Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations

DOI10.1137/17M1145859zbMATH Open1392.65013arXiv1708.08145OpenAlexW3104981171WikidataQ129626470 ScholiaQ129626470MaRDI QIDQ3176253FDOQ3176253

Authors: Assyr Abdulle, Ibrahim Almuslimani, Gilles Vilmart 

Publication date: 19 July 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: A new explicit stabilized scheme of weak order one for stiff and ergodic stochastic differential equations (SDEs) is introduced. In the absence of noise, the new method coincides with the classical deterministic stabilized scheme (or Chebyshev method) for diffusion dominated advection-diffusion problems and it inherits its optimal stability domain size that grows quadratically with the number of internal stages of the method. For mean-square stable stiff stochastic problems, the scheme has an optimal extended mean-square stability domain that grows at the same quadratic rate as the deterministic stability domain size in contrast to known existing methods for stiff SDEs [A. Abdulle and T. Li. Commun. Math. Sci., 6(4), 2008, A. Abdulle, G. Vilmart, and K. C. Zygalakis, SIAM J. Sci. Comput., 35(4), 2013]. Combined with postprocessing techniques, the new methods achieve a convergence rate of order two for sampling the invariant measure of a class of ergodic SDEs, achieving a stabilized version of the non-Markovian scheme introduced in [B. Leimkuhler, C. Matthews, and M. V. Tretyakov, Proc. R. Soc. A, 470, 2014].

Full work available at URL: https://arxiv.org/abs/1708.08145

Recommendations

• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• Stabilized methods for stiff stochastic systems
• High weak order methods for stochastic differential equations based on modified equations
• Explicit stabilized multirate method for stiff stochastic differential equations
• Explicit methods for stiff stochastic differential equations

zbMATH Keywords

ergodicityinvariant measurestabilized methodspostprocessorexplicit stochastic methodsorthogonal Runge-Kutta ChebyshevPSK-ROCKSK-ROCK

Mathematics Subject Classification ID

Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Title not available (Why is that?)
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Title not available (Why is that?)
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• S-ROCK methods for stiff Itô SDEs
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Fourth order Chebyshev methods with recurrence relation
• On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
• Second order Chebyshev methods based on orthogonal polynomials
• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Rational construction of stochastic numerical methods for molecular sampling
• Title not available (Why is that?)
• Explicit Runge-Kutta methods for parabolic partial differential equations
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• The roughness and smoothness of numerical solutions to the stochastic heat equation
• Title not available (Why is that?)
• High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
• Postprocessed integrators for the high order integration of ergodic SDEs

Cited In (20)

• Efficient Bayesian Computation for Low-Photon Imaging Problems
• Explicit stabilised gradient descent for faster strongly convex optimisation
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Accelerated Bayesian imaging by relaxed proximal-point Langevin sampling
• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• Mixed-precision explicit stabilized Runge-Kutta methods for single- and multi-scale differential equations
• A fully adaptive explicit stabilized integrator for advection-diffusion-reaction problems
• Explicit stabilized multirate method for stiff stochastic differential equations
• Stable strong order 1.0 schemes for solving stochastic ordinary differential 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
• The Split Gibbs Sampler Revisited: Improvements to Its Algorithmic Structure and Augmented Target Distribution
• Explicit Stabilized Integrators for Stiff Optimal Control Problems
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations
• Optimal explicit stabilized postprocessed \(\tau\)-leap method for the simulation of chemical kinetics
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Conservative stabilized Runge-Kutta methods for the Vlasov-Fokker-Planck equation
• Geometric numerical integration. Abstracts from the workshop held March 28 -- April 3, 2021 (hybrid meeting)
• Accelerating Proximal Markov Chain Monte Carlo by Using an Explicit Stabilized Method

Uses Software

• RKC
• RODAS
• S-ROCK

This page was built for publication: Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3176253)