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Variance reduction for the equation-free simulation of multiscale stochastic systems

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Papavasiliou, Anastasia and Kevrekidis, Ioannis G. (2007) Variance reduction for the equation-free simulation of multiscale stochastic systems. Multiscale Modeling & Simulation, Volume6 (Number 1). pp. 70-89. doi:10.1137/060650635

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Official URL: http://dx.doi.org/10.1137/060650635

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Abstract

We study the problem of simulating the slow observable of a multiscale diffusion process. In particular, we extend previous algorithms to the case where the simulation of the different scales cannot be uncoupled and we have no explicit knowledge of the drift or the variance of the multiscale diffusion. This is the case when the simulation data come from a black box "legacy code," or possibly from a. ne scale simulator (e.g., MD, kMC) which we want to effectively model as a diffusion process. We improve the algorithm, using the past simulations as control variates, in order to reduce the variance of the subsequent simulations.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Q Science > QC Physics
Divisions: Faculty of Science > Statistics
Journal or Publication Title: Multiscale Modeling & Simulation
Publisher: World Scientific Publishing Co. Pte. Ltd.
ISSN: 1540-3459
Official Date: 2007
Dates:
DateEvent
2007UNSPECIFIED
Volume: Volume6
Number: Number 1
Number of Pages: 20
Page Range: pp. 70-89
DOI: 10.1137/060650635
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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