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CSM

Seminar

Near Boltzmann-Gibbs measure preserving stochastic variational integrator

Bou-Rabee, N (California Institute)
Friday 28 March 2008, 10:05-10:35

Seminar Room 1, Newton Institute

Abstract

This talk presents an explicit, structure-preserving probablistic numerical integrator for Langevin systems, and an efficient, structure-preserving integrator for Langevin systems with holonomic constraints. In a nut-shell, the method does for the Boltzmann-Gibbs measure what symplectic integrators do for energy. More precisely, we prove the method very nearly preserves the Boltzmann-Gibbs measure. As a consequence of its variational design, the algorithm also exactly preserves the symplectic area change associated to Langevin processes. The method with supporting theory enables one to take time-step sizes and friction factors at the limit of stability of the integration scheme (e.g., the time-step size must be smaller than the fastest characteristic frequency in the system).

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