# inordinatum

Physics and Mathematics of Disordered Systems

## Simulating Directed Polymers and the Tracy-Widom Distribution

A few posts ago I briefly talked about the problem of a directed polymer in a random medium. In that post, I discussed the scaling behaviour of the polymer fluctuations due to the disordered environment, i.e. its roughness exponent, in $2$ dimensions.

As with many other statistical physics problems, for gaining an intuitive understanding it is also useful to perform some numerical simulations. In this post I will show how the directed polymer partition sum can be simulated using Wolfram Mathematica. I will also compare the results to the known exact result for the distribution of the free energy, the Tracy-Widom distribution.

# The transfer-matrix algorithm

The partition sum $Z$ of the directed polymer is defined as the sum over all directed paths $\Gamma$ of the Boltzmann weights $e^{-\beta E_\Gamma}$ of each path. The energy $E_\Gamma$ of the path $\Gamma$ is the sum over the random energies $E_i$ of the sites $i$ which are touched by $\Gamma$. $\beta = \frac{1}{T}$ is the inverse temperature.

In any space dimension, this partition sum can be evaluated rapidly by using a transfer-matrix algorithm. Let us order the lattice along the longitudinal direction of the directed polymer $t$. Then, the partition sum at site $x, t$ is obtained from the partition sums at this site’s neighbours $y\wedge x$ in the preceding slice $t-1$:

$\displaystyle Z(x,t) = e^{-\beta E_{x,t}}\sum_{y \wedge x} Z(y,t-1)$.

For the free energy $F(x,t) := -\frac{1}{\beta}\ln Z(x,t)$, we obtain

$\displaystyle F(x,t) = E_{x,t} - \frac{1}{\beta} \log \sum_{y \wedge x} e^{-\beta F(y,t-1)}$.

Let us focus on the case of very low temperatures, $\beta \to \infty$. Then the logarithm is dominated by the neighbour $y$ with the minimal (i.e. most negative) free energy $F(y,t-1)$. Hence we obtain

$\displaystyle F(x,t) = E_{x,t} + \min_{y \wedge x} F(y,t-1)$.

This also makes sense intuitively: At zero temperature, the partition sum of the directed polymer is dominated by the minimal-energy configuration. The “cost” of getting to site $x$ is the cheapest “cost” of getting to one of its neighbours, augmented by the (fixed) cost $E(x,t)$ of going to site $x$.

# The Mathematica simulation code

The following short Mathematica routine returns the free energy at the final time $t$ for a directed polymer


fe =
Compile[{{wd, _Integer}, {len, _Integer}},
Module[{pot1, pot2, fval},
pot1 = RandomVariate[NormalDistribution[], {len, wd}];
pot2 = RandomVariate[NormalDistribution[], {len, wd}];
fval = ConstantArray[0., wd];
Do[fval = (fval - (fval - RotateLeft[fval]) UnitStep[
fval - RotateLeft[fval]]) + pot1[[k]];
fval = (fval - (fval - RotateRight[fval]) UnitStep[
fval - RotateRight[fval]]) + pot2[[k]];, {k, 1, len}];
Return[fval]]];



k is the longitudinal coordinate of the polymer, and runs from 1...len. The vector fval has wd components and contains the free energy values at the current value of k, for all transversal coordinates x=1...wd.
For each k I perform two steps forward, one where site i neighbours on i+1 and i, and one where site i neighbours on i and i-1. This ensures that in the end one obtains a standard square lattice of size 2len$\times$wd, where the directed polymer can choose between two symmetric alternatives at each time step. pot1 and pot2 are len$\times$wd matrices containing the random energies for each site, for the even and odd values of k, respectively.

Since Mathematica‘s built-in Min function does not operate componentwise on vectors, I emulate it by using the componentwise UnitStep function:

a-(a-b)UnitStep[a-b] = Min[a,b].

At $t=0$, I use a free initial condition: $F(x,t=0)=0 \Leftrightarrow Z(x,t=0)=1$, i.e. the polymer end at $t=0$ can be anywhere. Modifying the line

fval = ConstantArray[0., wd];,

one can change this e.g. to a fixed initial condition where the polymer end at $t=0$ is fixed.
The returned value is the vector $F(x,t)$ where x=1...wd and t=2len is the final time.

