Multiscale integrators for stochastic differential equations and irreversible Langevin samplers

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2017-04-23

Authors

Lu, Jianfeng

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Abstract

We study multiscale integrator numerical schemes for a class of stiff stochastic differential equations (SDEs). We consider multiscale SDEs that behave as diffusions on graphs as the stiffness parameter goes to its limit. Classical numerical discretization schemes, such as the Euler-Maruyama scheme, become unstable as the stiffness parameter converges to its limit and appropriate multiscale integrators can correct for this. We rigorously establish the convergence of the numerical method to the related diffusion on graph, identifying the appropriate choice of discretization parameters. Theoretical results are supplemented by numerical studies on the problem of the recently developing area of introducing irreversibility in Langevin samplers in order to accelerate convergence to equilibrium.

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