Long-run accuracy of variational integrators in the stochastic context

Nawaf Bou-Rabee, Houman Owhadi

Research output: Contribution to journalArticlepeer-review

77 Scopus citations

Abstract

This paper presents a Lie-Trotter splitting for inertial Langevin equations (geometric Langevin algorithm) and analyzes its long-time statistical properties. The splitting is defined as a composition of a variational integrator with an Ornstein-Uhlenbeck flow. Assuming that the exact solution and the splitting are geometrically ergodic, the paper proves the discrete invariant measure of the splitting approximates the invariant measure of inertial Langevin equations to within the accuracy of the variational integrator in representing the Hamiltonian. In particular, if the variational integrator admits no energy error, then the method samples the invariant measure of inertial Langevin equations without error. Numerical validation is provided using explicit variational integrators with first-, second-, and fourth-order accuracy.

Original languageEnglish (US)
Pages (from-to)278-297
Number of pages20
JournalSIAM Journal on Numerical Analysis
Volume48
Issue number1
DOIs
StatePublished - 2010

All Science Journal Classification (ASJC) codes

  • Numerical Analysis
  • Computational Mathematics
  • Applied Mathematics

Keywords

  • Boltzmann-Gibbs measure
  • Geometric ergodicty
  • Langevin equations
  • Lie-Trotter splitting
  • Ornstein-Uhlenbeck equations
  • Variational integrators

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