<Invariant distribution of an Itô diffusion>, specialized to <Underdamped Langevin dynamics>, has density
$$
\pi(x,p)=Z^{-1}\exp\left\{-U(x)-\frac{\lVert p\rVert^2}{2\eta}\right\}.
$$
Thus $X$ has density proportional to $e^{-U(x)}$, and conditionally and marginally $P\sim N(0,\eta I_d)$. The Hamiltonian transport between $x$ and $p$ preserves this density, while the <Ornstein-Uhlenbeck process> in momentum has exactly that Gaussian invariant law.

The <Euler-Maruyama method> with step size $\delta$ and independent $\xi_k\sim N(0,I_d)$ is
$$
\begin{aligned}
P_{k+1}
&=P_k-\gamma\delta P_k-\eta\delta\nabla U(X_k)
+\sqrt{2\gamma\eta\delta}\,\xi_k,\\
X_{k+1}&=X_k+\delta P_k.
\end{aligned}
$$

Solution

Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 216 / 4 / c / Solution

 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2023/iii/paper-216/4/c/solution