893 research outputs found
Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position
Impulse methods are generalized to a family of integrators for Langevin
systems with quadratic stiff potentials and arbitrary soft potentials. Uniform
error bounds (independent from stiff parameters) are obtained on integrated
positions allowing for coarse integration steps. The resulting integrators are
explicit and structure preserving (quasi-symplectic for Langevin systems)
Quasi symplectic integrators for stochastic differential equations
Two specialized algorithms for the numerical integration of the equations of
motion of a Brownian walker obeying detailed balance are introduced. The
algorithms become symplectic in the appropriate limits, and reproduce the
equilibrium distributions to some higher order in the integration time step.
Comparisons with other existing integration schemes are carried out both for
static and dynamical quantities.Comment: 7 pages, revtex, 6 eps figure
Non-intrusive and structure preserving multiscale integration of stiff ODEs, SDEs and Hamiltonian systems with hidden slow dynamics via flow averaging
We introduce a new class of integrators for stiff ODEs as well as SDEs. These
integrators are (i) {\it Multiscale}: they are based on flow averaging and so
do not fully resolve the fast variables and have a computational cost
determined by slow variables (ii) {\it Versatile}: the method is based on
averaging the flows of the given dynamical system (which may have hidden slow
and fast processes) instead of averaging the instantaneous drift of assumed
separated slow and fast processes. This bypasses the need for identifying
explicitly (or numerically) the slow or fast variables (iii) {\it
Nonintrusive}: A pre-existing numerical scheme resolving the microscopic time
scale can be used as a black box and easily turned into one of the integrators
in this paper by turning the large coefficients on over a microscopic timescale
and off during a mesoscopic timescale (iv) {\it Convergent over two scales}:
strongly over slow processes and in the sense of measures over fast ones. We
introduce the related notion of two-scale flow convergence and analyze the
convergence of these integrators under the induced topology (v) {\it Structure
preserving}: for stiff Hamiltonian systems (possibly on manifolds), they can be
made to be symplectic, time-reversible, and symmetry preserving (symmetries are
group actions that leave the system invariant) in all variables. They are
explicit and applicable to arbitrary stiff potentials (that need not be
quadratic). Their application to the Fermi-Pasta-Ulam problems shows accuracy
and stability over four orders of magnitude of time scales. For stiff Langevin
equations, they are symmetry preserving, time-reversible and Boltzmann-Gibbs
reversible, quasi-symplectic on all variables and conformally symplectic with
isotropic friction.Comment: 69 pages, 21 figure
Stochastic Variational Integrators
This paper presents a continuous and discrete Lagrangian theory for
stochastic Hamiltonian systems on manifolds. The main result is to derive
stochastic governing equations for such systems from a critical point of a
stochastic action. Using this result the paper derives Langevin-type equations
for constrained mechanical systems and implements a stochastic analog of
Lagrangian reduction. These are easy consequences of the fact that the
stochastic action is intrinsically defined. Stochastic variational integrators
(SVIs) are developed using a discretized stochastic variational principle. The
paper shows that the discrete flow of an SVI is a.s. symplectic and in the
presence of symmetry a.s. momentum-map preserving. A first-order mean-square
convergent SVI for mechanical systems on Lie groups is introduced. As an
application of the theory, SVIs are exhibited for multiple, randomly forced and
torqued rigid-bodies interacting via a potential.Comment: 21 pages, 8 figure
New Langevin and Gradient Thermostats for Rigid Body Dynamics
We introduce two new thermostats, one of Langevin type and one of gradient
(Brownian) type, for rigid body dynamics. We formulate rotation using the
quaternion representation of angular coordinates; both thermostats preserve the
unit length of quaternions. The Langevin thermostat also ensures that the
conjugate angular momenta stay within the tangent space of the quaternion
coordinates, as required by the Hamiltonian dynamics of rigid bodies. We have
constructed three geometric numerical integrators for the Langevin thermostat
and one for the gradient thermostat. The numerical integrators reflect key
properties of the thermostats themselves. Namely, they all preserve the unit
length of quaternions, automatically, without the need of a projection onto the
unit sphere. The Langevin integrators also ensure that the angular momenta
remain within the tangent space of the quaternion coordinates. The Langevin
integrators are quasi-symplectic and of weak order two. The numerical method
for the gradient thermostat is of weak order one. Its construction exploits
ideas of Lie-group type integrators for differential equations on manifolds. We
numerically compare the discretization errors of the Langevin integrators, as
well as the efficiency of the gradient integrator compared to the Langevin ones
when used in the simulation of rigid TIP4P water model with smoothly truncated
electrostatic interactions. We observe that the gradient integrator is
computationally less efficient than the Langevin integrators. We also compare
the relative accuracy of the Langevin integrators in evaluating various static
quantities and give recommendations as to the choice of an appropriate
integrator.Comment: 16 pages, 4 figure
From efficient symplectic exponentiation of matrices to symplectic integration of high-dimensional Hamiltonian systems with slowly varying quadratic stiff potentials
We present a multiscale integrator for Hamiltonian systems with slowly
varying quadratic stiff potentials that uses coarse timesteps (analogous to
what the impulse method uses for constant quadratic stiff potentials). This
method is based on the highly-non-trivial introduction of two efficient
symplectic schemes for exponentiations of matrices that only require O(n)
matrix multiplications operations at each coarse time step for a preset small
number n. The proposed integrator is shown to be (i) uniformly convergent on
positions; (ii) symplectic in both slow and fast variables; (iii) well adapted
to high dimensional systems. Our framework also provides a general method for
iteratively exponentiating a slowly varying sequence of (possibly high
dimensional) matrices in an efficient way
- …