Mathematical and algorithmic analysis of modified Langevin dynamics

Zofia Trstanova 1, 2
2 NANO-D - Algorithms for Modeling and Simulation of Nanosystems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : In statistical physics, the macroscopic information of interest for the systems under consideration can beinferred from averages over microscopic configurations distributed according to probability measures µcharacterizing the thermodynamic state of the system. Due to the high dimensionality of the system (whichis proportional to the number of particles), these configurations are most often sampled using trajectories ofstochastic differential equations or Markov chains ergodic for the probability measure µ, which describesa system at constant temperature. One popular stochastic process allowing to sample this measure is theLangevin dynamics. In practice, the Langevin dynamics cannot be analytically integrated, its solution istherefore approximated with a numerical scheme. The numerical analysis of such discretization schemes isby now well-understood when the kinetic energy is the standard quadratic kinetic energy.One important limitation of the estimators of the ergodic averages are their possibly large statisticalerrors.Undercertainassumptionsonpotentialandkineticenergy,itcanbeshownthatacentrallimittheoremholds true. The asymptotic variance may be large due to the metastability of the Langevin process, whichoccurs as soon as the probability measure µ is multimodal.In this thesis, we consider the discretization of modified Langevin dynamics which improve the samplingof the Boltzmann–Gibbs distribution by introducing a more general kinetic energy function U instead of thestandard quadratic one. We have in fact two situations in mind:(a) Adaptively Restrained (AR) Langevin dynamics, where the kinetic energy vanishes for small momenta,while it agrees with the standard kinetic energy for large momenta. The interest of this dynamics isthat particles with low energy are restrained. The computational gain follows from the fact that theinteractions between restrained particles need not be updated. Due to the separability of the positionand momenta marginals of the distribution, the averages of observables which depend on the positionvariable are equal to the ones computed with the standard Langevin dynamics. The efficiency of thismethod lies in the trade-off between the computational gain and the asymptotic variance on ergodic av-erages which may increase compared to the standard dynamics since there are a priori more correlationsin time due to restrained particles. Moreover, since the kinetic energy vanishes on some open set, theassociated Langevin dynamics fails to be hypoelliptic. In fact, a first task of this thesis is to prove thatthe Langevin dynamics with such modified kinetic energy is ergodic. The next step is to present a math-ematical analysis of the asymptotic variance for the AR-Langevin dynamics. In order to complementthe analysis of this method, we estimate the algorithmic speed-up of the cost of a single iteration, as afunction of the parameters of the dynamics.(b) We also consider Langevin dynamics with kinetic energies growing more than quadratically at infinity,in an attempt to reduce metastability. The extra freedom provided by the choice of the kinetic energyshould be used in order to reduce the metastability of the dynamics. In this thesis, we explore thechoice of the kinetic energy and we demonstrate on a simple low-dimensional example an improvedconvergence of ergodic averages.An issue with the situations we consider is the stability of discretized schemes. In order to obtain aweakly consistent method of order 2 (which is no longer trivial for a general kinetic energy), we rely on therecently developped Metropolis schemes.
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Zofia Trstanova. Mathematical and algorithmic analysis of modified Langevin dynamics. Mathematical Physics [math-ph]. Université Grenoble Alpes, 2016. English. ⟨NNT : 2016GREAM054⟩. ⟨tel-01682721⟩

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