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
    MIT License
    Constrained stochastic differential equations, Manifolds, Invariant measure, Ergodicity, Exotic aromatic B-series, Order conditions
Publication date30/01/2023
Retention date28/01/2033
accessLevelPublicAccess levelPublic
duaNoneContract on the use of data
  • Laurent, Adrien
  • Vilmart, Gilles orcid
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