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- Nawaf Bou-Rabee, Abdullah Yusuf Ali, +5 authors Tom Hou
- 2007

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)

- Nawaf Bou-Rabee, Jerrold E. Marsden
- Foundations of Computational Mathematics
- 2009

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)

- Nawaf Bou-Rabee, Houman Owhadi
- SIAM J. Numerical Analysis
- 2010

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)

- Nawaf Bou-Rabee, Eric Vanden-Eijnden
- J. Comput. Physics
- 2012

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)

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)

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 vari-ational integrator with an Ornstein-Uhlenbeck flow. Assuming the exact solution and the splitting are geometrically ergodic, the paper proves the… (More)

- Andrew G. Salinger, Nawaf M. Bou-Rabee, +4 authors Louis A. Romero
- 2002

Approved for public release; further dissemination unlimited. of the United States Government. Neither the United States Government, nor any agency thereof, nor any of their employees, nor any of their contractors, subcontractors, or their employees, make any warranty, express or implied, or assume any legal liability or responsibility for the accuracy,… (More)

- Elena Akhmatskaya, Nawaf Bou-Rabee, Sebastian Reich
- J. Comput. Physics
- 2009

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, Aleksandar Donev, Eric Vanden-Eijnden
- Multiscale Modeling & Simulation
- 2014

We present explicit methods for simulating diffusions whose generator is self-adjoint with respect to a known (but possibly not normalizable) density. These methods exploit this property and combine an optimized Runge-Kutta algorithm with a Metropolis-Hastings Monte-Carlo scheme. The resulting numerical integration scheme is shown to be weakly accurate at… (More)