Adaptive stepsize algorithms for Langevin dynamics
type: Item
instance of: scholarly article
title: Adaptive stepsize algorithms for Langevin dynamics
author: Alain Leroy
author: Benedict Leimkuhler
author: Jonas Latz
author: Desmond J. Higham
published in: SIAM Journal on Scientific Computing
publication date: 2024-11-14T00:00:00Z
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 7944249
zbMATH Keywords: adaptivity
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: timestepping
zbMATH Keywords: equilibrium sampling
MaRDI profile type: Publication
cites work: Importance sampling: intrinsic dimension and computational cost
cites work: A fluctuating boundary integral method for Brownian suspensions
cites work: Long-Run Accuracy of Variational Integrators in the Stochastic Context
cites work: A Variable Stepsize Implementation for Stochastic Differential Equations
cites work: Variance reduction using nonreversible Langevin samplers
cites work: Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
cites work: Q5480569
cites work: Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
cites work: Geometric Numerical Integration
cites work: Hypoelliptic second order differential equations
cites work: The Adaptive Verlet Method
cites work: Moving Mesh Partial Differential Equations (MMPDES) Based on the Equidistribution Principle
cites work: Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
cites work: Adaptive time-stepping strategies for nonlinear stochastic systems
cites work: An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
cites work: Rational Construction of Stochastic Numerical Methods for Molecular Sampling
cites work: Molecular dynamics. With deterministic and stochastic numerical methods
cites work: The computation of averages from equilibrium and nonequilibrium Langevin molecular dynamics
cites work: Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
cites work: Partial differential equations and stochastic methods in molecular dynamics
cites work: An adaptive scheme for the approximation of dissipative systems
cites work: The truncated Euler-Maruyama method for stochastic differential equations
cites work: A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
cites work: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
cites work: Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations
cites work: Step size control in the numerical solution of stochastic differential equations
cites work: An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
cites work: Computing ergodic limits for Langevin equations
cites work: An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
cites work: Q5491447
cites work: Stochastic differential equations. An introduction with applications.
cites work: Stochastic Processes and Applications
cites work: Langevin diffusions and Metropolis-Hastings algorithms
cites work: Exponential convergence of Langevin distributions and their discrete approximations
cites work: Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
cites work: An adaptive discretization algorithm for the weak approximation of stochastic differential equations
cites work: A note on tamed Euler approximations
cites work: Horseshoe Priors for Edge-Preserving Linear Bayesian Inversion
cites work: A variable step-size control algorithm for the weak approximation of stochastic differential equations
cites work: Q3515107
DOI: 10.1137/24M1658590
description: scientific article; zbMATH DE number 7944249