https://hal.archives-ouvertes.fr/hal-00688127Desceliers, ChristopheChristopheDesceliersLaM - Laboratoire de Mécanique - UPEM - Université Paris-Est Marne-la-ValléeGhanem, R.R.GhanemJHU - Johns Hopkins UniversitySoize, ChristianChristianSoizeLaM - Laboratoire de Mécanique - UPEM - Université Paris-Est Marne-la-ValléeStochastic conditioner for accelerating convergence of Monte Carlo simulationsHAL CCSD2004polynomial chaos decompositionstochastic preconditionerlinear system of stochastic equations[MATH.MATH-PR] Mathematics [math]/Probability [math.PR]Soize, ChristianSandia National Laboratory2012-04-16 17:07:452022-09-29 14:21:152012-04-17 09:42:39enConference papersapplication/pdf1A method is developed in this paper to accelerate the convergence in computing the solution of stochastic algebraic systems of equations. The method is based on computing, via statistical sampling, a polynomial chaos decomposition of a stochastic preconditioner to the system of equations. This preconditioner can subsequently be used in conjunction with either Chaos representations of the solution or with approaches based on Monte Carlo sampling. In addition to presenting the supporting theory, the paper also presents a convergence analysis and an example to demonstrate the significance of the proposed algorithm.