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Automatic differentiation

Seppo Linnainmaa (1945 — ) Inventor of automatic differentiation in 1970.

This micro post is about automatic differentiation, a programming technique allowing to compute automatically the derivative of a function from its source code. This technique, in its reverse mode, is attributed to Seppo Linnainmaa who introduced the idea in his Master thesis in 1970.

How to compute the derivative of a numerical function? If we have a symbolic mathematical expression for it, then we can use the rules of differential calculus, and this can be automated: this is known as symbolic differentiation. If the function is a black box, then we can compute numerically the differential ratio by using evaluations for very close arguments: this is known as numerical differentiation. But actually, if we have the source code of the function, one could follow the code and create an augmented code in parallel that computes the effect of each elementary operation on the derivative: this is known as automatic differentiation. Automatic differentiation can be implemented by using object programming and operators overloading. Automatic differentiation can be in trouble in the presence of conditionals.

Nowadays automatic differentiation is fashionable, partly because of the development of deep machine learning and multi-layered neural networks. For more,  take a look at the Wikipedia article. If you like the Julia programming language, you may take a look at JuliaDiff.

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About random generators of geometric distribution


Recently, a friend of mine, Arnaud Guyader, discovered by accident during a teaching session that the geometric distribution generator of GNU R, implemented in the rgeom function, is sub-optimal. The command help rgeom says rgeom uses the derivation as an exponential mixture of Poissons, see Devroye, L. (1986) Non-Uniform Random Variate Generation. Springer-Verlag, New York. Page 480. Moreover, page 480 of this book says nothing about the geometric distribution.

/* Source code of rgeom.c in latest version of GNU R (2014-11-15).
*  Mathlib : A C Library of Special Functions
*  Copyright (C) 1998 Ross Ihaka and the R Core Team.
*  Copyright (C) 2000 The R Core Team
*  This program is free software; you can redistribute it and/or modify
*  it under the terms of the GNU General Public License as published by
*  the Free Software Foundation; either version 2 of the License, or
*  (at your option) any later version.
*  This program is distributed in the hope that it will be useful,
*  but WITHOUT ANY WARRANTY; without even the implied warranty of
*  GNU General Public License for more details.
*  You should have received a copy of the GNU General Public License
*  along with this program; if not, a copy is available at
*    #include <Rmath.h>
*    double rgeom(double p);
*    Random variates from the geometric distribution.
*    We generate lambda as exponential with scale parameter
*    p / (1 – p).  Return a Poisson deviate with mean lambda.
*    Devroye, L. (1986).
*    Non-Uniform Random Variate Generation.
*    New York: Springer-Verlag.
*    Page 480.

#include “nmath.h”

double rgeom(double p)
if (!R_FINITE(p) || p <= 0 || p > 1) ML_ERR_return_NAN;

return rpois(exp_rand() * ((1 – p) / p));

The fact that the geometric distribution is an exponential mixture of Poisson is a special case of the more general fact that the negative binomial distribution, i.e. the convolution power of the geometric distribution also known as the Pascal distribution, is a gamma mixture of Poisson. Namely if \( {X\sim\mathrm{Gamma}(n,\ell)} \) with \( {\ell=p/(1-p)} \), and if \( {Y|X\sim\mathrm{Poisson}(X)} \) then \( {Y\sim\mathrm{NegativeBinomial}(n,p)} \), since for every \( {k\geq n} \), \( {\mathbb{P}(Y=k)} \) writes

\[ \int_0^\infty\!e^{-\lambda} \frac{\lambda^k}{k!} \frac{\ell^n\lambda^{n-1}}{\Gamma(n)}e^{-\lambda\ell}\,d\lambda =\frac{\ell^n}{k!\Gamma(n)} \int_0^\infty\!\lambda^{n+k-1}e^{-\lambda(\ell+1)}\,d\lambda =\frac{\Gamma(n+k)}{k!\Gamma(n)}(1-p)^kp^n. \]

For \( {n=1} \) we recover the geometric distribution. This mixture representation is useful for the simulation of negative binomial distributions with high integer parameter, but is not the best choice for the simulation of the special case of the geometric distribution.

