Stochastic conditioner for accelerating convergence of Monte Carlo simulations

Christophe Desceliers (1) , R. Ghanem (2) , Christian Soize (1)

1 LaM - Laboratoire de Mécanique
2 JHU - Johns Hopkins University

A 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.

Mots clés: polynomial chaos decomposition; stochastic preconditioner; linear system of stochastic equations

Domaines: Probabilités [math.PR]

Christophe Desceliers, R. Ghanem, Christian Soize. Stochastic conditioner for accelerating convergence of Monte Carlo simulations. 9th ASCE Joint Speciality Conference on Probabilistic Mechanics and Structural Reliability, Sandia National Laboratory, Jul 2004, Albuquerque, New Mexico, United States. pp.1-6. ⟨hal-00688127⟩