Nawaf Bou-Rabee
Assistant Professor of Mathematics

I completed my PhD in 2007 from the California Institute of Technology under the supervision of the late Jerrold E. Marsden. From 2008-2011, I was an NSF Mathematical Sciences Postdoctoral Fellow at New York University under the supervision of Eric Vanden-Eijnden. Since 2011, I have been an Assistant Professor at the Mathematical Sciences Department of Rutgers University in Camden, New Jersey. I am currently interested in the numerical solution of stochastic partial differential equations and Markov Chain Monte Carlo methods. Below you will find my papers, slides from recent talks, and MATLAB programs illustrating how ideas from these papers may be used in practice.

Papers and Preprints

Randomized Hamiltonian Monte Carlo,
with Jesús María Sanz-Serna,
arXiv:1511.09382 [math.PR], 2015.
Continuous Time Random Walks for the Numerical Solution of Stochastic Differential Equations,
with Eric Vanden-Eijnden,
arXiv:1502.05034 [math.PR], 2015.
Metropolis Integration Schemes for Self-Adjoint Diffusions,
with Aleksandar Donev and Eric Vanden-Eijnden,
Multiscale Modeling & Simulation, Vol. 12, No. 2, pp. 781-831, 2014.
Time Integrators for Molecular Dynamics,
Entropy, 16, 138-162, 2014.
Non-asymptotic mixing of the MALA algorithm,
with Martin Hairer,
IMA J Numer Anal, 33, 80-110, 2013.
A patch that imparts unconditional stability to explicit integrators for Langevin-like equations,
with Eric Vanden-Eijnden,
J Comput Phys, 231, 2565-2580, 2012.
Pathwise accuracy and ergodicity of Metropolized integrators for SDEs,
with Eric Vanden-Eijnden,
Commun Pure Appl Math, 63, 655-696, 2010.
Long-run accuracy of variational integrators in the stochastic context,
with Houman Owhadi,
SIAM J of Numer Anal, 48, 278-297, 2010.
A Comparison of GHMC with and without Momentum Flips,
with Elena Akhmatskaya and Sebastian Reich,
J Comput Phys, 228, 2256 - 2265, 2009.
Stochastic variational integrators,
with Houman Owhadi,
IMA J of Numer Anal, 2, 421-443, 2009.
Hamilton-Pontryagin integrators on Lie groups,
with Jerrold Marsden,
Found Comput Math, 9, 197-219, 2009.

Slides from Recent Talks

Generalized Markov Chain Approximation Methods
Mathematics Colloquium, UC3M, Madrid, Spain, May, 2016
Markov Chain Approximation Methods for Sampling Quasistationary Distributions
Oberseminar Stochastik, Institute for Applied Mathematics, Bonn University, September, 2015
New Perspectives in Markov Chain Monte Carlo
Summer School, Valladolid, Spain, June 8-12, 2015
  1. Discrete-Time MCMC
  2. Steady-State Simulation of Self-Adjoint Diffusions
  3. Continuous-Time MCMC
  4. Markov Chain Approximation Methods
How to simulate stochastic differential equations without discretizing time?
Stochastic Computation Workshop, Montevideo, Uruguay, December 2014
Structure-preserving algorithms for self-adjoint diffusions
Scientific and Statistical Computing Seminar, U. of Chicago, IL, 2014

Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Partial Differential Equations

Markov Chain Monte Carlo

Research Support

I would like to gratefully acknowledge support from the National Science Foundation.