The simulation of the geometric distribution is better done by using the so-called inversion method (generalized inverse of the cdf), which boils down to take the integer part of the standard exponential distribution generator: ceil(log(rand())/log(1-p)) since if \( {X\sim\mathrm{Exponential}(\lambda)} \) with \( {\lambda=-\log(1-p)} \) then

\[ \mathbb{P}(k\leq X\leq k+1) =e^{-k\lambda}-e^{-(k+1)\lambda} =e^{-\lambda k}(1-e^{-\lambda}) =(1-p)^kp. \]

Patch. Here is a possible patch to the rgeom.c of GNU R.

<  *    We generate lambda as exponential with scale parameter
<  *    p / (1 – p).  Return a Poisson deviate with mean lambda.

>  *    returns 1+ integer part of exponential with scale parameter -1 / log(1 – p).
<  *    Page 480.

>  *    Section X.2 page 498.
<     return rpois(exp_rand() * ((1 – p) / p));

>     return ceil(log(rand()) / log(1 – p));

Further reading. The simulation of the geometric distribution is discussed in Section X.2 page 498 of the book of Devroye: the inversion method is considered, but no words on the exponential mixture of Poisson. The simulation of the negative binomial distribution is discussed in Section X.4.7 page 543, and the Gamma mixture of Poisson is considered.

Other software. The random generator for the geometric distribution proposed presently by the GNU Scientific Library, by the GNU Octave, and by the Scilab software are based on the inversion method. The Distributions.jl package for the Julia software also uses the inversion method. The good news with open source software is that even if the help does not mention the algorithm that is used, you can always check the source code.

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Random walk, Dirichlet problem, and Gaussian free field

Solution of a Dirichlet problem obtained with a Monte Carlo simulation, using the Julia programming language
Solution of a Dirichlet problem by Monte Carlo simulation of probabilistic formulation, using Julia.

This post is about the discrete Dirichlet problem and Gaussian free field, linked with the random walk on \( {\mathbb{Z}^d} \). Discreteness allows to go to the concepts with minimal abstraction. The Gaussian free field (GFF) is an important Gaussian object which appears, like most Gaussian objects, as a limiting object in many models of Statistical Physics.

Symmetric Nearest Neighbors random walk. The symmetric nearest neighbors random walk on \( {\mathbb{Z}^d} \) is the sequence of random variables \( {X={(X_n)}_{n\geq0}} \) defined by the linear recursion

\[ X_{n+1}=X_n+\xi_{n+1}=X_0+\xi_1+\cdots+\xi_{n+1} \]

where \( {{(\xi)}_{n\geq1}} \) is a sequence of independent and identically distributed random variables on \( {\mathbb{Z}^d} \), independent of \( {X_0} \), and uniformly distributed on the discrete \( {\ell^1} \) sphere: \( {\{\pm e_1,\ldots,\pm e_d\}} \) where \( {e_1,\ldots,e_d} \) is the canonical basis of \( {\mathbb{R}^d} \). The term symmetric comes from the fact that in each of the \( {d} \) dimensions, both directions are equally probable in the law of the increments.

