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

DOI10.1016/j.spa.2019.10.008OpenAlexW2981602389WikidataQ126994240 ScholiaQ126994240MaRDI QIDQ2175337

Giovanni Samaey, Przemysław Zieliński, Tony Lelièvre

Publication date: 29 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.01740

zbMATH Keywords

weak convergenceKullback-Leibler divergencestiff stochastic differential equationsmicro-macro simulationsentropy optimisation

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Measures of information, entropy (94A17) Numerical solution to inverse problems in abstract spaces (65J22)

Related Items (4)

Parareal computation of stochastic differential equations with time-scale separation: a numerical convergence study ⋮ Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise ⋮ Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise ⋮ Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations

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