A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations (Q4594904): Difference between revisions

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scientific article; zbMATH DE number 6813059

Language	Label	Description	Also known as
English	A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations	scientific article; zbMATH DE number 6813059

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instance of

scholarly article

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title

A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations (English)

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SIAM Journal on Numerical Analysis

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publication date

27 November 2017

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full work available at URL

https://arxiv.org/abs/1511.06171

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zbMATH Keywords

accelerated Monte Carlo

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entropy optimization

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micro-macro simulations

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multi-scale modeling

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stochastic differential equations

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finitely extensible nonlinear elastic dumbbells

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algorithm

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convergence

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numerical experiment

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MaRDI profile type

MaRDI publication profile

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cites work

Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

0 references

A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

0 references

Theoretical Numerical Analysis

0 references

Duality Relationships for Entropy-Like Minimization Problems

0 references

A patch that imparts unconditional stability to explicit integrators for Langevin-like equations

0 references

Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

0 references

THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE

0 references

Q4215355

0 references

Q5539510

0 references

Q2753270

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Invariance of stochastic control systems with deterministic arguments

0 references

Stochastic viability of convex sets

0 references

Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise

0 references

B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

0 references

B-series analysis of iterated Taylor methods

0 references

Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

0 references

Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

0 references

On the Acceleration of the Multi-Level Monte Carlo Method

0 references

Probability

0 references

The heterogeneous multiscale methods

0 references

Q3538693

0 references

Diffusion Monte Carlo method: Numerical Analysis in a Simple Case

0 references

On the Convergence of an Efficient Algorithm for Kullback–Leibler Approximation of Spectral Densities

0 references

Projective Methods for Stiff Differential Equations: Problems with Gaps in Their Eigenvalue Spectrum

0 references

Kullback-leibler approximation of spectral density functions

0 references

Q3504233

0 references

Multilevel Monte Carlo Path Simulation

0 references

Path-space variational inference for non-equilibrium coarse-grained systems

0 references

Convex Duality and Entropy-Based Moment Closures: Characterizing Degenerate Densities

0 references

Q4104377

0 references

On the Regularity of Solutions to FENE Models

0 references

Canonical distribution functions in polymer dynamics. I: Dilute solutions of flexible polymers

0 references

Q4659188

0 references

Existence of solution for a micro-macro model of polymeric fluid: The FENE model.

0 references

Equation-free, coarse-grained multiscale computation: enabling microscopic simulators to perform system-level analysis

0 references

Q3010640

0 references

Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

0 references

Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

0 references

A High-Order Asymptotic-Preserving Scheme for Kinetic Equations Using Projective Integration

0 references

A high-order relaxation method with projective integration for solving nonlinear systems of hyperbolic conservation laws

0 references

Calculation of viscoelastic flow using molecular models: The CONNFFESSIT approach

0 references

Multiscale Modelling of Complex Fluids: A Mathematical Initiation

0 references

Second-order accurate projective integrators for multiscale problems

0 references

Q3560913

0 references

New closure approximations for the kinetic theory of finitely extensible dumbbells

0 references

Global well-posedness for the microscopic FENE model with a sharp boundary condition

0 references

Q4319807

0 references

Variance Reduction for Simulated Diffusions

0 references

Q4531864

0 references

Stochastic Processes and Applications

0 references

Coarse projective kMC integration: Forward/reverse initial and boundary value problems

0 references

Integrals which are convex functionals

0 references

Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

0 references

Second order Runge-Kutta methods for Stratonovich stochastic differential equations

0 references

Stochastic Taylor Expansions for Functionals of Diffusion Processes

0 references

A numerical closure approach for kinetic models of polymeric fluids: exploring closure relations for FENE dumbbells

0 references

Multivariate Density Estimation

0 references

Increasing the real stability boundary of explicit methods

0 references

Q5454433

0 references

Expansion of the global error for numerical schemes solving stochastic differential equations

0 references

Recovering a function from a finite number of moments

0 references

An efficient Newton-Krylov implementation of the constrained runs scheme for initializing on a slow manifold

0 references

Accuracy analysis of acceleration schemes for stiff multiscale problems

0 references

Crucial properties of the moment closure model FENE-QE

0 references

Identifiers

zbMATH Open document ID

1378.65031

0 references

DOI

10.1137/16M1066658

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Mathematics Subject Classification ID