The sequence \( {X} \) is a homogeneous Markov chain with state space \( {\mathbb{Z}^d} \) since

\[ \begin{array}{rcl} \mathbb{P}(X_{n+1}=x_{n+1}\,|\,X_n=x_n,\ldots,X_0=x_0) &=&\mathbb{P}(X_{n+1}=x_{n+1}\,|\,X_n=x_n)\\ &=&\mathbb{P}(X_1=x_{n+1}\,|\,X_0=x_n)\\ &=&\mathbb{P}(\xi_1=x_{n+1}-x_n). \end{array} \]

Its transition kernel \( {P:\mathbb{Z}^d\times\mathbb{Z}^d\rightarrow[0,1]} \) is given for every \( {x,y\in\mathbb{Z}^d} \) by

\[ P(x,y) = \mathbb{P}(X_{n+1}=y\,|\,X_n=x) =\frac{\mathbf{1}_{\{\left|x-y\right|_1=1\}}}{2d} \quad\mbox{where}\quad \left|x-y\right|_1=\sum_{k=1}^d\left|x_k-y_k\right|. \]

It is an infinite Markov transition matrix. It acts on a bounded function \( {f:\mathbb{Z}^d\rightarrow\mathbb{R}} \) as

\[ (Pf)(x)=\sum_{y\in\mathbb{Z}^d}P(x,y)f(y)=\mathbb{E}(f(X_1)\,|\,X_0=x). \]

The sequence \( {X} \) is also a martingale for the filtration \( {{(\mathcal{F}_n)}_{n\geq0}} \) defined by \( {\mathcal{F}_0=\sigma(X_0)} \) and \( {\mathcal{F}_{n+1}=\sigma(X_0,\xi_1,\ldots,\xi_{n+1})} \). Indeed, by measurability and independence,

\[ \mathbb{E}(X_{n+1}\,|\,\mathcal{F}_n) =X_n+\mathbb{E}(\xi_{n+1}\,|\,\mathcal{F}_n) =X_n+\mathbb{E}(\xi_{n+1}) =X_n. \]

Dirichlet problem. For any bounded function \( {f:\mathbb{Z}^d\rightarrow\mathbb{R}} \) and any \( {x\in\mathbb{Z}^d} \),

\[ \mathbb{E}(f(X_{n+1})\,|\,X_n=x)-f(x) =(Pf)(x)-f(x) =(\Delta f)(x) \quad\mbox{where}\quad \Delta=P-I. \]

Here \( {I} \) is the identity operator \( {I(x,y)=\mathbf{1}_{\{x=y\}}} \). The operator

\[ \Delta =P-I \]

is the generator of the symmetric nearest neighbors random walk. It is a discrete Laplace operator, which computes the difference between the value at a point and the mean on its neighbors for the \( {\ell^1} \) distance:

\[ (\Delta f)(x) =\left\{\frac{1}{2d}\sum_{y:\left|y-x\right|_1=1}f(y)\right\}-f(x) =\frac{1}{2d}\sum_{y:\left|y-x\right|_1=1}(f(y)-f(x)). \]

We say that \( {f} \) is harmonic on \( {A\subset\mathbb{Z}^d} \) when \( {\Delta f=0} \) on \( {A} \), which means that on every point of \( {A} \), the value of \( {f} \) is equal to the mean of the values of \( {f} \) on the \( {2d} \) neighbors of \( {x} \). The operator \( {\Delta} \) is local in the sense that \( {(\Delta f)(x)} \) depends only on the value of \( {f} \) at \( {x} \) and its nearest neighbors. Consequently, the value of \( {\Delta f} \) on \( {A} \) depends only on the values of \( {f} \) on

\[ \bar{A}:=A\cup\partial\!A \]


\[ \partial\!A:=\{y\not\in A:\exists x\in A,\left|x-y\right|_1=1\} \]

is the exterior boundary of \( {A} \). In this context, the Dirichlet problem consists in finding a function which is harmonic on \( {A} \) and for which the value on \( {\partial\!A} \) is prescribed. This problem is actually a linear algebra problem for which the result below provides a probabilistic expression of the solution, based on the stopping time

\[ \tau_{\partial\!A}:=\inf\{n\geq0:X_n\in\partial\!A\}. \]

In Physics, the quantity \( {f(x)} \) models typically the temperature at location \( {x} \), while the harmonicity of \( {f} \) on \( {A} \) and the boundary condition on \( {\partial\!A} \) express the thermal equilibrium and a thermostatic boundary, respectively.

