Variance reduction using antithetic variables for a nonlinear convex stochastic homogenization problem - Archive ouverte HAL
Article Dans Une Revue Discrete and Continuous Dynamical Systems - Series S Année : 2015

Variance reduction using antithetic variables for a nonlinear convex stochastic homogenization problem

Résumé

We consider a nonlinear convex stochastic homogenization problem, in a stationary setting. In practice, the deterministic homogenized energy density can only be approximated by a random apparent energy density, obtained by solving the corrector problem on a truncated domain. We show that the technique of antithetic variables can be used to reduce the variance of the computed quantities, and thereby decrease the computational cost at equal accuracy. This leads to an efficient approach for approximating expectations of the apparent homogenized energy density and of related quantities. The efficiency of the approach is numerically illustrated on several test cases. Some elements of analysis are also provided.

Dates et versions

hal-00784187 , version 1 (04-02-2013)

Identifiants

Citer

Frédéric Legoll, William Minvielle. Variance reduction using antithetic variables for a nonlinear convex stochastic homogenization problem. Discrete and Continuous Dynamical Systems - Series S, 2015, 8 (1), pp.1-27. ⟨10.3934/dcdss.2015.8.1⟩. ⟨hal-00784187⟩
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