For example, to generate $10^4$ samples of the free energy for a directed polymer on a $256\times 256$ lattice, with the final end fixed, and the initial end free, you would call

 Table[fe[256,128][[1]], {10000}] 

Note that the [[1]] picks out the free energy for a fixed final site. This simulation takes about a minute on my laptop.

# The Tracy-Widom distribution of the directed polymer free energy

Theory predicts the following form for the free energy $F$ of the directed polymer model in $2$ dimensions:

$\displaystyle F(t) = ct - A t^{1/3}\chi + ...$,

where $...$ indicates terms subdominant in $t$. $c$ is a constant and $c t$ is the nonuniversal, deterministic part of the free energy. The fluctuations of the free energy due to randomness of the disorder, described by the second term, are universal: The random variable $\chi$ is distributed according to a Tracy-Widom distribution, and only its amplitude $A$ depends on discretisation details.

The precise distribution depends on the symmetries imposed by the initial condition.

• For a polymer free at $t=0$, $P(\chi \leq s) = F_2(s)$, where $F_2(s)$ is the Tracy-Widom distribution for the Gaussian Unitary Ensemble (GUE).
• For a polymer fixed at $t=0$, $P(\chi \leq s) = F_1(s)$, where $F_1(s)$ is the Tracy-Widom distribution for the Gaussian Orthogonal Ensemble (GOE).

The functions $F_1$ and $F_2$ are solutions of Painlevé differential equations. Tables of their numerical values can be found with very high precision e.g. on the web page of M. Prähofer.

Tracy-Widom distribution and directed polymer free energy.

Blue line: Tracy-Widom distribution $F_1$ of the GOE ensemble.
Red line: Tracy-Widom distribution $F_2$ of the GUE ensemble.
Yellow line: Gaussian distribution.
Histogram: $10^5$ simulations of a $256\times 256$ directed polymer with free (blue) and fixed (red) initial condition, respectively.

All distributions are normalized so that mean=0 and variance=1.

In the figure on the right you can see how this theoretical prediction compares to numerical simulations using the code above. To get rid of the nonuniversal constants $c$ and $A$, I consider the “normalized” free energy

$f_n := \left(F-\left\langle F \right\rangle\right)/\sqrt{\left\langle F^2 \right\rangle -\left\langle F \right\rangle^2}$.

We see that its distribution observed in directed polymer simulations has a skewed shape, which agrees very well with the Tracy-Widom prediction (clearly much better than with the symmetric Gaussian distribution). In the tails, one can even “almost” distinguish the two universality classes corresponding to different initial conditions. For the difference to be really significant, one would need to run some longer simulations though.

# Further optimizations

Naturally one would like to make the simulation even faster, in order to have better statistics and reach higher system sizes. One may think that implementing the code above in a low-level programming language (e.g. C++) would yield a large performance gain. However, it turns out that a naive C++ implementation (where the operations on the free-energy vector are implemented by a simple loop over the transversal coordinate $x$) is actually about three times slower than the Mathematica code above. This is since such array-wise operations can be optimized by using modern processor SIMD extensions, which are utilized in Mathematica‘s routines.

Of course, one can also take advantage of this in C++. One can either hand-optimize the loop over transversal coordinates using the processor-dependent SIMD routines, or use an array math library. For example, I implemented the transfer-matrix algorithm above in C++ using the vector routines from Intel’s Math Kernel Library, and was able to achieve a speed-up by a factor of five compared to the Mathematica code. Still, considering the ease of programming and debugging, I find that the simple Mathematica implementation fares amazingly well!

If you’re interested in more details, references, higher-dimensional versions, the C++ code, or anything related, go ahead and drop me a comment below — I’ll extend this post if there is interest 😉

Written by inordinatum

January 22, 2014 at 11:27 pm

Posted in Directed Polymers

## A very brief introduction to directed polymers

A classical problem in the field of disordered systems is an elastic string (or elastic polymer) stretched between two points in a random environment. One is interested in knowing how the polymer geometry (roughness), ground state energy, and excitations change due to the disordered environment. A fundamental question is if the polymer becomes rough for arbitrarily weak disorder, or if there is a phase transition between a weakly disordered (smooth) and a strongly disordered (rough) phase.