Theorem 1 (Dirichlet problem) Let \( {\varnothing\neq A\subset\mathbb{Z}^d} \) be finite. Then for any \( {x\in A} \),

\[ \mathbb{P}_x(\tau_{\partial\!A}<\infty)=1. \]

Moreover, for any \( {g:\partial\!A\rightarrow\mathbb{R}} \), the function \( {f:\bar{A}\rightarrow\mathbb{R}} \) defined for any \( {x\in\bar{A}} \) by

\[ f(x)=\mathbb{E}_x(g(X_{\tau_{\partial\!A}})) \]

is the unique solution of the system

\[ \left\{ \begin{array}{rl} f=g &\mbox{on } \partial\!A,\\ \Delta f=0&\mbox{on } A. \end{array} \right. \]

When \( {d=1} \) we recover the function which appears in the gambler ruin problem. Recall that the image of a Markov chain by a function which is harmonic for the generator of the chain is a martingale (discrete Itô formula !), and this explains a posteriori the probabilistic formula for the solution of the Dirichlet problem, thanks to the Doob optional stopping theorem.

The quantity \( {f(x)=\mathbb{E}_x(g(\tau_{\partial\!A}))=\sum_{y\in\partial\!A}g(y)\mathbb{P}_x(\tau_{\partial\!A}=y)} \) is the mean of \( {g} \) for the law \( {\mu_x} \) on \( {\partial\!A} \) called the harmonic measure defined for any \( {y\in\partial\!A} \) by

\[ \mu_x(y):=\mathbb{P}_x(X_{\tau_{\partial\!A}}=y) \]

Proof: The property \( {\mathbb{P}_x(\tau_{\partial\!A}<\infty)=1} \) follows from the Central Limit Theorem or by using conditioning which gives a geometric upper bound for the tail of \( {\tau_{\partial\!A}} \).

Let us check that the proposed function \( {f} \) is a solution. For any \( {x\in\partial\!A} \), we have \( {\tau_{\partial\!A}=0} \) on \( {\{X_0=x\}} \) and thus \( {f=g} \) on \( {\partial\!A} \). Let us show now that \( {\Delta f=0} \) on \( {A} \). We first reduce the problem by linearity to the case \( {g=\mathbf{1}_{\{z\}}} \) with \( {z\in\partial\!A} \). Next, we write, for any \( {y\in\bar{A}} \),

\[ \begin{array}{rcl} f(y) &=&\mathbb{P}_y(X_{\tau_{\partial\!A}}=z)\\ &=&\sum_{n=0}^\infty\mathbb{P}_y(X_n=z,\tau_{\partial\!A}=n)\\ &=&\mathbf{1}_{y=z}+\mathbf{1}_{y\in A}\sum_{n=1}^\infty\sum_{x_1,\ldots,x_{n-1}\in A}P(y,x_1)P(x_1,x_2)\cdots P(x_{n-1},z). \end{array} \]

On the other hand, since \( {f=0} \) on \( {\partial\!A\setminus\{z\}} \) and since \( {\Delta} \) is local, we have, for any \( {x\in A} \),

\[ (P f)(x) =\sum_{y\in\mathbb{Z}^d}P(x,y)f(y) =P(x,z)f(z)+\sum_{y\in A}P(x,y)f(y). \]

As a consequence, for any \( {x\in A} \),

\[ \begin{array}{rcl} (P f)(x) &=&P(x,z)f(z)+\sum_{n=1}^\infty\sum_{y,x_1,\ldots,x_{n-1}\in A} P(x,y)P(y,x_1)\cdots P(x_{n-1},z)\\ &=&P(x,z)f(z)+(f(x)-(\mathbf{1}_{x=z}+P(x,z))), \end{array} \]

which is equal to \( {f(x)} \) since \( {\mathbf{1}_{x=z}=0} \) and \( {f(z)=1} \). Hence \( {Pf=f} \) on \( {A} \), in other words \( {\Delta f=0} \) on \( {A} \).

