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.

Keywords: Constrained stochastic differential equations, Manifolds, Invariant measure, Ergodicity, Exotic aromatic B-series, Order conditions

Publication date

30/01/2023

Retention date28/01/2033

Access levelPublic

SensitivityBlue

Contract on the use of data

Contributors

Files

Vilmart Group - Math

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

2023

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

Public 4.3 MB

Vilmart Group - Math

PIROCK: A swiss-knife integrator for stiff diffusion-advection-reaction-noise problems

2023

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

Public 23.0 KB