Variance reduction in stochastic homogenization : proof of concept, using antithetic variables
Variance reduction in stochastic homogenization : proof of concept, using antithetic variables
COSTAOUEC ; LE BRIS ; LEGOLL
Type de document
ARTICLE A COMITE DE LECTURE NON REPERTORIE DANS BDI (ACLN)
Langue
anglais
Auteur
COSTAOUEC ; LE BRIS ; LEGOLL
Résumé / Abstract
We show that we can reduce the variance in a simple problem of stochastic homogenization using the classical technique of antithetic variables. The setting, and the presentation, are deliberately kept elementary. We point out the main issues, show some illustrative results, and demonstrate, both theoretically and numerically, the efficiency of the approach on simple cases.
Source
Boletín de la Sociedad Española de Matemática Aplicada, num. 50, pp 9-27 p.
