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- Nawaf Bou-Rabee
- 2007

This paper presents a Lie–Trotter splitting for inertial Langevin equations (geometric Langevin algorithm) and analyzes its long-time statistical properties. The splitting is defined as a composition of a variational integrator with an Ornstein–Uhlenbeck flow. Assuming that the exact solution and the splitting are geometrically ergodic, the paper proves the… (More)

Metropolized integrators for ergodic stochastic differential equations (SDEs) are proposed that (1) are ergodic with respect to the (known) equilibrium distribution of the SDEs and (2) approximate pathwise the solutions of the SDEs on finite-time intervals. Both these properties are demonstrated in the paper, and precise strong error estimates are obtained.… (More)

In this paper, structure-preserving time-integrators for rigid body-type mechanical systems are derived from a discrete Hamilton–Pontryagin variational principle. From this principle, one can derive a novel class of variational partitioned Runge– Kutta methods on Lie groups. Included among these integrators are generalizations of symplectic Euler and… (More)

This note is to point out an error in the theory part of the publication [1]. We will follow the notations and definitions of [1] unless stated otherwise. Contrary to what is claimed in Section 2.2 of [1], the modified Metropolis-Hastings acceptance criterion (eqn. (6) in [1]) does not satisfy a modified detailed balance condition for the choice of a linear… (More)

- Nawaf Bou-Rabee
- 2008

This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds, akin to the Ornstein–Uhlenbeck theory of Brownian motion in a force field. The main result is to derive governing SDEs for such systems from a critical point of a stochastic action. Using this result, the paper derives Langevin-type equations for… (More)

By treating tippe top inversion as a dissipation-induced instability, we explain tippe top inversion through a system we call the modified Maxwell–Bloch equations. We revisit previous work done on this problem and follow Or's mathematical model [SIAM J. A linear analysis of the equations of motion reveals that only the equilibrium points correspond to the… (More)

Keywords: Molecular dynamics Metropolis–Hastings Verlet RATTLE RESPA a b s t r a c t This paper extends the results in [8] to stochastic differential equations (SDEs) arising in molecular dynamics. It implements a patch to explicit integrators that consists of a Metropolis–Hastings step. The 'patched integrator' preserves the SDE's equilibrium distribution… (More)

The motion of a spherical pendulum is characterized by the fact that all trajectories are relative periodic orbits with respect to its circle group of symmetry (invariance by rotations around the vertical axis). When the rotational symmetry is broken by some mechanical effect, more complicated, possibly chaotic behavior is expected. When, in particular, the… (More)

This paper introduces a geometric method for proving ergodicity of degenerate noise driven stochastic processes. The driving noise is assumed to be an arbitrary Levy process with non-degenerate diffusion component (but that may be applied to a single degree of freedom of the system). The geometric conditions are the approximate controllability of the… (More)