Pathwise accuracy and ergodicity of metropolized integrators for SDEs

DOI10.1002/cpa.20306zbMath1214.60031arXiv0905.4218MaRDI 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 dynamics; inertial Langevin dynamics; metropolized integrator

Mathematics Subject Classification ID

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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

Uses Software

• GSHMC

Cites Work

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