Convergence and stability of a micro-macro acceleration method:linear slow-fast stochastic differential equations with additive noise
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2019
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| _version_ | 1866915071447269376 |
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| author | Zieliński, Przemysław Vandecasteele, Hannes Samaey, Giovanni |
| author_facet | Zieliński, Przemysław Vandecasteele, Hannes Samaey, Giovanni |
| contents | We analyse the convergence and stability of a micro-macro acceleration algorithm for Monte Carlo simulations of stiff stochastic differential equations with a time-scale separation between the fast evolution of the individual stochastic realizations and some slow macroscopic state variables of the process. The micro-macro acceleration method performs a short simulation of a large ensemble of individual fast paths, before extrapolating the macroscopic state variables of interest over a larger time step. After extrapolation, the method constructs a new probability distribution that is consistent with the extrapolated macroscopic state variables, while minimizing Kullback-Leibler divergence with respect to the distribution available at the end of the Monte Carlo simulation. In the current work, we study the convergence and stability of this method on linear stochastic differential equations with additive noise, when only extrapolating the mean of the slow component. For this case, we prove convergence to the microscopic dynamics when the initial distribution is Gaussian and present a stability result for non-Gaussian initial laws. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_1901_07405 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Convergence and stability of a micro-macro acceleration method:linear slow-fast stochastic differential equations with additive noise Zieliński, Przemysław Vandecasteele, Hannes Samaey, Giovanni Numerical Analysis 65L20, 60H35, 65C05, 62E17, 94A17 We analyse the convergence and stability of a micro-macro acceleration algorithm for Monte Carlo simulations of stiff stochastic differential equations with a time-scale separation between the fast evolution of the individual stochastic realizations and some slow macroscopic state variables of the process. The micro-macro acceleration method performs a short simulation of a large ensemble of individual fast paths, before extrapolating the macroscopic state variables of interest over a larger time step. After extrapolation, the method constructs a new probability distribution that is consistent with the extrapolated macroscopic state variables, while minimizing Kullback-Leibler divergence with respect to the distribution available at the end of the Monte Carlo simulation. In the current work, we study the convergence and stability of this method on linear stochastic differential equations with additive noise, when only extrapolating the mean of the slow component. For this case, we prove convergence to the microscopic dynamics when the initial distribution is Gaussian and present a stability result for non-Gaussian initial laws. |
| title | Convergence and stability of a micro-macro acceleration method:linear slow-fast stochastic differential equations with additive noise |
| topic | Numerical Analysis 65L20, 60H35, 65C05, 62E17, 94A17 |
| url | https://arxiv.org/abs/1901.07405 |