Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics - Archive ouverte HAL
Article Dans Une Revue Numerische Mathematik Année : 2017

Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics

Résumé

The discretization of overdamped Langevin dynamics, through schemes such as the Euler-Maruyama method, may lead to numerical methods which are unstable when the forces are non-globally Lipschitz. One way to stabilize numerical schemes is to superimpose some acceptance/rejection rule, based on a Metropolis-Hastings criterion for instance. 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 stabilization of discretizations of overdamped Langevin dynamics 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 stabilization.

Dates et versions

hal-01153573 , version 1 (20-05-2015)

Identifiants

Citer

Max Fathi, Gabriel Stoltz. Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics. Numerische Mathematik, 2017, 136 (2), pp.545-602. ⟨10.1007/s00211-016-0849-3⟩. ⟨hal-01153573⟩
319 Consultations
0 Téléchargements

Altmetric

Partager

More