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

Related Items (24)

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 ⋮ Metropolis Integration Schemes for Self-Adjoint Diffusions

Uses Software

• GSHMC

Cites Work

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