decoupling and integrating second-order SDE with different noise models












0












$begingroup$


I'm considering a second-order Hamiltonian ODE and am trying to understand different approaches for introducing noise (and corresponding numerical integration techniques).
Given that the deterministic part is Hamiltonian, I've been looking at Langevin-dynamics as a base model, that is, adding noise to the momentum variables.
Ultimately I want to understand the difference between adding noise to the momentum variables and adding noise to the position variables.



Typically, I've seen numerical simulations of Langevin dynamics:



begin{align}
m_i ddot{x}_i = -frac{partial V(x(t))}{partial x_i} - gamma dot{x} + sqrt{2 gamma_i k_B tau}, xi_i(t)
tag{1}
end{align}



split the second order equation (1) into two first order equations represented as:



begin{align}
begin{cases}
dot{x}_i(t) = m_i^{-1} p_i(t) \
dot{p}_i(t) = -frac{partial V(x(t))}{partial x_i} - gamma_i m_i^{-1} p_i(t) + sqrt{2 gamma_i k_B tau}, xi_i(t)
tag{2}
end{cases}
end{align}



for $tau$ temperature, $gamma_i$ damping, $x$ position, $p$ generalized momentum, and $xi_i sim N(0,1)$.
Then the Euler-Maruyama scheme for (2) would give
begin{align}
begin{cases}
x^{(k+1)}_i = left( m_i^{-1} p^{(k)}_i right) Delta t \
p^{(k+1)}_i = left( -frac{partial V(x^{(k)})}{partial x_i} - gamma_i m_i^{-1} p^{(k)}_i right) Delta t + left( sqrt{2 gamma_i k_B tau},xi_i^{(k)} right) , sqrt{Delta t}.
tag{2.5}
end{cases}
end{align}



A standard diffusion process can be represented as



begin{align}
mathrm{d}X_t = b(X_t) + sigma(X_t), mathrm{d} W_t
tag{3}
end{align}



for $Xin mathbb{R}^d$, drift $b:mathbb{R}^d to mathbb{R}^d$ the drift, and diffusion $sigma: mathbb{R}^d to mathbb{R}^{d times d}$, and we can fit (2) into the form of (3) by taking appropriate $b$ and $sigma$.



My question is what happens when we add noise to the position $x$ variables instead of the $p$ variables?
If we describe it as a general diffusion as in (3), I imagine that we can just change $sigma$ to reflect the new noise, but should this different noise affect the new second order SDE's stationary distribution?
Is there any way to add noise to the position variables that recovers the same stationary distribution as Langevin dynamics in (2)?



Thanks!










share|cite|improve this question











$endgroup$

















    0












    $begingroup$


    I'm considering a second-order Hamiltonian ODE and am trying to understand different approaches for introducing noise (and corresponding numerical integration techniques).
    Given that the deterministic part is Hamiltonian, I've been looking at Langevin-dynamics as a base model, that is, adding noise to the momentum variables.
    Ultimately I want to understand the difference between adding noise to the momentum variables and adding noise to the position variables.



    Typically, I've seen numerical simulations of Langevin dynamics:



    begin{align}
    m_i ddot{x}_i = -frac{partial V(x(t))}{partial x_i} - gamma dot{x} + sqrt{2 gamma_i k_B tau}, xi_i(t)
    tag{1}
    end{align}



    split the second order equation (1) into two first order equations represented as:



    begin{align}
    begin{cases}
    dot{x}_i(t) = m_i^{-1} p_i(t) \
    dot{p}_i(t) = -frac{partial V(x(t))}{partial x_i} - gamma_i m_i^{-1} p_i(t) + sqrt{2 gamma_i k_B tau}, xi_i(t)
    tag{2}
    end{cases}
    end{align}



    for $tau$ temperature, $gamma_i$ damping, $x$ position, $p$ generalized momentum, and $xi_i sim N(0,1)$.
    Then the Euler-Maruyama scheme for (2) would give
    begin{align}
    begin{cases}
    x^{(k+1)}_i = left( m_i^{-1} p^{(k)}_i right) Delta t \
    p^{(k+1)}_i = left( -frac{partial V(x^{(k)})}{partial x_i} - gamma_i m_i^{-1} p^{(k)}_i right) Delta t + left( sqrt{2 gamma_i k_B tau},xi_i^{(k)} right) , sqrt{Delta t}.
    tag{2.5}
    end{cases}
    end{align}



    A standard diffusion process can be represented as



    begin{align}
    mathrm{d}X_t = b(X_t) + sigma(X_t), mathrm{d} W_t
    tag{3}
    end{align}



    for $Xin mathbb{R}^d$, drift $b:mathbb{R}^d to mathbb{R}^d$ the drift, and diffusion $sigma: mathbb{R}^d to mathbb{R}^{d times d}$, and we can fit (2) into the form of (3) by taking appropriate $b$ and $sigma$.



