Metropolis integration schemes for self-adjoint diffusions

DOI10.1137/130937470zbMATH Open1315.65006arXiv1309.5037OpenAlexW2032116918MaRDI QIDQ5250352FDOQ5250352

Authors: Nawaf Bou-Rabee, Aleksandar Donev, Eric Vanden-Eijnden 

Publication date: 19 May 2015

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Abstract: We present explicit methods for simulating diffusions whose generator is self-adjoint with respect to a known (but possibly not normalizable) density. These methods exploit this property and combine an optimized Runge-Kutta algorithm with a Metropolis-Hastings Monte-Carlo scheme. The resulting numerical integration scheme is shown to be weakly accurate at finite noise and to gain higher order accuracy in the small noise limit. It also permits to avoid computing explicitly certain terms in the equation, such as the divergence of the mobility tensor, which can be tedious to calculate. Finally, the scheme is shown to be ergodic with respect to the exact equilibrium probability distribution of the diffusion when it exists. These results are illustrated on several examples including a Brownian dynamics simulation of DNA in a solvent. In this example, the proposed scheme is able to accurately compute dynamics at time step sizes that are an order of magnitude (or more) larger than those permitted with commonly used explicit predictor-corrector schemes.

Full work available at URL: https://arxiv.org/abs/1309.5037

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zbMATH Keywords

ergodicityMetropolis-Hastings algorithmdiffusionfluctuation-dissipation theoremRunge-Kutta algorithmpredictor-corrector schemesMonte Carlo schemesmall noise limitBrownian dynamics with hydrodynamic interactionsDNA simulationsexplicit integrators

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (8)

• Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
• Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics
• Error analysis of the transport properties of Metropolized schemes
• SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
• Geometric Integration of Measure-Preserving Flows for Sampling
• Geometric integrators and the Hamiltonian Monte Carlo method
• Ensemble preconditioning for Markov chain Monte Carlo simulation
• Title not available (Why is that?)

Uses Software

• GSHMC

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