arXiv subjects

Nawaf Bou-Rabee

Publications and source records attributed to Nawaf Bou-Rabee.

At least 37 records · Page 2Linked to original sources

arXiv2020

A generalized class of strongly stable and dimension-free T-RPMD integrators

Recent work shows that strong stability and dimensionality freedom are essential for robust numerical integration of thermostatted ring-polymer molecular dynamics (T-RPMD) and path-integral molecular dynamics (PIMD), without which standard integrators exhibit non-ergodicity and other pathologies [J. Chem. Phys. 151, 124103 (2019); J. Chem. Phys. 152, 104102 (2020)]. In particular, the BCOCB scheme, obtained via Cayley modification of the standard BAOAB scheme, features a simple reparametrization of the free ring-polymer sub-step that confers strong stability and dimensionality freedom and has been shown to yield excellent numerical accuracy in condensed-phase systems with large time-steps. Here, we introduce a broader class of T-RPMD numerical integrators that exhibit strong stability and dimensionality freedom, irrespective of the Ornstein-Uhlenbeck friction schedule. In addition to considering equilibrium accuracy and time-step stability as in previous work, we evaluate the integrators on the basis of their rates of convergence to equilibrium and their efficiency at evaluating equilibrium expectation values. Within the generalized class, we find BCOCB to be superior with respect to accuracy and efficiency for various configuration-dependent observables, although other integrators within the generalized class perform better for velocity-dependent quantities. Extensive numerical evidence indicates that the stated performance guarantees hold for the strongly anharmonic case of liquid water. Both analytical and numerical results indicate that BCOCB excels over other known integrators in terms of accuracy, efficiency, and stability with respect to time-step for practical applications.

physics.chem-ph↗

arXiv2020

Couplings for Andersen Dynamics

Andersen dynamics is a standard method for molecular simulations, and a precursor of the Hamiltonian Monte Carlo algorithm used in MCMC inference. The stochastic process corresponding to Andersen dynamics is a PDMP (piecewise deterministic Markov process) that iterates between Hamiltonian flows and velocity randomizations of randomly selected particles. Both from the viewpoint of molecular dynamics and MCMC inference, a basic question is to understand the convergence to equilibrium of this PDMP particularly in high dimension. Here we present couplings to obtain sharp convergence bounds in the Wasserstein sense that do not require global convexity of the underlying potential energy.

math.PR↗

arXiv2020

Dimension-free path-integral molecular dynamics without preconditioning

Convergence with respect to imaginary-time discretization is an essential part of any path-integral-based calculation. However, an unfortunate property of existing non-preconditioned numerical integration schemes for path-integral molecular dynamics (PIMD) - including ring-polymer molecular dynamics (RPMD) and thermostatted RPMD (T-RPMD) - is that for a given MD timestep, the overlap between the exact ring-polymer Boltzmann-Gibbs distribution and that sampled using MD becomes zero in the infinite-bead limit. This has clear implications for hybrid Metropolis Monte-Carlo/MD sampling schemes. We show that these problems can be avoided through the introduction of "dimension-free" numerical integration schemes for which the sampled ring-polymer position distribution has non-zero overlap with the exact distribution in the infinite-bead limit for the case of a harmonic potential. We show that dimension freedom can be achieved via mollification of the forces from the physical potential and with the BCOCB integration scheme. The dimension-free numerical integration schemes yield finite error bounds for a given MD timestep as the number of beads is taken to infinity; these conclusions are proven for harmonic potential and borne out numerically for anharmonic systems, including water. The numerical results for BCOCB are particularly striking, allowing for three-fold increases in the stable timestep for liquid water with respect to the Bussi-Parrinello (OBABO) and Leimkuhler (BAOAB) integrators while introducing negligible errors in the statistical properties and absorption spectrum. Importantly, the dimension-free, non-preconditioned integration schemes introduced here preserve ergodicity and global second-order accuracy, and they remain simple, black-box methods that avoid additional computational costs, tunable parameters, or system-specific implementations.