    My question is what happens when we add noise to the position $x$ variables instead of the $p$ variables?
    If we describe it as a general diffusion as in (3), I imagine that we can just change $sigma$ to reflect the new noise, but should this different noise affect the new second order SDE's stationary distribution?
    Is there any way to add noise to the position variables that recovers the same stationary distribution as Langevin dynamics in (2)?



    Thanks!










    share|cite|improve this question











    $endgroup$















      0












      0








      0


      2



      $begingroup$


      I'm considering a second-order Hamiltonian ODE and am trying to understand different approaches for introducing noise (and corresponding numerical integration techniques).
      Given that the deterministic part is Hamiltonian, I've been looking at Langevin-dynamics as a base model, that is, adding noise to the momentum variables.
      Ultimately I want to understand the difference between adding noise to the momentum variables and adding noise to the position variables.



      Typically, I've seen numerical simulations of Langevin dynamics:



      begin{align}
      m_i ddot{x}_i = -frac{partial V(x(t))}{partial x_i} - gamma dot{x} + sqrt{2 gamma_i k_B tau}, xi_i(t)
      tag{1}
      end{align}



      split the second order equation (1) into two first order equations represented as:



      begin{align}
      begin{cases}
      dot{x}_i(t) = m_i^{-1} p_i(t) \
      dot{p}_i(t) = -frac{partial V(x(t))}{partial x_i} - gamma_i m_i^{-1} p_i(t) + sqrt{2 gamma_i k_B tau}, xi_i(t)
      tag{2}
      end{cases}
      end{align}



      for $tau$ temperature, $gamma_i$ damping, $x$ position, $p$ generalized momentum, and $xi_i sim N(0,1)$.
      Then the Euler-Maruyama scheme for (2) would give
      begin{align}
      begin{cases}
      x^{(k+1)}_i = left( m_i^{-1} p^{(k)}_i right) Delta t \
      p^{(k+1)}_i = left( -frac{partial V(x^{(k)})}{partial x_i} - gamma_i m_i^{-1} p^{(k)}_i right) Delta t + left( sqrt{2 gamma_i k_B tau},xi_i^{(k)} right) , sqrt{Delta t}.
      tag{2.5}
      end{cases}
      end{align}



      A standard diffusion process can be represented as



      begin{align}
      mathrm{d}X_t = b(X_t) + sigma(X_t), mathrm{d} W_t
      tag{3}
      end{align}



      for $Xin mathbb{R}^d$, drift $b:mathbb{R}^d to mathbb{R}^d$ the drift, and diffusion $sigma: mathbb{R}^d to mathbb{R}^{d times d}$, and we can fit (2) into the form of (3) by taking appropriate $b$ and $sigma$.



      My question is what happens when we add noise to the position $x$ variables instead of the $p$ variables?
      If we describe it as a general diffusion as in (3), I imagine that we can just change $sigma$ to reflect the new noise, but should this different noise affect the new second order SDE's stationary distribution?
      Is there any way to add noise to the position variables that recovers the same stationary distribution as Langevin dynamics in (2)?



      Thanks!










      share|cite|improve this question











      $endgroup$




      I'm considering a second-order Hamiltonian ODE and am trying to understand different approaches for introducing noise (and corresponding numerical integration techniques).
      Given that the deterministic part is Hamiltonian, I've been looking at Langevin-dynamics as a base model, that is, adding noise to the momentum variables.
      Ultimately I want to understand the difference between adding noise to the momentum variables and adding noise to the position variables.



