Generalised Langevin equation: asymptotic properties and numerical analysis

Abstract

In this thesis we concentrate on instances of the GLE which can be represented in a Markovian form in an extended phase space. We extend previous results on the geometric ergodicity of this class of GLEs using Lyapunov techniques, which allows us to conclude ergodicity for a large class of GLEs relevant to molecular dynamics applications. The main body of this thesis concerns the numerical discretisation of the GLE in the extended phase space representation. We generalise numerical discretisation schemes which have been previously proposed for the underdamped Langevin equation and which are based on a decomposition of the vector field into a Hamiltonian part and a linear SDE. Certain desirable properties regarding the accuracy of configurational averages of these schemes are inherited in the GLE context. We also rigorously prove geometric ergodicity on bounded domains by showing that a uniform minorisation condition and a uniform Lyapunov condition are satisfied for sufficiently small timestep size. We show that the discretisation schemes which we propose behave consistently in the white noise and overdamped limits, hence we provide a family of universal integrators for Langevin dynamics. Finally, we consider multiple-time stepping schemes making use of a decomposition of the fluctuation-dissipation term into a reversible and non-reversible part. These schemes are designed to efficiently integrate instances of the GLE whose Markovian representation involves a high number of auxiliary variables or a configuration dependent fluctuation-dissipation term. We also consider an application of dynamics based on the GLE in the context of large scale Bayesian inference as an extension of previously proposed adaptive thermostat methods. In these methods the gradient of the log posterior density is only evaluated on a subset (minibatch) of the whole dataset, which is randomly selected at each timestep. Incorporating a memory kernel in the adaptive thermostat formulation ensures that time-correlated gradient noise is dissipated in accordance with the fluctuation-dissipation theorem.

This allows us to relax the requirement of using i.i.d. minibatches, and explore a variety of minibatch sampling approaches.