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Preprints, Working Papers, ... Year : 2021

Influence of sampling on the convergence rates of greedy algorithms for parameter-dependent random variables

Abstract

The main focus of this article is to provide a mathematical study of the algorithm proposed in [6] where the authors proposed a variance reduction technique for the computation of parameter-dependent expectations using a reduced basis paradigm. We study the effect of Monte-Carlo sampling on the theoretical properties of greedy algorithms. In particular, using concentration inequalities for the empirical measure in Wasserstein distance proved in [14], we provide sufficient conditions on the number of samples used for the computation of empirical variances at each iteration of the greedy procedure to guarantee that the resulting method algorithm is a weak greedy algorithm with high probability. These theoretical results are not fully practical and we therefore propose a heuristic procedure to choose the number of Monte-Carlo samples at each iteration, inspired from this theoretical study, which provides satisfactory results on several numerical test cases.
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Dates and versions

hal-03238244 , version 1 (27-05-2021)
hal-03238244 , version 2 (23-09-2021)

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Mohamed-Raed Blel, Virginie Ehrlacher, Tony Lelièvre. Influence of sampling on the convergence rates of greedy algorithms for parameter-dependent random variables. 2021. ⟨hal-03238244v2⟩
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