A patch that imparts unconditional stability to explicit integrators for Langevin-like equations

DOI10.1016/J.JCP.2011.12.007MaRDI QIDQ419615zbMATH OpenOpenAlexFDO

Authors Nawaf Bou-Rabee, Eric Vanden-Eijnden

Publication date 18 May 2012

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.4278

zbMATH Keywords

molecular dynamicsmetropolis-HastingsRATTLERESPAVerlet

Mathematics Subject Classification ID

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)

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.

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Cited in

(13)

• Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics
• Fast randomized iteration: diffusion Monte Carlo through the Lens of numerical linear algebra
• 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

Describes a project that uses

Uses Software

• GSHMC

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