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Variance reduction approaches in stochastic homogenization

December 3, 2012
Abstract
Frederic Legoll Ecole Nationale Des Ponts et Chaussees (LAMI) The simulation of random heterogeneous materials is often very expensive.For instance, in a homogenization setting, the homogenized matrix is defined from the so-called corrector function, that solves a partial differential equation set on the entire space. This is in contrast with the periodic case, where the corrector function solves an equation set on a single periodic cell. As a consequence, in the stochastic setting, the numerical approximation of the corrector function is a challenging computational task. In practice, the corrector problem is solved on a truncated domain, and the exact homogenized matrix is recovered only in the limit of infinitely large domains. As a consequence of this truncation, the approximated homogenized matrix turns out to be stochastic, whereas the exact homogenized matrix is deterministic. One then has to resort to Monte-Carlo methods, in order to compute the expectation of the(approximated) homogenized matrix within a good accuracy. Variance reduction questions thus naturally come into play, in order to increase the accuracy (e.g. reduce the size of the confidence interval) for a fixed computational cost. In this talk, we present several variance reduction approaches to address this question, some of them being based on a surrogate, defect-type model proposed by A. Anantharaman and C. Le Bris. Joint work with X. Blanc, R. Costaouec, C. Le Bris and W. Minvielle.