Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics

Abstract : 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.
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Numerische Mathematik, Springer Verlag, 2016, 136 (2), pp.545-602. 〈10.1007/s00211-016-0849-3〉
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Contributeur : Gabriel Stoltz <>
Soumis le : mercredi 20 mai 2015 - 08:48:38
Dernière modification le : vendredi 15 septembre 2017 - 01:09:52

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M. Fathi, G. Stoltz. Improving dynamical properties of metropolized discretizations of overdamped Langevin dynamics. Numerische Mathematik, Springer Verlag, 2016, 136 (2), pp.545-602. 〈10.1007/s00211-016-0849-3〉. 〈hal-01153573〉

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