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Error analysis of the transport properties of Metropolized schemes

Abstract : In this work, we are interested in the numerical computation of transport coefficients of Brownian dynamics. We investigate the discretization error arising when we simulate the dynamics using the Smart MC algorithm (also known as Metropolis-adjusted Langevin algorithm). We prove that the error is of order one as the time step goes to zero, when using either the Green-Kubo or the Einstein formula to estimate the transport coefficients. We illustrate our results with numerical simulations.
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https://hal.archives-ouvertes.fr/hal-00952768
Contributor : Gabriel Stoltz <>
Submitted on : Thursday, February 27, 2014 - 2:38:04 PM
Last modification on : Saturday, March 28, 2020 - 2:12:51 AM

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Max Fathi, Ahmed-Amine Homman, Gabriel Stoltz. Error analysis of the transport properties of Metropolized schemes. ESAIM: Proceedings and Surveys, EDP Sciences, 2015, 48, pp.341-363. ⟨10.1051/proc/201448016⟩. ⟨hal-00952768⟩

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