To establish the uniqueness of the solution, we first reduce the problem by linearity to show that \( {f=0} \) is the unique solution when \( {g=0} \). Next, if \( {f:\bar{A}\rightarrow\mathbb{R}} \) is harmonic on \( {A} \), the interpretation of \( {\Delta f(x)} \) as a difference with the mean on the nearest neighbors allows to show that both the minimum and the maximum of \( {f} \) on \( {\bar{A}} \) are (at least) necessarily achieved on the boundary \( {\partial\!A} \). But since \( {f} \) is vanishes on \( {\partial\!A} \), it follows that \( {f} \) vanishes on \( {\bar{A}} \). ☐

Dirichlet problem and Green function. Here is a generalization of Theorem 1. When \( {h=0} \) we recover Theorem 1.

Theorem 2 (Dirichlet problem and Green function) If \( {\varnothing\neq A\subset\mathbb{Z}^d} \) is finite then for any \( {g:\partial\!A\rightarrow\mathbb{R}} \) and \( {h:A\rightarrow\mathbb{R}} \), the function \( {f:\bar{A}\rightarrow\mathbb{R}} \) defined for any \( {x\in\bar{A}} \) by

\[ f(x)=\mathbb{E}_x\left(g(X_{\tau_{\partial\!A}})+\sum_{n=0}^{\tau_{\partial\!A}-1}h(X_n)\right) \]

is the unique solution of

\[ \left\{ \begin{array}{rl} f=g&\mbox{on } \partial\!A,\\ \Delta f=-h&\mbox{on } A. \end{array} \right. \]

When \( {d=1} \) and \( {h=1} \) then we recover a function which appears in the analysis of the gambler ruin problem.

For any \( {x\in A} \) we have

\[ f(x) =\sum_{y\in\partial\!A}g(y)\mathbb{P}_x(\tau_{\partial\!A}=y)+\sum_{y\in A}h(y)G_A(x,y) \]

where \( {G_A(x,y)} \) is the average number of passages at \( {y} \) starting from \( {x} \) and before escaping from \( {A} \):

\[ G_A(x,y):=\mathbb{E}_x\left\{\sum_{n=0}^{\tau_{\partial\!A}-1}\mathbf{1}_{X_n=y}\right\} =\sum_{n=0}^\infty\mathbb{P}_x(X_n=y,n<\tau_{\partial\!A}). \]

We say that \( {G_A} \) is the Green function of the symmetric nearest neighbors random walk on \( {A} \) killed at the boundary \( {\partial\!A} \). It is the inverse of the restriction \( {-\Delta_A} \) of \( {-\Delta} \) to functions on \( {\bar{A}} \) vanishing on \( {\partial\!A} \):

\[ G_A=-\Delta_A^{-1}. \]

Indeed, when \( {g=0} \) and \( {h=\mathbf{1}_{\{y\}}} \) we get \( {f(x)=G_A(x,y)} \) and thus \( {\Delta_AG_A=-I_A} \).

Proof: Thanks to Theorem 1 it suffices by linearity to check that \( {f(x)=\mathbf{1}_{x\in A}G_A(x,z)} \) is a solution when \( {g=0} \) and \( {h=\mathbf{1}_{\{z\}}} \) with \( {z\in A} \). Now for any \( {x\in A} \),

\[ \begin{array}{rcl} f(x) &=&\mathbf{1}_{\{x=z\}}+\sum_{n=1}^\infty\mathbb{P}_x(X_n=z,n<\tau_{\partial\!A})\\ &=&\mathbf{1}_{\{x=z\}}+\sum_{y:\left|x-y\right|_1=1}\sum_{n=1}^\infty\mathbb{P}(X_n=z,n<\tau_{\partial\!A}\,|\,X_1=y)P(x,y)\\ &=&\mathbf{1}_{\{x=z\}}+\sum_{u:\left|x-y\right|_1=1}f(y)P(x,y) \end{array} \]

thanks to the Markov property. We have \( {f=h+Pf} \) on \( {A} \), in other words \( {\Delta f=-h} \) on \( {A} \). ☐

