The INI has a new website!

This is a legacy webpage. Please visit the new site to ensure you are seeing up to date information.

Skip to content



Near Boltzmann-Gibbs measure preserving stochastic variational integrator

Bou-Rabee, N (California Institute)
Friday 28 March 2008, 10:05-10:35

Seminar Room 1, Newton Institute


This talk presents an explicit, structure-preserving probablistic numerical integrator for Langevin systems, and an efficient, structure-preserving integrator for Langevin systems with holonomic constraints. In a nut-shell, the method does for the Boltzmann-Gibbs measure what symplectic integrators do for energy. More precisely, we prove the method very nearly preserves the Boltzmann-Gibbs measure. As a consequence of its variational design, the algorithm also exactly preserves the symplectic area change associated to Langevin processes. The method with supporting theory enables one to take time-step sizes and friction factors at the limit of stability of the integration scheme (e.g., the time-step size must be smaller than the fastest characteristic frequency in the system).

Related Links


[pdf ]




The video for this talk should appear here if JavaScript is enabled.
If it doesn't, something may have gone wrong with our embedded player.
We'll get it fixed as soon as possible.

Back to top ∧