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Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position

Tao, Molei and Owhadi, Houman and Marsden, Jerrold E. (2010) Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position. . (Submitted) https://resolver.caltech.edu/CaltechAUTHORS:20160224-085934570

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Abstract

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).


Item Type:Report or Paper (Discussion Paper)
Related URLs:
URLURL TypeDescription
http://arxiv.org/abs/1006.4657arXivDiscussion Paper
ORCID:
AuthorORCID
Owhadi, Houman0000-0002-5677-1600
Additional Information:(Submitted on 23 Jun 2010). June 25, 2010. This work is supported by NSF grant CMMI-092600. We thank J. M. Sanz-Serna for useful comments.
Funders:
Funding AgencyGrant Number
NSFCMMI-092600
Record Number:CaltechAUTHORS:20160224-085934570
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20160224-085934570
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:64725
Collection:CaltechAUTHORS
Deposited By: Ruth Sustaita
Deposited On:24 Feb 2016 17:46
Last Modified:03 Oct 2019 09:40

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