Beyond the symmetric nearest neighbors random walk. The proofs of Theorem 1 and Theorem 2 remain valid for asymmetric nearest neighbors random walks on \( {\mathbb{Z}^d} \), provided that we replace the generator \( {\Delta} \) of the symmetric nearest neighbors random walk by the generator \( {L:=P-I} \), which is still a local operator: \( {\left|x-y\right|>1\Rightarrow L(x,y)=P(x,y)=0} \). One may even go beyond this framework by adapting the notion of boundary: \( {\{y\not\in A:\exists x\in A, L(x,y)>0\}} \).

Gaussian free field. The Gaussian free field is model of Gaussian random interface for which the covariance matrix is the Green function of the discrete Laplace operator. More precisely, let \( {\varnothing\neq A\subset\mathbb{Z}^d} \) be a finite set. An interface is a height function \( {f:\bar{A}\rightarrow\mathbb{R}} \) which associates to each site \( {x\in\bar{A}} \) a height \( {f(x)} \), also called spin in the context of Statistical Physics. For simplicity, we impose a zero boundary condition: \( {f=0} \) on the boundary \( {\partial\!A} \) of \( {A} \).

Let \( {\mathcal{F}_A} \) be the set of interfaces \( {f} \) on \( {\bar{A}} \) vanishing at the boundary \( {\partial\!A} \), which can be identified with \( {\mathbb{R}^A} \). The energy \( {H_A(f)} \) of the interface \( {f\in\mathcal{F}_A} \) is defined by

\[ H_A(f)=\frac{1}{4d}\sum_{\substack{\{x,y\}\subset\bar{A}\\\left|x-y\right|_1=1}}(f(x)-f(y))^2, \]

where \( {f=0} \) on \( {\partial\!A} \). The flatter is the interface, the smaller is the energy \( {H_A(f)} \). Denoting \( {\left<u,v\right>_A:=\sum_{x\in A}u(x)v(x)} \), we get, for any \( {f\in\mathcal{F}_A} \),

\[ H_A(f) =\frac{1}{4d}\sum_{x\in A}\sum_{\substack{y\in\bar{A}\\\left|x-y\right|_1=1}}(f(x)-f(y))f(x) =\frac{1}{2}\left<-\Delta f,f\right>_A. \]

Since \( {H_A(0)=0} \) and \( {H_A(f)=0} \) give \( {f=0} \), the quadratic form \( {H_A} \) is not singular and we can define the Gaussian law \( {Q_A} \) on \( {\mathcal{F}_A} \) which favors low energies:

\[ Q_A(df)=\frac{1}{Z_A}e^{-H_A(f)}\,df \quad\mbox{where}\quad Z_A:=\int_{\mathcal{F}_A}\!e^{-H_A(f)}\,df. \]

This Gaussian law, called the Gaussian free field, is characterized by its mean \( {m_A:A\rightarrow\mathbb{R}} \) and its covariance matrix \( {C_A:A\times A\rightarrow\mathbb{R}} \), given for any \( {x,y\in A} \) by

\[ m_A(x):=\int\!f_x\,Q_A(df)=0 \]


\[ C_A(x,y):=\int\!f_xf_y\,Q_A(df)-m_A(x)m_A(y)=-\Delta_A^{-1}(x,y)=G_A(x,y), \]

where \( {f_x} \) denotes the coordinate map \( {f_x:f\in\mathcal{F}_A\mapsto f(x)\in\mathbb{R}} \).