      Typically, I've seen numerical simulations of Langevin dynamics:



      begin{align}
      m_i ddot{x}_i = -frac{partial V(x(t))}{partial x_i} - gamma dot{x} + sqrt{2 gamma_i k_B tau}, xi_i(t)
      tag{1}
      end{align}



      split the second order equation (1) into two first order equations represented as:



      begin{align}
      begin{cases}
      dot{x}_i(t) = m_i^{-1} p_i(t) \
      dot{p}_i(t) = -frac{partial V(x(t))}{partial x_i} - gamma_i m_i^{-1} p_i(t) + sqrt{2 gamma_i k_B tau}, xi_i(t)
      tag{2}
      end{cases}
      end{align}



      for $tau$ temperature, $gamma_i$ damping, $x$ position, $p$ generalized momentum, and $xi_i sim N(0,1)$.
      Then the Euler-Maruyama scheme for (2) would give
      begin{align}
      begin{cases}
      x^{(k+1)}_i = left( m_i^{-1} p^{(k)}_i right) Delta t \
      p^{(k+1)}_i = left( -frac{partial V(x^{(k)})}{partial x_i} - gamma_i m_i^{-1} p^{(k)}_i right) Delta t + left( sqrt{2 gamma_i k_B tau},xi_i^{(k)} right) , sqrt{Delta t}.
      tag{2.5}
      end{cases}
      end{align}



      A standard diffusion process can be represented as



      begin{align}
      mathrm{d}X_t = b(X_t) + sigma(X_t), mathrm{d} W_t
      tag{3}
      end{align}



      for $Xin mathbb{R}^d$, drift $b:mathbb{R}^d to mathbb{R}^d$ the drift, and diffusion $sigma: mathbb{R}^d to mathbb{R}^{d times d}$, and we can fit (2) into the form of (3) by taking appropriate $b$ and $sigma$.



      My question is what happens when we add noise to the position $x$ variables instead of the $p$ variables?
      If we describe it as a general diffusion as in (3), I imagine that we can just change $sigma$ to reflect the new noise, but should this different noise affect the new second order SDE's stationary distribution?
      Is there any way to add noise to the position variables that recovers the same stationary distribution as Langevin dynamics in (2)?



      Thanks!







      integration ordinary-differential-equations stochastic-processes numerical-methods sde






      share|cite|improve this question















      share|cite|improve this question













      share|cite|improve this question




      share|cite|improve this question








      edited Jan 17 at 23:44







      jjjjjj

















      asked Jan 15 at 0:07









      jjjjjjjjjjjj

      1,214516




      1,214516






















          0






          active

          oldest

          votes












          Your Answer








          StackExchange.ready(function() {
          var channelOptions = {
          tags: "".split(" "),
          id: "69"
          };
          initTagRenderer("".split(" "), "".split(" "), channelOptions);

          StackExchange.using("externalEditor", function() {
          // Have to fire editor after snippets, if snippets enabled
          if (StackExchange.settings.snippets.snippetsEnabled) {
          StackExchange.using("snippets", function() {
          createEditor();
          });
          }
          else {
          createEditor();
          }
          });

          function createEditor() {
          StackExchange.prepareEditor({
          heartbeatType: 'answer',
          autoActivateHeartbeat: false,
          convertImagesToLinks: true,
          noModals: true,
          showLowRepImageUploadWarning: true,
          reputationToPostImages: 10,
          bindNavPrevention: true,
          postfix: "",
          imageUploader: {
          brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
          contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
          allowUrls: true
          },
          noCode: true, onDemand: true,
          discardSelector: ".discard-answer"
          ,immediatelyShowMarkdownHelp:true
          });


          }
          });














          draft saved

          draft discarded


















          StackExchange.ready(
          function () {
          StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3073918%2fdecoupling-and-integrating-second-order-sde-with-different-noise-models%23new-answer', 'question_page');
          }
          );

          Post as a guest















          Required, but never shown

























          0






          active

          oldest

          votes








          0






          active

          oldest

          votes









          active

          oldest

          votes






          active

          oldest

          votes
















          draft saved

          draft discarded




















































          Thanks for contributing an answer to Mathematics Stack Exchange!


          • Please be sure to answer the question. Provide details and share your research!

          But avoid



          • Asking for help, clarification, or responding to other answers.

          • Making statements based on opinion; back them up with references or personal experience.


          Use MathJax to format equations. MathJax reference.


          To learn more, see our tips on writing great answers.




          draft saved


          draft discarded














          StackExchange.ready(
          function () {
          StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3073918%2fdecoupling-and-integrating-second-order-sde-with-different-noise-models%23new-answer', 'question_page');
          }
          );

          Post as a guest















          Required, but never shown





















































          Required, but never shown














          Required, but never shown












          Required, but never shown







          Required, but never shown

































          Required, but never shown














          Required, but never shown












          Required, but never shown







          Required, but never shown







          Popular posts from this blog

          Bressuire

          Cabo Verde

          Gyllenstierna