In the following I will try explain some basic results on the simple case of a two-dimensional directed polymer (i.e. a “stretched” polymer which does not contain loops or overhangs). I will explain why for large polymer lengths $L$, moments of the partition sum $Z$ grow as $\ln \overline{Z^n} \propto n^3 L$. I will show why this indicates a rough polymer with roughness exponent $\zeta=\frac{2}{3}$. This analysis holds for arbitrarily weak disorder, meaning that in two dimensions disorder is always relevant, and the polymer is always in the rough phase.

Although none of these observations are new, the existing results are often buried in technical literature (there is not even a Wikipedia page describing the directed polymer problem). I hope this self-contained summary will be useful for people interested in a quick introduction to the subject. Some original references where more details can be found are cited at the end of the post.

## The directed polymer partition sum, and its moments

We can consider a polymer configuration as a trajectory for a particle moving between two points. We call the polymer directed if the particle always moves from the initial towards the final point, i.e. if the trajectory does not contain loops or overhangs.

Formally, this means that the polymer configuration in $1+d$ dimensions can be parametrized by giving $d$ transversal coordinates $(x_1...x_d)=\vec{x}$ as a function of the longitudinal coordinate $t$ (distance along the path). The partition sum is then given by a path integral

$Z = \int \mathcal{D}[\vec{x}]e^{-\int_0^L \mathrm{d}t \, \left[(\dot{\vec{x}})^2 + \eta(\vec{x},t)\right]}$

$(\dot{\vec{x}})^2$ is the elastic energy term, which is minimized for straight paths. $\eta(\vec{x},t)$ is the energy it costs the polymer to pass through the site $(\vec{x},t)$ (and which is minimized for rough paths picking out the minimal energy sites). We model a disordered environment by taking $\eta$ to be uncorrelated Gaussian white noise:

$\displaystyle \overline{\eta(\vec{x}_1,t_1)\eta(\vec{x}_2,t_2)} = 2c\delta^{(d)}(\vec{x}_1-\vec{x}_2)\delta(t_1-t_2)$

Applying the Feynman-Kac formula, the partition sum $Z(\vec{x},t)$ satisfies the following stochastic differential equation:

$\displaystyle \partial_t Z(\vec{x},t) = \nabla^2 Z(\vec{x},t) +\eta(\vec{x},t) Z(\vec{x},t)$

$Z$ is a random quantity, because $\eta$ is random. Since computing the distribution of $Z$ is difficult, we will consider its moments, defined as

$\displaystyle \Psi_n(\vec{x}_1...\vec{x}_n,t) := \overline{Z(\vec{x}_1,t)\cdots Z(\vec{x}_n,t)}$

The time evolution of $\Psi_n$ is determined by applying the Itô formula to the equation for $Z$:

$\displaystyle \partial_t\Psi_n(\vec{x}_1...\vec{x}_n,t) = \left[\sum_{j=1}^n \nabla_{\vec{x}_j}^2 + 2c\sum_{j

This is, up to an overall sign, the Schrödinger equation for $n$ bosons interacting through pairwise pointlike attraction of strength $c$. In one dimension, this is called the Lieb-Liniger model. It is easy to determine the ground state of this system exactly, which will allow us to obtain the leading behaviour of $Z^n$ for large $t$.

## Solution in one spatial dimension: Bethe ansatz ground state

In $d=1$, the ground state of the Hamiltonian $H_n$ defined above has energy $E_n = \frac{c^2}{12}n(n^2-1)$ and is given by

$\displaystyle \Psi_n(\vec{x}_1...\vec{x}_n) \propto \exp\left(-\frac{c}{2}\sum_{j

This is a special case of the general Bethe ansatz ubiquitious in modern theoretical physics. Its application to the directed polymer problem, as discussed here, was recognized by Kardar (see references below).

To check that this ansatz for $\Psi$ gives, indeed, an eigenstate, let us take two derivatives with respect to $x_j$:

$\displaystyle \begin{array}{lcl} \partial_{x_j}^2 \Psi_n & = & \partial_{x_j} \left[-\frac{c}{2}\sum_{j \neq k} \text{sgn}(x_j-x_k) \Psi_n\right] \\ & = & \left[-c\sum_{j \neq k} \delta(x_j-x_k)\right] \Psi_n + \left[-\frac{c}{2}\sum_{k \neq j} \text{sgn}(x_j-x_k)\right]^2 \Psi_n \end{array}$