physics.chem-ph↗

arXiv2019

Cayley modification for strongly stable path-integral and ring-polymer molecular dynamics

Path-integral-based molecular dynamics (MD) simulations are widely used for the calculation of numerically exact quantum Boltzmann properties and approximate dynamical quantities. A nearly universal feature of MD numerical integration schemes for equations of motion based on imaginary-time path integrals is the use of harmonic normal modes for the exact evolution of the free ring-polymer positions and momenta. In this work, we demonstrate that this standard practice creates numerical artifacts. In the context of conservative (i.e., microcanonical) equations of motion, it leads to numerical instability. In the context of thermostatted (i.e., canonical) equations of motion, it leads to non-ergodicity of the sampling. These pathologies are generally proven to arise at integration timesteps that depend only on the system temperature and the number of ring-polymer beads, and they are numerically demonstrated for the cases of conventional ring-polymer molecular dynamics (RPMD) and thermostatted RPMD (TRPMD). Furthermore, it is demonstrated that these numerical artifacts are removed via replacement of the exact free ring-polymer evolution with a second-order approximation based on the Cayley transform. The Cayley modification introduced here can immediately be employed with almost every existing integration scheme for path-integral-based molecular dynamics - including path-integral MD (PIMD), RPMD, TRPMD, and centroid MD - providing strong symplectic stability and ergodicity to the numerical integration, at no penalty in terms of computational cost, algorithmic complexity, or accuracy of the overall MD timestep. Furthermore, it is shown that the improved numerical stability of the Cayley modification allows for the use of larger MD timesteps. We suspect that the Cayley modification will therefore find useful application in many future path-integral-based MD simulations.

physics.chem-ph↗

arXiv2019

Two-scale coupling for preconditioned Hamiltonian Monte Carlo in infinite dimensions

We derive non-asymptotic quantitative bounds for convergence to equilibrium of the exact preconditioned Hamiltonian Monte Carlo algorithm (pHMC) on a Hilbert space. As a consequence, explicit and dimension-free bounds for pHMC applied to high-dimensional distributions arising in transition path sampling and path integral molecular dynamics are given. Global convexity of the underlying potential energies is not required. Our results are based on a two-scale coupling which is contractive in a carefully designed distance.

math.PR↗

arXiv2019

Sticky Brownian Motion and its Numerical Solution

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 applications such as in biology, materials science, and finance. This article spotlights the unusual behavior of sticky Brownian motions from the perspective of applied mathematics, and provides tools to efficiently simulate them. We show that a sticky Brownian motion arises naturally for a particle diffusing on $\mathbb{R}_+$ with a strong, short-ranged potential energy near the origin. This is a limit that accurately models mesoscale particles, those with diameters $\approx 100$nm-$10μ$m, which form the building blocks for many common materials. We introduce a simple and intuitive sticky random walk to simulate sticky Brownian motion, that also gives insight into its unusual properties. In parameter regimes of practical interest, we show this sticky random walk is two to five orders of magnitude faster than alternative methods to simulate a sticky Brownian motion. We outline possible steps to extend this method towards simulating multi-dimensional sticky diffusions.

math.NA↗

arXiv2019

Coupling and Convergence for Hamiltonian Monte Carlo

Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is explicit. Global convexity of the potential is not required, and thus multimodal target distributions are included. Explicit quantitative bounds for the number of steps required to approximate the stationary distribution up to a given error are a direct consequence of contractivity. These bounds show that HMC can overcome diffusive behaviour if the duration of the Hamiltonian dynamics is adjusted appropriately.

