Efficient Langevin sampling with position-dependent diffusion
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866917887008047104 |
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| author | Bronasco, Eugen Leimkuhler, Benedict Phillips, Dominic Vilmart, Gilles |
| author_facet | Bronasco, Eugen Leimkuhler, Benedict Phillips, Dominic Vilmart, Gilles |
| contents | We introduce a numerical method for Brownian dynamics with position dependent diffusion tensor which is second order accurate for sampling the invariant measure while requiring only one force evaluation per timestep. Analysis of the sampling bias is performed using the algebraic framework of exotic aromatic Butcher-series. Numerical experiments confirm the theoretical order of convergence and illustrate the efficiency of the new method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_02943 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Efficient Langevin sampling with position-dependent diffusion Bronasco, Eugen Leimkuhler, Benedict Phillips, Dominic Vilmart, Gilles Numerical Analysis 60H35, 37M25, 65L06, 41A58, 05C05 We introduce a numerical method for Brownian dynamics with position dependent diffusion tensor which is second order accurate for sampling the invariant measure while requiring only one force evaluation per timestep. Analysis of the sampling bias is performed using the algebraic framework of exotic aromatic Butcher-series. Numerical experiments confirm the theoretical order of convergence and illustrate the efficiency of the new method. |
| title | Efficient Langevin sampling with position-dependent diffusion |
| topic | Numerical Analysis 60H35, 37M25, 65L06, 41A58, 05C05 |
| url | https://arxiv.org/abs/2501.02943 |