Multilevel Monte Carlo approaches for numerical homogenization - Archive ouverte HAL
Article Dans Une Revue Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal Année : 2015

Multilevel Monte Carlo approaches for numerical homogenization

Résumé

In this article, we study the application of Multi-Level Monte Carlo (MLMC) approaches to numerical random homogenization. Our objective is to compute the expectation of some functionals of the homogenized coefficients, or of the homogenized solutions. This is accomplished within MLMC by considering different levels of representative volumes (RVE), and, when it comes to homogenized solutions, different levels of coarse-grid meshes. Many inexpensive computations with the smallest RVE size and the largest coarse mesh are combined with fewer expensive computations performed on larger RVEs and smaller coarse meshes. We show that, by carefully selecting the number of realizations at each level, we can achieve a speed-up in the computations in comparison to a standard Monte Carlo method. Numerical results are presented both for one-dimensional and two-dimensional test-cases.

Dates et versions

hal-00776287 , version 1 (15-01-2013)

Identifiants

Citer

Yalchin Efendiev, Cornelia Kronsbein, Frédéric Legoll. Multilevel Monte Carlo approaches for numerical homogenization. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 2015, 13 (4), pp.1107-1135. ⟨10.1137/130905836⟩. ⟨hal-00776287⟩
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