126 citations · 826 across the 40 of their papers we have counts for
9 papers · 1 filter
Randomized Runge-Kutta-Nyström Methods for Unadjusted Hamiltonian and Kinetic Langevin Monte Carlo
Nawaf Bou-Rabee, Tore Selland Kleppe
We introduce - and -order -accurate randomized Runge-Kutta-Nyström methods, tailored for approximating Hamiltonian flows within non-reversible Markov chain Monte Car…
Sticky Brownian Motion and its Numerical Solution
Nawaf Bou-Rabee, Miranda Holmes-Cerfon
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applicat…
Metropolis Integration Schemes for Self-Adjoint Diffusions
Nawaf Bou-Rabee, Aleksandar Donev, Eric Vanden-Eijnden
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 pr…
A patch that imparts unconditional stability to certain explicit integrators for SDEs
Nawaf Bou-Rabee, Eric Vanden-Eijnden
This paper proposes a simple strategy to simulate stochastic differential equations (SDE) arising in constant temperature molecular dynamics. The main idea is to patch an explicit…
A counterexample showing the semi-explicit Lie-Newmark algorithm is not variational
Nawaf Bou-Rabee, Giulia Ortolan, Alessandro Saccon
This paper presents a counterexample to the conjecture that the semi-explicit Lie-Newmark algorithm is variational. As a consequence the Lie-Newmark method is not well-suited for l…
Pathwise Accuracy and Ergodicity of Metropolized Integrators for SDEs
Nawaf Bou-Rabee, Eric Vanden-Eijnden
Metropolized integrators for ergodic stochastic differential equations (SDE) are proposed which (i) are ergodic with respect to the (known) equilibrium distribution of the SDE and…
Hamilton-Pontryagin Integrators on Lie Groups: Introduction and Structure-Preserving Properties
Nawaf Bou-Rabee, Jerrold E. Marsden
In this paper structure-preserving time-integrators for rigid body-type mechanical systems are derived from a discrete Hamilton-Pontryagin variational principle. From this principl…
Long-Run Accuracy of Variational Integrators in the Stochastic Context
Nawaf Bou-Rabee, Houman Owhadi
This paper presents a Lie-Trotter splitting for inertial Langevin equations (Geometric Langevin Algorithm) and analyzes its long-time statistical properties. The splitting is defin…
Stochastic Variational Partitioned Runge-Kutta Integrators for Constrained Systems
Nawaf Bou-Rabee, Houman Owhadi
Stochastic variational integrators for constrained, stochastic mechanical systems are developed in this paper. The main results of the paper are twofold: an equivalence is establis…