Some variance reduction methods for numerical stochastic homogenization - Archive ouverte HAL
Article Dans Une Revue Philosophical Transactions of the Royal Society of London. A (1887–1895) Année : 2016

Some variance reduction methods for numerical stochastic homogenization

Résumé

We overview a series of recent works devoted to variance reduction techniques for numerical stochastic homogenization. Numerical homogenization requires solving a set of problems at the micro scale, the so-called corrector problems. In a random environment, these problems are stochastic and therefore need to be repeatedly solved, for several configurations of the medium considered. An empirical average over all configurations is then performed using the Monte-Carlo approach, so as to approximate the effective coefficients necessary to determine the macroscopic behavior. Variance severely affects the accuracy and the cost of such computations. Variance reduction approaches, borrowed from other contexts of the engineering sciences, can be useful. Some of these variance reduction techniques are presented, studied and tested here.

Dates et versions

hal-01196499 , version 1 (09-09-2015)

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Citer

Xavier Blanc, Claude Le Bris, Frédéric Legoll. Some variance reduction methods for numerical stochastic homogenization. Philosophical Transactions of the Royal Society of London. A (1887–1895), 2016, 374 (2066), pp.20150168. ⟨10.1098/rsta.2015.0168⟩. ⟨hal-01196499⟩
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