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Some variance reduction methods for numerical stochastic homogenization #MMPMID27002065
Blanc X; Le Bris C; Legoll F
Philos Trans A Math Phys Eng Sci 2016[Apr]; 374 (2066): ä PMID27002065show ga
We give an overview of a series of recent studies devoted to variance reduction techniques for numerical stochastic homogenization. Numerical homogenization requires that a set of problems is solved at the microscale, the so-called corrector problems. In a random environment, these problems are stochastic and therefore need to be repeatedly solved, for several configurations of the medium considered. An empirical average over all configurations is then performed using the Monte Carlo approach, so as to approximate the effective coefficients necessary to determine the macroscopic behaviour. Variance severely affects the accuracy and the cost of such computations. Variance reduction approaches, borrowed from other contexts in the engineering sciences, can be useful. Some of these variance reduction techniques are presented, studied and tested here.