Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics

DOI10.1007/S00211-016-0849-3zbMATH Open1458.65007arXiv1505.04905OpenAlexW2963092257MaRDI QIDQ530090FDOQ530090

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 9 June 2017

Published in: Numerische Mathematik (Search for Journal in Brave)

Abstract: The discretization of overdamped Langevin dynamics, through schemes such as the Euler-Maruyama method, can be corrected by some acceptance/rejection rule, based on a Metropolis-Hastings criterion for instance. In this case, the invariant measure sampled by the Markov chain is exactly the Boltzmann-Gibbs measure. However, rejections perturb the dynamical consistency of the resulting numerical method with the reference dynamics. We present in this work some modifications of the standard correction of discretizations of overdamped Langevin dynamics on compact spaces by a Metropolis-Hastings procedure, which allow us to either improve the strong order of the numerical method, or to decrease the bias in the estimation of transport coefficients characterizing the effective dynamical behavior of the dynamics. For the latter approach, we rely on modified numerical schemes together with a Barker rule for the acceptance/rejection criterion.

Full work available at URL: https://arxiv.org/abs/1505.04905

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zbMATH Keywords

stochastic differential equationLangevin dynamicsEuler-Maruyama discretizationstrong error estimates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Transport processes in time-dependent statistical mechanics (82C70)

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Cited In (10)

• Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states
• A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
• Error analysis of the transport properties of metropolized schemes
• Extending the Regime of Linear Response with Synthetic Forcings
• Manifold learning for accelerating coarse-grained optimization
• More on the long time stability of Feynman-Kac semigroups
• Estimating the speed-up of adaptively restrained Langevin dynamics
• Error estimates on ergodic properties of discretized Feynman-Kac semigroups
• Pathwise accuracy and ergodicity of metropolized integrators for SDEs
• Langevin dynamics with general kinetic energies

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