High order integrators for sampling the invariant measure of constrained overdamped Langevin dynamics

The numerical methods are described in: Adrien Laurent, Gilles Vilmart, Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds, Found. Comput. Math. 22, 649–695 (2022) https://doi.org/10.1007/s10208-021-09495-y Content: - Julia implementation of the algorithm, - Output of the code for figures in the above research paper. - Matlab scripts for visualization. Version: August 10, 2021.

    Organizational unit
    Vilmart Group - Math
    Type
    Dataset
    DOI
    10.26037/yareta:p764vsxi3vfcbnufaly2axyrka
    License
    MIT License
    Keywords
    Constrained stochastic differential equations, Manifolds, Invariant measure, Ergodicity, Exotic aromatic B-series, Order conditions
Publication date30/01/2023
Retention date28/01/2033
accessLevelPublicAccess levelPublic
SensitivityBlue
duaNoneContract on the use of data
Contributors
  • Laurent, Adrien
  • Vilmart, Gilles orcid
15
0
  • Quality (0 Reviews)
  • Usefulness (0 Reviews)

Datacite metadata

Packages information

Similar archives

Vilmart Group - Math
A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
2023 accessLevelPublic Public 11.1 MB
Vilmart Group - Math
Multirevolution integrators for SDEs with fast stochastic oscillations and the nonlinear Schrödinger equation with fast white noise dispersion
2023 accessLevelPublic Public 4.3 MB
Vilmart Group - Math
PIROCK: A swiss-knife integrator for stiff diffusion-advection-reaction-noise problems
2023 accessLevelPublic Public 99.0 KB
Vilmart Group - Math
SK-ROCK: Optimal explicit stabilized integrator of weak order one for stiff and ergodic Itô stochastic differential equations
2023 accessLevelPublic Public 23.0 KB
All rights reserved by DLCM and the University of GenevaunigeBlack