Variance reduction using antithetic variables for a nonlinear convex stochastic homogenization problem

DOI10.3934/DCDSS.2015.8.1MaRDI QIDQ479065zbMATH OpenOpenAlexFDO

Authors F. Legoll, William Minvielle

Publication date 5 December 2014

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.0038

zbMATH Keywords

variance reductionstochastic homogenizationantithetic variablesnonlinear variational problems

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We consider a nonlinear convex stochastic homogenization problem, in a stationary setting. In practice, the deterministic homogenized energy density can only be approximated by a random apparent energy density, obtained by solving the corrector problem on a truncated domain. We show that the technique of antithetic variables can be used to reduce the variance of the computed quantities, and thereby decrease the computational cost at equal accuracy. This leads to an efficient approach for approximating expectations of the apparent homogenized energy density and of related quantities. The efficiency of the approach is numerically illustrated on several test cases. Some elements of analysis are also provided.

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Cited in

(14)

• A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization
• Variance reduction in stochastic homogenization: proof of concept, using antithetic variables
• The annealed Calderón-Zygmund estimate as convenient tool in quantitative stochastic homogenization
• Variance reduction in stochastic homogenization using antithetic variables
• Variance reduction using antithetic variables for a nonlinear convex stochastic homogenization problem
• An attempt at classifying homogenization-based numerical methods
• Special quasirandom structures: a selection approach for stochastic homogenization
• Preface: Homogenization-Based Numerical Methods
• A variance reduction strategy for numerical random homogenization based on the equivalent inclusion method
• Examples of computational approaches for elliptic, possibly multiscale PDEs with random inputs
• Numerical approximation of effective coefficients in stochastic homogenization of discrete elliptic equations
• Variance reduction in stochastic homogenization: the technique of antithetic variables
• Tensor-based multiscale method for diffusion problems in quasi-periodic heterogeneous media
• Some variance reduction methods for numerical stochastic homogenization

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