A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations

DOI10.1137/16M1066658MaRDI QIDQ4594904zbMATH OpenFDO

Authors Kristian Debrabant, Giovanni Samaey, Przemysław Zieliński

Publication date 27 November 2017

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.06171

zbMATH Keywords

convergencealgorithmnumerical experimentstochastic differential equationsentropy optimizationmulti-scale modelingmicro-macro simulationsfinitely extensible nonlinear elastic dumbbellsaccelerated Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We present and analyse a micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations with separation between the (fast) time-scale of individual trajectories and the (slow) time-scale of the macroscopic function of interest. The algorithm combines short bursts of path simulations with extrapolation of a number of macroscopic state variables forward in time. The new microscopic state, consistent with the extrapolated variables, is obtained by a matching operator that minimises the perturbation caused by the extrapolation. We provide a proof of the convergence of this method, in the absence of statistical error, and we analyse various strategies for matching, as an operator on probability measures. Finally, we present numerical experiments that illustrate the effects of the different approximations on the resulting error in macroscopic predictions.

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(15)

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• Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
• Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study

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