Pathwise accuracy and ergodicity of metropolized integrators for SDEs

DOI10.1002/CPA.20306zbMath1214.60031arXiv0905.4218OpenAlexW3099132653MaRDI QIDQ3550768

Eric Vanden-Eijnden, Nawaf Bou-Rabee

Publication date: 6 April 2010

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.4218

zbMATH Keywords

overdamped Langevin dynamicsinertial Langevin dynamicsmetropolized integrator

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (25)

Derivative-Free Bayesian Inversion Using Multiscale Dynamics ⋮ Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity ⋮ Ensemble Inference Methods for Models With Noisy and Expensive Likelihoods ⋮ On Irreversible Metropolis Sampling Related to Langevin Dynamics ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ A patch that imparts unconditional stability to explicit integrators for Langevin-like equations ⋮ Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme ⋮ Ensemble preconditioning for Markov chain Monte Carlo simulation ⋮ Diffusion limits of the random walk Metropolis algorithm in high dimensions ⋮ Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients ⋮ Error bounds for Metropolis-Hastings algorithms applied to perturbations of Gaussian measures in high dimensions ⋮ Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion ⋮ SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations ⋮ Langevin Dynamics With General Kinetic Energies ⋮ Random Batch Algorithms for Quantum Monte Carlo Simulations ⋮ Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics ⋮ Error analysis of the transport properties of Metropolized schemes ⋮ The tamed unadjusted Langevin algorithm ⋮ A function space HMC algorithm with second order Langevin diffusion limit ⋮ Deterministic Mean-Field Ensemble Kalman Filtering ⋮ Geometric integrators and the Hamiltonian Monte Carlo method ⋮ Hybrid Monte Carlo methods for sampling probability measures on submanifolds ⋮ Weak backward error analysis for overdamped Langevin processes ⋮ Metropolis Integration Schemes for Self-Adjoint Diffusions

Uses Software

• Unnamed Item

Cites Work

• Unnamed Item
• Calculating effective diffusivities in the limit of vanishing molecular diffusion
• Exponential convergence of Langevin distributions and their discrete approximations
• Asynchronous variational integrators
• Invariant measures for Burgers equation with stochastic forcing
• Geometric ergodicity of Metropolis algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Rates of convergence of the Hastings and Metropolis algorithms
• Mechanical integrators derived from a discrete variational principle
• A stochastic Trotter integration scheme for dissipative particle dynamics
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• General Irreducible Markov Chains and Non-Negative Operators
• Discrete mechanics and variational integrators
• Ergodicity of Langevin Processes with Degenerate Diffusion in Momentums
• Markov Chains and Stochastic Stability
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Splitting for Dissipative Particle Dynamics
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
• Monte Carlo sampling methods using Markov chains and their applications
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Expansion of the global error for numerical schemes solving stochastic differential equations

This page was built for publication: Pathwise accuracy and ergodicity of metropolized integrators for SDEs