Taking the sum over all $j$ we get

$\displaystyle \sum_{j=1}^n \partial_{x_j}^2 \Psi_n = -2c\sum_{j < k} \delta(x_j-x_k) \Psi_n + \frac{c^2}{4}\sum_{j=1}^n \left[\sum_{j \neq k} \text{sgn}(x_j-x_k)\right]^2 \Psi_n$

To compute the second term, note that it is symmetric under permutations of the $x_j$. Let us assume (without loss of generality) that $x_1 < x_2 < ... < x_n$. Then

$\displaystyle \begin{array}{lcl} \sum_{j=1}^n \left[\sum_{j \neq k} \text{sgn}(x_j-x_k)\right]^2 & = & \sum_{j=1}^n \left[\sum_{k>j} (-1)+\sum_{k

Thus, we see that as claimed,

$\displaystyle H_n \Psi_n = E_n \Psi_n$

with the energy $E_n = \frac{c^2}{12}n(n^2-1)$. To see that this is, indeed, the ground state, is beyond the scope of this post (essentially it would require one to take a finite system volume $V$, construct all excited states using the Bethe ansatz, and check that they all have higher energy. Since one knows the number of eigenstates in a finite volume, this would exclude any lower-energy state).

Believing that this is, indeed, the ground state our argument shows that for large polymer length $L$, the moments of the partition sum $Z$ grow as:

$\displaystyle \overline{Z^n (L)} \propto e^{\frac{c^2}{12}n(n^2-1) L}$

## Implications for the string geometry

The asymptotics of $\overline{Z^n}$ derived above is consistent with a free energy that scales with polymer length $L$ as $\ln Z = F =: f L^\frac{1}{3}$. Furthermore, the distribution $P(f)$ of the rescaled free energy should have a tail decaying as

$\displaystyle P(f) \propto e^{-f^{\frac{3}{2}}} \quad \text{for } f \gg 1$

To see this, let us compute $\overline{Z^n}$ assuming this form for $P(f)$:

$\displaystyle \overline{Z^n} = \int \mathrm{d}f e^{n f L^{\frac{1}{3}}-f^{\frac{3}{2}}}$

For large $n$, we expect $f$ to be large; thus the integral can be approximated by the maximum of the exponent. It occurs at

$f \propto \left(n L^{\frac{1}{3}}\right)^2$

and thus we get

$\displaystyle \ln \overline{Z^n} \propto L n^3$,

consistent with the large-$n$ behaviour of the explicit formula for $\overline{Z^n}$ derived above.
Thus, the asymptotics of $\overline{Z^n}$ allowed us to determine the tail of the free energy distribution $P(f)$ and the scaling $F = f L^\frac{1}{3}$. The scaling of the typical displacement $x$ with polymer length $L$ follows:

$\displaystyle L^\frac{1}{3} \sim F \sim \int_0^L \mathrm{d}t (\dot{x})^2 \sim L \left(\frac{x}{L}\right)^2 \Rightarrow x \sim L^\frac{2}{3}$

Thus, the polymer is rough in the sense that the typical fluctuations don’t remain bounded, but increase with polymer length as

$\displaystyle \overline{\left[x(L)-x(0)\right]^2}\sim L^{2\zeta}$

with the so-called roughness exponent $\zeta= \frac{2}{3}$.

This whole analysis remains valid at an arbitrarily weak coupling strength $c$. Thus, the polymer is rough for arbitrarily weak disorder (or, equivalently, arbitrarily high temperatures). In order to observe a true phase transition between weak-disorder and strong-disorder behaviour one needs to go to higher dimensions.

## Higher dimensions and phase transitions

As we have now seen, in two dimensions (one longitudinal + one transversal) the directed polymer is always in a rough phase. It turns out (but it would take too long to explain here) that the same holds in three (1+2) dimensions. However, starting from one longitudinal + three transversal dimensions, weak disorder is insufficient to make the polymer rough. In other words, there is a high-temperature phase where the moments of $Z$ scale as $\ln \overline{Z^n} \propto n^2$, indicating Gaussian fluctuations, i.e. purely thermal roughness.

## References

The original argument for obtaining the moments of $Z$ from the Bethe ansatz solution of the Lieb-Liniger model is due to Kardar (see e.g. Nucl. Phys. B 290, 1989 and the references therein). The saddle-point argument for the tail of the free energy distribution is due to Zhang (see e.g. PRB 42, 1990). If you feel some other reference should be included please let me know!

Written by inordinatum

July 29, 2012 at 9:42 pm