Analysis of a micro-macro acceleration method with minimum relative entropy moment matching

Abstract : We analyse convergence of a micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations with time-scale separation between the (fast) evolution of individual trajectories and the (slow) evolution of the macroscopic function of interest. We consider a class of methods, presented in [Debrabant, K., Samaey, G., Zieli\'nski, P. A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations. SINUM, 55 (2017) no. 6, 2745-2786], that performs short bursts of path simulations, combined with the extrapolation of a few macroscopic state variables forward in time. After extrapolation, a new microscopic state is then constructed, consistent with the extrapolated variable and minimising the perturbation caused by the extrapolation. In the present paper, we study a specific method in which this perturbation is minimised in a relative entropy sense. We discuss why relative entropy is a useful metric, both from a theoretical and practical point of view, and rigorously study local errors and numerical stability of the resulting method as a function of the extrapolation time step and the number of macroscopic state variables. Using these results, we discuss convergence to the full microscopic dynamics, in the limit when the extrapolation time step tends to zero and the number of macroscopic state variables tends to infinity.
Type de document :
Pré-publication, Document de travail
40 pages. 2018
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https://hal.archives-ouvertes.fr/hal-01680761
Contributeur : Tony Lelievre <>
Soumis le : jeudi 11 janvier 2018 - 10:02:08
Dernière modification le : jeudi 26 avril 2018 - 10:27:45

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  • HAL Id : hal-01680761, version 1
  • ARXIV : 1801.01740

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Tony Lelievre, Giovanni Samaey, Przemysław Zieliński. Analysis of a micro-macro acceleration method with minimum relative entropy moment matching. 40 pages. 2018. 〈hal-01680761〉

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