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0 references

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Sitelinks

Mathematics(1 entry)

mardi Publication:4594904

@@ Property / cites work @@
+Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
+Normal rank
@@ Property / cites work @@
+Theoretical Numerical Analysis
@@ Property / cites work: Theoretical Numerical Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Duality Relationships for Entropy-Like Minimization Problems
+Normal rank
@@ Property / cites work @@
+A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
+Normal rank
@@ Property / cites work @@
+Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
+Normal rank
@@ Property / cites work @@
+Q4215355
@@ Property / cites work: Q4215355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5539510
@@ Property / cites work: Q5539510 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2753270
@@ Property / cites work: Q2753270 / rank @@
+Normal rank
@@ Property / cites work @@
+Invariance of stochastic control systems with deterministic arguments
+Normal rank
@@ Property / cites work @@
+Stochastic viability of convex sets
@@ Property / cites work: Stochastic viability of convex sets / rank @@
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
+Normal rank
@@ Property / cites work @@
+B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
+Normal rank
@@ Property / cites work @@
+B-series analysis of iterated Taylor methods
@@ Property / cites work: B-series analysis of iterated Taylor methods / rank @@
+Normal rank
@@ Property / cites work @@
+Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
+Normal rank
@@ Property / cites work @@
+Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the Acceleration of the Multi-Level Monte Carlo Method
+Normal rank
@@ Property / cites work @@
+Probability
@@ Property / cites work: Probability / rank @@
+Normal rank
@@ Property / cites work @@
+The heterogeneous multiscale methods
@@ Property / cites work: The heterogeneous multiscale methods / rank @@
+Normal rank
@@ Property / cites work @@
+Q3538693
@@ Property / cites work: Q3538693 / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
+Normal rank
@@ Property / cites work @@
+On the Convergence of an Efficient Algorithm for Kullback–Leibler Approximation of Spectral Densities
+Normal rank
@@ Property / cites work @@
+Projective Methods for Stiff Differential Equations: Problems with Gaps in Their Eigenvalue Spectrum
+Normal rank
@@ Property / cites work @@
+Kullback-leibler approximation of spectral density functions
+Normal rank
@@ Property / cites work @@
+Q3504233
@@ Property / cites work: Q3504233 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Path-space variational inference for non-equilibrium coarse-grained systems
+Normal rank
@@ Property / cites work @@
+Convex Duality and Entropy-Based Moment Closures: Characterizing Degenerate Densities
+Normal rank
@@ Property / cites work @@
+Q4104377
@@ Property / cites work: Q4104377 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Regularity of Solutions to FENE Models
@@ Property / cites work: On the Regularity of Solutions to FENE Models / rank @@
+Normal rank
@@ Property / cites work @@
+Canonical distribution functions in polymer dynamics. I: Dilute solutions of flexible polymers
+Normal rank
@@ Property / cites work @@
+Q4659188
@@ Property / cites work: Q4659188 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of solution for a micro-macro model of polymeric fluid: The FENE model.
+Normal rank
@@ Property / cites work @@
+Equation-free, coarse-grained multiscale computation: enabling microscopic simulators to perform system-level analysis
+Normal rank
@@ Property / cites work @@
+Q3010640
@@ Property / cites work: Q3010640 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
+Normal rank
@@ Property / cites work @@
+A High-Order Asymptotic-Preserving Scheme for Kinetic Equations Using Projective Integration
+Normal rank
@@ Property / cites work @@
+A high-order relaxation method with projective integration for solving nonlinear systems of hyperbolic conservation laws
+Normal rank
@@ Property / cites work @@
+Calculation of viscoelastic flow using molecular models: The CONNFFESSIT approach
+Normal rank
@@ Property / cites work @@
+Multiscale Modelling of Complex Fluids: A Mathematical Initiation
+Normal rank
@@ Property / cites work @@
+Second-order accurate projective integrators for multiscale problems
+Normal rank
@@ Property / cites work @@
+Q3560913
@@ Property / cites work: Q3560913 / rank @@
+Normal rank
@@ Property / cites work @@
+New closure approximations for the kinetic theory of finitely extensible dumbbells
+Normal rank
@@ Property / cites work @@
+Global well-posedness for the microscopic FENE model with a sharp boundary condition
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance Reduction for Simulated Diffusions
@@ Property / cites work: Variance Reduction for Simulated Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4531864
@@ Property / cites work: Q4531864 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Processes and Applications
@@ Property / cites work: Stochastic Processes and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Coarse projective kMC integration: Forward/reverse initial and boundary value problems
+Normal rank
@@ Property / cites work @@
+Integrals which are convex functionals
@@ Property / cites work: Integrals which are convex functionals / rank @@
+Normal rank
@@ Property / cites work @@
+Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Second order Runge-Kutta methods for Stratonovich stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Taylor Expansions for Functionals of Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A numerical closure approach for kinetic models of polymeric fluids: exploring closure relations for FENE dumbbells
+Normal rank
@@ Property / cites work @@
+Multivariate Density Estimation
@@ Property / cites work: Multivariate Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Increasing the real stability boundary of explicit methods
+Normal rank
@@ Property / cites work @@
+Q5454433
@@ Property / cites work: Q5454433 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Recovering a function from a finite number of moments
+Normal rank
@@ Property / cites work @@
+An efficient Newton-Krylov implementation of the constrained runs scheme for initializing on a slow manifold
+Normal rank
@@ Property / cites work @@
+Accuracy analysis of acceleration schemes for stiff multiscale problems
+Normal rank
@@ Property / cites work @@
+Crucial properties of the moment closure model FENE-QE
+Normal rank