A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization

DOI10.1137/140980120zbMATH Open1330.35553arXiv1407.8029OpenAlexW2067548957MaRDI QIDQ5266232FDOQ5266232

Authors: F. Legoll, William Minvielle 

Publication date: 30 July 2015

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Abstract: We consider a variance reduction approach for the stochastic homogenization of divergence form linear elliptic problems. Although the exact homogenized coefficients are deterministic, their practical approximations are random. We introduce a control variate technique to reduce the variance of the computed approximations of the homogenized coefficients. Our approach is based on a surrogate model inspired by a defect-type theory, where a perfect periodic material is perturbed by rare defects. This model has been introduced in [A. Anantharaman and C. Le Bris, CRAS 2010] in the context of weakly random models. In this work, we address the fully random case, and show that the perturbative approaches proposed in [A. Anantharaman and C. Le Bris, CRAS 2010, MMS 2011] can be turned into an efficient control variable. We theoretically demonstrate the efficiency of our approach in simple cases. We next provide illustrating numerical results and compare our approach with other variance reduction strategies. We also show how to use the Reduced Basis approach proposed in [C. Le Bris and F. Thomines, Chinese Ann. Math. 2012] so that the cost of building the surrogate model remains limited.

Full work available at URL: https://arxiv.org/abs/1407.8029

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zbMATH Keywords

variance reductioncontrol variatestochastic homogenization

Mathematics Subject Classification ID

Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (13)

• Special quasirandom structures: a selection approach for stochastic homogenization
• Analyticity of homogenized coefficients under Bernoulli perturbations and the Clausius-Mossotti formulas
• Tensor-based multiscale method for diffusion problems in quasi-periodic heterogeneous media
• Some variance reduction methods for numerical stochastic homogenization
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• Tensor-Based Numerical Method for Stochastic Homogenization
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• Examples of computational approaches for elliptic, possibly multiscale PDEs with random inputs

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