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  4. Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics
 
research article

Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics

Abdulle, Assyr  
•
Vilmart, Gilles  
•
Zygalakis, Konstantinos C.  
2015
SIAM Journal on Numerical Analysis

A new characterization of sufficient conditions for the Lie-Trotter splitting to cap- ture the numerical invariant measure of nonlinear ergodic Langevin dynamics up to an arbitrary order is discussed. Our characterization relies on backward error analysis and needs weaker assumptions than assumed so far in the literature. In particular, neither high weak order of the splitting scheme nor symplecticity are necessary to achieve high order approximation of the invariant measure of the Langevin dynamics. Numerical experiments confirm our theoretical findings.

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Type
research article
DOI
10.1137/140962644
Web of Science ID

WOS:000353844700001

Author(s)
Abdulle, Assyr  
Vilmart, Gilles  
Zygalakis, Konstantinos C.  
Date Issued

2015

Publisher

Siam Publications

Published in
SIAM Journal on Numerical Analysis
Volume

53

Issue

1

Start page

1

End page

16

Subjects

stochastic differential equations

•

splitting method

•

Langevin dynamics

•

modified differential equations

•

backward error analysis

•

invariant measure

Editorial or Peer reviewed

NON-REVIEWED

Written at

EPFL

EPFL units
ANMC  
Available on Infoscience
March 28, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/102264
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