Boletín SEMA, No 50 (2010)

Tamaño de la letra:  Pequeña  Mediana  Grande

VARIANCE REDUCTION IN STOCHASTIC HOMOGENIZATION: PROOF OF CONCEPT, USING ANTITHETIC VARIABLES

R. Costaouec, C. Le Bris, F. Legoll

Resumen


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.

Texto completo: PDF