Simulation of the Gaussian free field. The simulation of the Gaussian free field can be done provided that we know how to compute a square root of \( {G_A} \) in the sense of quadratic forms, using for instance a Cholesky factorization or diagonalization. Let us consider the square case:

\[ A=L(0,1)^d\cap\mathbb{Z}^d=\{1,\ldots,L-1\}^d. \]

This gives \( {\bar{A}=\{0,1,\ldots,L\}^d} \). In this case, one can compute the eigenvectors and eigenvalues of \( {\Delta_A} \) and deduce the ones of \( {G_A=-\Delta_A^{-1}} \). In fact, the continuous Laplace operator \( {\Delta} \) on \( {[0,1]^d\in\mathbb{R}^n} \), with Dirichlet boundary conditions, when defined on the Sobolev space \( {\mathrm{H}_0^2([0,1]^d)} \), is a symmetric operator with eigenvectors \( {\{e_n:n\in\{1,2,\ldots\}^d\}} \) and eigenvalues \( {\{\lambda_n:n\in\{1,2,\ldots\}^d\}} \) given by

\[ e_n(t):=2^{d/2}\prod_{i=1}^d\sin(\pi n_i t_i), \quad\mbox{and}\quad \lambda_n:=-\pi^2\left|n\right|_2^2 =-\pi^2(n_1^2+\cdots+n_d^2). \]

Similarly, the discrete Laplace operator \( {\Delta_A} \) with Dirichlet boundary conditions on this \( {A} \) has eigenvectors \( {\{e^L_n:n\in A\}} \) and eigenvalues \( {\{\lambda_n^L:n\in A\}} \) given for any \( {k\in A} \) by

\[ e^L_n(k):=e_n\left(\frac{k}{L}\right) \quad\mbox{and}\quad \lambda_n^L:=-2\,\sum_{i=1}^d \sin^2\left(\frac{\pi n_i}{2L}\right). \]

The vectors \( {e_n^L} \) vanish on the boundary \( {\partial\!A} \). It follows that for any \( {x,y\in A} \),

\[ \Delta_A(x,y)=\sum_{n\in A}\lambda_n^L\left<e^L_n,f_x\right>\left<e^L_n,f_y\right> =\sum_{n\in A}\lambda_n^L e^L_n(x)e^L_n(y) \]


\[ G_A(x,y)=-\sum_{n\in A}\left(\lambda_n^L\right)^{-1} e^L_n(x)e^L_n(y). \]

A possible matrix square root \( {\sqrt{G_A}} \) of \( {G_A} \) is given for any \( {x,y\in A} \) by

\[ \sqrt{G_A}(x,y)=-\sum_{n\in A}\left(\lambda_n^L\right)^{-1/2} e^L_n(x)e^L_n(y). \]

Now if \( {Z={(Z_y)}_{y\in A}} \) are independent and identically distributed Gaussian random variables with zero mean and unit variance, seen as a random vector of \( {\mathbb{R}^A} \), then the random vector

\[ \sqrt{G_A}Z = \left(\sum_{y\in A}\sqrt{G_A}(x,y)Z_y\right)_{x\in A} =\left(\sum_{y\in A}\sum_{n\in A}\left(-\lambda_n^L\right)^{-1/2}e_n^L(x)e_n^L(y)Z_y\right)_{x\in A} \]

is distributed according to the Gaussian free field \( {Q_A} \).

Continuous analogue. The scaling limit \( {\varepsilon\mathbb{Z}^d\rightarrow\mathbb{R}^d} \) leads to natural continuous objects (in time and space): the simple random walk becomes the standard Brownian Motion via the Central Limit Theorem, the discrete Laplace operator becomes the Laplace second order differential operator via a Taylor formula, while the discrete Gaussian free field becomes the continuous Gaussian free field (its covariance is the Green function of the Laplace operator). The continuous object are less elementary since their require much more analytic and probabilistic machinery, but in the mean time, they provide differential calculus, a tool which is problematic in discrete settings due in particular to the lack of chain rule.