math.PR↗

arXiv2017

Geometric integrators and the Hamiltonian Monte Carlo method

This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC). Since the computational cost of HMC mainly lies in the numerical integrations, these should be performed as efficiently as possible. However, HMC requires methods that have the geometric properties of being volume-preserving and reversible, and this limits the number of integrators that may be used. On the other hand, these geometric properties have important quantitative implications on the integration error, which in turn have an impact on the acceptance rate of the proposal. While at present the velocity Verlet algorithm is the method of choice for good reasons, we argue that Verlet can be improved upon. We also discuss in detail the behavior of HMC as the dimensionality of the target distribution increases.

math.PR↗

arXiv2017

Cayley Splitting for Second-Order Langevin Stochastic Partial Differential Equations

We give accurate and ergodic numerical methods for semilinear, second-order Langevin stochastic partial differential equations (SPDE). As a byproduct, we also give good geometric numerical methods for their infinite-dimensional Hamiltonian counterpart. These methods are suitable for Hamiltonian Monte Carlo on Hilbert spaces without preconditioning the underlying Hamiltonian dynamics. A key tool in our approach is Krein's theory on strong stability of symplectic maps, which gives us sufficient conditions for stability of symplectic splitting schemes in highly oscillatory Hamiltonian problems.

math.PR↗

arXiv2016

Randomized Hamiltonian Monte Carlo

Tuning the durations of the Hamiltonian flow in Hamiltonian Monte Carlo (also called Hybrid Monte Carlo) (HMC) involves a tradeoff between computational cost and sampling quality, which is typically challenging to resolve in a satisfactory way. In this article we present and analyze a randomized HMC method (RHMC), in which these durations are i.i.d. exponential random variables whose mean is a free parameter. We focus on the small time step size limit, where the algorithm is rejection-free and the computational cost is proportional to the mean duration. In this limit, we prove that RHMC is geometrically ergodic under the same conditions that imply geometric ergodicity of the solution to underdamped Langevin equations. Moreover, in the context of a multi-dimensional Gaussian distribution, we prove that the sampling efficiency of RHMC, unlike that of constant duration HMC, behaves in a regular way. This regularity is also verified numerically in non-Gaussian target distributions. Finally we suggest variants of RHMC for which the time step size is not required to be small.

math.PR↗

arXiv2016

SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations

The numerical solution of stochastic partial differential equations (SPDE) presents challenges not encountered in the simulation of PDEs or SDEs. Indeed, the roughness of the noise in conjunction with nonlinearities in the drift typically make these equations particularly stiff. In practice, this means that it is tricky to construct, operate, and validate numerical methods for SPDEs. This is especially true if one is interested in path-dependent expected values, long-time simulations, or in the simulation of SPDEs whose solutions have constraints on their domains. To address these numerical issues, this paper introduces a Markov jump process approximation for SPDEs, which we refer to as the spectral random walk method (SPECTRWM). The accuracy and ergodicity of SPECTRWM are verified in the context of a heat and overdamped Langevin SPDE, respectively. We also apply the method to Burgers and KPZ SPDEs.

math.PR↗

arXiv2015

Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the spatial increment of the approximation can be bounded uniformly in space, which guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs. By directly analyzing the generator of the approximation, we prove that the approximation has a sharp stochastic Lyapunov function when applied to an SDE with a drift field that is locally Lipschitz continuous and weakly dissipative. We use this stochastic Lyapunov function to extend a local semimartingale representation of the approximation. This extension permits to analyze the complexity of the approximation. Using the theory of semigroups of linear operators on Banach spaces, we show that the approximation is (weakly) accurate in representing finite and infinite-time statistics, with an order of accuracy identical to that of its generator. The proofs are carried out in the context of both fixed and variable spatial step sizes. Theoretical and numerical studies confirm these statements, and provide evidence that these schemes have several advantages over standard methods based on time-discretization. In particular, they are accurate, eliminate nonphysical moves in simulating SDEs with boundaries (or confined domains), prevent exploding trajectories from occurring when simulating stiff SDEs, and solve first exit problems without time-interpolation errors.

