A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics

The numerical methods are described in: Adrien Laurent, A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics, SIAM J. Sci. Comput. 44 (2022), no. 5, A3217-A3243 https://doi.org/10.1137/21M1455188 Content: - Julia implementation of the algorithm, - Output of the code for figures in the above research paper. - Matlab scripts for visualization. Version: August 10, 2022

Keywords: Constrained stochastic differential equations, Penalized Langevin dynamics, Manifolds, Uniform accuracy, Invariant measure

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31/01/2023

Retention date28/01/2033

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