A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
From MaRDI portal
Publication:419615
DOI10.1016/J.JCP.2011.12.007zbMATH Open1430.65003arXiv1010.4278OpenAlexW2093819642MaRDI QIDQ419615FDOQ419615
Authors: Nawaf Bou-Rabee, Eric Vanden-Eijnden 
Publication date: 18 May 2012
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: This paper proposes a simple strategy to simulate stochastic differential equations (SDE) arising in constant temperature molecular dynamics. The main idea is to patch an explicit integrator with Metropolis accept or reject steps. The resulting `Metropolized integrator' preserves the SDE's equilibrium distribution and is pathwise accurate on finite time intervals. As a corollary the integrator can be used to estimate finite-time dynamical properties along an infinitely long solution. The paper explains how to implement the patch (even in the presence of multiple-time-stepsizes and holonomic constraints), how it scales with system size, and how much overhead it requires. We test the integrator on a Lennard-Jones cluster of particles and `dumbbells' at constant temperature.
Full work available at URL: https://arxiv.org/abs/1010.4278
Recommendations
- A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
- On the stability of exponential integrators for non-diffusive equations
- Stability of partially implicit Langevin schemes and their MCMC variants
- A Lagrangian scheme for numerical evaluation of the noncausal stochastic integral
- Unconditionally stable schemes for non-stationary convection-diffusion equations
- Stability of the Lagrange-Galerkin method with non-exact integration
- Stable solvers for real-time complex Langevin
- scientific article; zbMATH DE number 1779217
- Conditional stability of Larkin methods with non-uniform grids
- Splitting integrators for the stochastic Landau-Lifshitz equation
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Cites Work
- GSHMC: An efficient method for molecular simulation
- Monte Carlo sampling methods using Markov chains and their applications
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Equation of state calculations by fast computing machines
- Rates of convergence of the Hastings and Metropolis algorithms
- Asynchronous variational integrators
- Multilevel Monte Carlo Path Simulation
- Title not available (Why is that?)
- Geometric Numerical Integration
- Title not available (Why is that?)
- The Andersen thermostat in molecular dynamics
- Theoretical and numerical comparison of some sampling methods for molecular dynamics
- Simulating Hamiltonian Dynamics
- Stochastic variational integrators
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Title not available (Why is that?)
- Long-run accuracy of variational integrators in the stochastic context
- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
- A comparison of generalized hybrid Monte Carlo methods with and without momentum flip
- Cost of the generalised hybrid Monte Carlo algorithm for free field theory
- Title not available (Why is that?)
- Symplectic numerical integrators in constrained Hamiltonian systems
- A gentle stochastic thermostat for molecular dynamics
- Thermostats for ``slow configurational modes
- On the rate of convergence to equilibrium of the Andersen thermostat in molecular dynamics
- An ergodic sampling scheme for constrained Hamiltonian systems with applications to molecular dynamics
- Pathwise accuracy and ergodicity of metropolized integrators for SDEs
- Verlet-I/R-RESPA/Impulse is Limited by Nonlinear Instabilities
- Stability of asynchronous variational integrators
Cited In (13)
- Fast randomized iteration: diffusion Monte Carlo through the Lens of numerical linear algebra
- Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- High-dimensional MCMC with a standard splitting scheme for the underdamped Langevin diffusion
- Multiscale modelling and splitting approaches for fluids composed of Coulomb-interacting particles
- Reflection couplings and contraction rates for diffusions
- A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
- Error analysis of the transport properties of metropolized schemes
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Partial differential equations and stochastic methods in molecular dynamics
- On Irreversible Metropolis Sampling Related to Langevin Dynamics
- A function space HMC algorithm with second order Langevin diffusion limit
- Geometric integrators and the Hamiltonian Monte Carlo method
Uses Software
This page was built for publication: A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419615)