math.PR↗

arXiv2014

Metropolis Integration Schemes for Self-Adjoint Diffusions

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 property and combine an optimized Runge-Kutta algorithm with a Metropolis-Hastings Monte-Carlo scheme. The resulting numerical integration scheme is shown to be weakly accurate at finite noise and to gain higher order accuracy in the small noise limit. It also permits to avoid computing explicitly certain terms in the equation, such as the divergence of the mobility tensor, which can be tedious to calculate. Finally, the scheme is shown to be ergodic with respect to the exact equilibrium probability distribution of the diffusion when it exists. These results are illustrated on several examples including a Brownian dynamics simulation of DNA in a solvent. In this example, the proposed scheme is able to accurately compute dynamics at time step sizes that are an order of magnitude (or more) larger than those permitted with commonly used explicit predictor-corrector schemes.

math.NA↗

arXiv2013

On Metropolis Integrators for Molecular Dynamics

This paper invites the reader to experiment with an easy-to-use MATLAB implementation of Metropolis integrators for Molecular Dynamics (MD) simulation. These integrators are analysis-based, in the sense that they can rigorously simulate dynamics along an infinitely long MD trajectory. Among explicit integrators for MD, they seem to be the only ones that satisfy the fundamental requirement of stability. The schemes can handle stiff or hard-core potentials, and are straightforward to set up, apply and extend to new situations. Potential pitfalls in high dimension are discussed, and tricks for mitigation are given.

physics.comp-ph↗

arXiv2010

A patch that imparts unconditional stability to certain explicit integrators for SDEs

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 integrator with Metropolis accept or reject steps. The resulting `Metropolized integrator' preserves the SDE's equilibrium distribution and is pathwise accurate on finite time intervals. As a corollary the integrator can be used to estimate finite-time dynamical properties along an infinitely long solution. The paper explains how to implement the patch (even in the presence of multiple-time-stepsizes and holonomic constraints), how it scales with system size, and how much overhead it requires. We test the integrator on a Lennard-Jones cluster of particles and `dumbbells' at constant temperature.

math.NA↗

arXiv2010

Non-asymptotic mixing of the MALA algorithm

The Metropolis-Adjusted Langevin Algorithm (MALA), originally introduced to sample exactly the invariant measure of certain stochastic differential equations (SDE) on infinitely long time intervals, can also be used to approximate pathwise the solution of these SDEs on finite time intervals. However, when applied to an SDE with a nonglobally Lipschitz drift coefficient, the algorithm may not have a spectral gap even when the SDE does. This paper reconciles MALA's lack of a spectral gap with its ergodicity to the invariant measure of the SDE and finite time accuracy. In particular, the paper shows that its convergence to equilibrium happens at exponential rate up to terms exponentially small in time-stepsize. This quantification relies on MALA's ability to exactly preserve the SDE's invariant measure and accurately represent the SDE's transition probability on finite time intervals.

math.PR↗

arXiv2010

A counterexample showing the semi-explicit Lie-Newmark algorithm is not variational

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 long-time simulation of rigid body-type mechanical systems. The counterexample consists of a single rigid body in a static potential field, and can serve as a test of the variational nature of other rigid-body integrators.

math.NA↗

arXiv2010

Long-Run Accuracy of Variational Integrators in the Stochastic Context

This paper presents a Lie-Trotter splitting for inertial Langevin equations (Geometric Langevin Algorithm) and analyzes its long-time statistical properties. The splitting is defined as a composition of a variational integrator with an Ornstein-Uhlenbeck flow. Assuming the exact solution and the splitting are geometrically ergodic, the paper proves the discrete invariant measure of the splitting approximates the invariant measure of inertial Langevin to within the accuracy of the variational integrator in representing the Hamiltonian. In particular, if the variational integrator admits no energy error, then the method samples the invariant measure of inertial Langevin without error. Numerical validation is provided using explicit variational integrators with first, second, and fourth order accuracy.

math.NA↗