Adaptive stepsize algorithms for Langevin dynamics

Abstract: We discuss the design of an invariant measure-preserving transformed dynamics for the numerical treatment of Langevin dynamics based on rescaling of time, with the goal of sampling from an invariant measure. Given an appropriate monitor function which characterizes the numerical difficulty of the problem as a function of the state of the system, this method allows the stepsizes to be reduced only when necessary, facilitating efficient recovery of long-time behavior. We study both the overdamped and underdamped Langevin dynamics. We investigate how an appropriate correction term that ensures preservation of the invariant measure should be incorporated into a numerical splitting scheme. Finally, we demonstrate the use of the technique in several model systems, including a Bayesian sampling problem with a steep prior.