 87 stochastic series expansion, 301, 302
rejection method, 70 streaming, 694
uniform, 68 strength reduction, 733
REBO potential, 13 structure factor
redistribution function, 146 dynamical, 48, 319, 570
register static, 661
pressure, 746, 747 structure optimization, 440
spill, 746 supercritical slowing down, 92, 132
rejection method, 70 superscalar
reorder buffer, 687 architecture, 686
reweighting processors, 692
multi-histogram, 112 Swendsen-Wang cluster algorithm, 93
range, 109 symmetric multiprocessing, 484, 717
single-histogram, 108 symmetry
RISC architecture, 687 inversion, 531
row major order, 739 particle number, 484, 530, 531
Runge-Kutta method, 638 particle-hole, 531
SU (2), 484, 530
scalability, 702 translation, 492, 531, 533
scaling
strong, 703 t-distribution, 67
weak, 703, 704 t-J model, 294, 474
scaling relations, 83 tempering
scattering probability, 229 parallel, 130
Schmidt decomposition, 582, 583, 594 simulated, 129
Schrödinger equation, 50, 255, 566, 637 test particle method, 259
Bloch electrons, 225 TEXTOR tokamak, 157
screened exchange, 226 thermoremanent magnetization, 101
second quantization, 452 Thomas-Fermi model, 262
self-energy, 225, 479, 520 thread
self-force, 174 pinning, 719, 728, 762
semiclassical approximation, 255 placement, 727
serialization, 702 POSIX, 724
shape function, 170 safety, 727
SIMD extension, 692, 734 tight-binding approximation, 425
simulated annealing, 87 time average, 18, 241
single-cluster algorithm, 94 time evolution, 566, 637, 673
single-impurity Anderson model, 454, 481, Top500 list, 701
482, 520 transfer matrix renormalization group,
six vertex model, 288 669–671
780 Index
translation look-aside buffer, 742 gyrokinetic, 200

transport flux, 147 Vlasov-Poisson-Ampere equations, 203
Trotter-Suzuki decomposition, 278, 345,
399, 642, 666 wallclock time, 685
two-level system, 368, 371, 389–390 Wang-Landau recursion, 134
Weiss field, 476
umbrella sampling, 131 Wigner function, 41, 50, 52, 59
Unified Parallel C, 709 Wigner representation, 41, 257
uniform memory access, 717 Wigner-Liouville equation, quantum, 42,
universality hypothesis, 83 50, 55, 59
Wolff cluster algorithm, 94
variance world-line method, 277, 358
reduction, 151 continuous imaginary time, 299, 302
statistical, 66 discrete imaginary time, 278
vector computer, 682 worm algorithm, 307, 409
Verlet algorithm, 14 write combine buffer, 696
velocity, 17
Vlasov equation, 258 XXZ model, 278, 559, 643, 672–676

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Lecture Notes in Physics

H. Fehske, R. Schneider and A. Weiße (Eds.), Computational Many-Particle Physics,

Library of Congress Control Number: 2007936165

Many-particle physics is at work whenever we delve into the rich phenomenology of

Greifswald, Holger Fehske

Part I Molecular Dynamics

1 Introduction to Molecular Dynamics

Part II Classical Monte Carlo

3 The Monte Carlo Method, an Introduction

4 Monte Carlo Methods in Classical Statistical Physics

Part III Kinetic Modelling

6 The Particle-in-Cell Method

7.4 Gyrofluid Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204

Part IV Semiclassical Approaches

8 Boltzmann Transport in Condensed Matter

Part V Quantum Monte Carlo

10 World-line and Determinantal Quantum Monte Carlo Methods

10.B The Hubbard-Stratonovich Decomposition . . . . . . . . . . . . . . . . . . . . . . . . 347

Part VI Ab-Initio Methods in Physics and Chemistry

14 Ab-Initio Approach to the Many-Electron Problem

15 Ab-Initio Methods Applied to Structure Optimization

Part VII Effective Field Approaches

16 Dynamical Mean-Field Approximation and Cluster Methods

Part VIII Iterative Methods for Sparse Eigenvalue Problems

18 Exact Diagonalization Techniques

Part IX The Density Matrix Renormalisation Group:

20 The Conceptual Background of Density-Matrix Renormalization

22 Dynamical Density-Matrix Renormalization Group

24 Applications of Quantum Information in the Density-Matrix

Part X Concepts of High Performance Computing

26 Architecture and Performance Characteristics of Modern High

Appendix: Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 769

Ralf Schneider, Amit Raj Sharma, and Abha Rai

Max-Planck-Institut für Plasmaphysik, Teilinstitut Greifswald,

Molecular dynamics is the science of simulating the time dependent behavior of a

1.1 Basic Approach

the Monte Carlo method, molecular dynamics is a deterministic technique: Given an

The conservation of the Hamiltonian is equivalent to the conservation of the total

1.1.1 Statistical Ensemble

Statistical mechanics connects the microscopic details of a system to physical ob-

conservation condition, H(p, r) = E, which imposes a restriction on the classi-

1.2 Macroscopic Parameters

Etot = (KE)tot + (P E)tot , (1.9)

and (P E)tot is the total potential energy of the system given by

1.2.1 Temperature Scaling

In equilibrium simulations, especially if long-range interactions are involved and

1.2.2 Pressure Scaling

where β is the isothermal compressibility of the system (= 1/bulk modulus) and

r(t + δt) = μr(t) , (1.14)

and the volume of the system also changes by

V (t + δt) = μ3 V (t) . (1.16)

1.2.3 Time Scale Dilemma

Design of a molecular dynamics simulation can often encounter limits of compu-

1.3 Inter-Atomic Potentials

1.3.2 Molecular Interaction Models

To describe atomic interactions in molecules more complex than a dimer a pair

E = Ebond + Eangle + Etorsion + Eoop + Ecross + Enonbond . (1.19)

Atime = Aensemble , (1.51)

where k = 2π/(L(ix , iy , iz )); iα = 0, 1, 2, . . . etc. and