Further reading.

Note. The probabilistic approach to the Dirichlet problem goes back at least to Shizuo Kakutani (1911 – 2004), who studied around 1944 the continuous version with Brownian Motion. This post is the English translation of an excerpt from a forthcoming book on stochastic models, written, in French, together with my old friend Florent Malrieu.

1D GFF simulated with Julia
1D GFF simulated with Julia
2D GFF simulated with Julia
2D GFF simulated with Julia
Johann Peter Gustav Lejeune Dirichlet (1805 - 1859) who probably never thought about random walks
Johann Peter Gustav Lejeune Dirichlet (1805 – 1859) who probably never thought about random walks and Gaussian fields
# load within julia using include("dirichlet.jl")
nx, ny = 25, 25
f = zeros(nx,ny)
f[1,:], f[nx,:], f[:,1], f[:,ny] = 2, 2, -2, -2
C = zeros(nx,ny)
N = 5000
for x = 1:nx
 for y = 1:ny
  for k = 1:N
   xx = x
   yy = y
   while ((xx > 1) && (xx < nx) && (yy > 1) && (yy < ny))
    b = rand(2)
    if (b[1] < .5)
     if (b[2] < .5)
      xx -= 1
      xx += 1
    elseif (b[2] < .5)
     yy -= 1
     yy += 1
   end # while
   C[x,y] += f[xx,yy]
  end # for k
 end # for y
end # for x
using Compose, Gadfly
draw(PNG("dirichlet.png", 10cm, 10cm), spy(C/N))
# load within julia using include("gff.jl")
Pkg.add("Gadfly") # produces "INFO: Nothing to be done." if already installed.
Pkg.add("Cairo") # idem.
#Pkg.add("PyPlot") # idem.
using Compose, Gadfly, Cairo # for 2D graphics
#using PyPlot # for 3D graphics (Gadfly does not provide 3D graphics)
# dimension 1
L = 500
Z = randn(L-1)
lambda = 2*sin(pi*[1:L-1]/(2*L)).^2
evec = sqrt(2)*sin(pi*kron([1:L-1],[1:L-1]')/L)
GFF1 = zeros(L-1)
for x = 1:L-1
    for y = 1:L-1
        for n = 1:L-1
            GFF1[x] += (lambda[n])^(-1/2)*evec[n,x]*evec[n,y]*Z[y]
# graphics ith Gadfly
p = plot(x = [1:L-1], y = GFF1,
draw(PNG("gff1.png", 10cm, 10cm), p)
# dimension 2
L = 20
Z = randn(L-1,L-1)
AUX = kron(ones(L-1)',[1:L-1])
lambda = 2*sin(pi*AUX/(2*L)).^2 + 2*sin(pi*AUX'/(2*L)).^2
evec = zeros(L-1,L-1,L-1,L-1) # n1,n2,k1,k2 : e_n^L(k)
for n1 = 1:L-1
 for n2 = 1:L-1
  AUX = kron(ones(L-1)',[1:L-1])
  evec[n1,n2,:,:] = reshape(2*sin(pi*n1*AUX/L).*sin(pi*n2*AUX'/L),(1,1,L-1,L-1))
GFF2 = zeros(L-1,L-1)
for x1 = 1:L-1
 for x2 = 1:L-1
  for y1 = 1:L-1
   for y2 = 1:L-1
    for n1 = 1:L-1
     for n2 = 1:L-1
      aux = (lambda[n1,n2])^(-1/2)
      aux *= evec[n1,n2,x1,x2]
      aux *= evec[n1,n2,y1,y2]
      aux *= Z[y1,y2]
      GFF2[x1,x2] += aux
# graphics with PyPlot
# graphics with Gadfly
draw(PNG("gff2.png", 10cm, 10cm), spy(GFF2))
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