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arXiv · 1010.4278

A patch that imparts unconditional stability to certain explicit integrators for SDEs

Nawaf Bou-Rabee·Eric Vanden-Eijnden
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Abstract

This paper proposes a simple strategy to simulate stochastic differential equations (SDE) arising in constant temperature molecular dynamics. The main idea is to patch an explicit integrator with Metropolis accept or reject steps. The resulting `Metropolized integrator' preserves the SDE's equilibrium distribution and is pathwise accurate on finite time intervals. As a corollary the integrator can be used to estimate finite-time dynamical properties along an infinitely long solution. The paper explains how to implement the patch (even in the presence of multiple-time-stepsizes and holonomic constraints), how it scales with system size, and how much overhead it requires. We test the integrator on a Lennard-Jones cluster of particles and `dumbbells' at constant temperature.

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Nawaf Bou-Rabee, Eric Vanden-Eijnden. 2010-10-20. A patch that imparts unconditional stability to certain explicit integrators for SDEs. https://arxiv.org/abs/1010.4278

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