We introduce two drift-diagonally-implicit and derivative-free integrators for stiff systems of Itô stochastic differential equations with general non-commutative noise which have weak order 2 and deterministic order 2, 3, respectively. The methods are shown to be mean-square A-stable for the usual complex scalar linear test problem with multiplicative noise and improve significantly the stability properties of the drift-diagonally-implicit methods previously introduced (Debrabant and Rößler, Appl. Numer. Math. 59(3–4):595–607, 2009). 相似文献
Multi‐scale differential equations are problems in which the variables can have different length scales. The direct numerical solution of differential equations with multiple scales is often difficult due to the work for resolving the smallest scale. We present here a strategy which allows the use of finite difference methods for the numerical solution of parabolic multi‐scale problems, based on a coupling of macroscopic and microscopic models for the original equation. 相似文献
Optimal stability polynomials are polynomials whose stability region is as large as possible in a certain region, here the negative real axis. We are interested in such polynomials which in addition, obey a certain order condition. An important application of these polynomials is the construction of stabilized explicit Runge-Kutta methods. In this paper we will give some properties of the roots of these polynomials, and prove that their error constant is always positive. Furthermore, for a given order, the error constant decreases as the degree increases. 相似文献
In this paper, we propose a new approach for sampling from probability measures in, possibly, high-dimensional spaces. By perturbing the standard overdamped Langevin dynamics by a suitable Stratonovich perturbation that preserves the invariant measure of the original system, we show that accelerated convergence to equilibrium and reduced asymptotic variance can be achieved, leading, thus, to a computationally advantageous sampling algorithm. The new perturbed Langevin dynamics is reversible with respect to the target probability measure and, consequently, does not suffer from the drawbacks of the nonreversible Langevin samplers that were introduced in C.-R. Hwang et al. (1993) [1] and studied in, e.g., T. Lelièvre et al. (2013) [2] and A.B. Duncan et al. (2016) [3], while retaining all of their advantages in terms of accelerated convergence and reduced asymptotic variance. In particular, the reversibility of the dynamics ensures that there is no oscillatory transient behaviour. The improved performance of the proposed methodology, in comparison to the standard overdamped Langevin dynamics and its nonreversible perturbation, is illustrated on an example of sampling from a two-dimensional warped Gaussian target distribution. 相似文献
We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coefficient of the homogenized equation requires pre-processing of the data, often in the form of subsampling; this is because the two-scale equation and the homogenized single-scale equation are incompatible at small scales, generating mutually singular measures on the path space. We avoid subsampling and work instead with filtered data, found by application of an appropriate kernel function, and compute maximum likelihood estimators based on the filtered process. We show that the estimators we propose are asymptotically unbiased and demonstrate numerically the advantages of our method with respect to subsampling. Finally, we show how our filtered data methodology can be combined with Bayesian techniques and provide a full uncertainty quantification of the inference procedure.
In this Note we derive a posteriori error estimates for a multiscale method, the so-called heterogeneous multiscale method, applied to elliptic homogenization problems. The multiscale method is based on a macro-to-micro formulation. The macroscopic method discretizes the physical problem in a macroscopic finite element space, while the microscopic method recovers the unknown macroscopic data on the fly during the macroscopic stiffness matrix assembly process. We propose a framework for the analysis allowing to take advantage of standard techniques for a posteriori error estimates at the macroscopic level and to derive residual-based indicators in the macroscopic domain for adaptive mesh refinement. To cite this article: A. Abdulle, A. Nonnenmacher, C. R. Acad. Sci. Paris, Ser. I 347 (2009).相似文献
A new finite element method for the efficient discretization of elliptic homogenization problems is proposed. These problems, characterized by data varying over a wide range of scales cannot be easily solved by classical numerical methods that need mesh resolution down to the finest scales and multiscale methods capable of capturing the large scale components of the solution on macroscopic meshes are needed. Recently, the finite element heterogeneous multiscale method (FE-HMM) has been proposed for such problems, based on a macroscopic solver with effective data recovered from the solution of micro problems on sampling domains at quadrature points of a macroscopic mesh. Departing from the approach used in the FE-HMM, we show that interpolation techniques based on the reduced basis methodology (an offline-online strategy) allow one to design an efficient numerical method relying only on a small number of accurately computed micro solutions. This new method, called the reduced basis finite element heterogeneous multiscale method (RB-FE-HMM) is significantly more efficient than the FE-HMM for high order macroscopic discretizations and for three-dimensional problems, when the repeated computation of micro problems over the whole computational domain is expensive. A priori error estimates of the RB-FE-HMM are derived. Numerical computations for two and three dimensional problems illustrate the applicability and efficiency of the numerical method. 相似文献