Tensor approximation of the self-diffusion matrix of tagged particle processes
Résumé
The objective of this paper is to investigate a new numerical method for the approximation of the
self-diffusion matrix of a tagged particle process defined on a grid. While standard numerical methods
make use of long-time averages of empirical means of deviations of some stochastic processes, and are thus
subject to statistical noise, we propose here a tensor method in order to compute an approximation of
the solution of a high-dimensional quadratic optimization problem, which enables to obtain a numerical
approximation of the self-diffusion matrix. The tensor method we use here relies on an iterative scheme
which builds low-rank approximations of the quantity of interest and on a carefully tuned variance
reduction method so as to evaluate the various terms arising in the functional to minimize. In particular,
we numerically observe here that it is much less subject to statistical noise than classical approaches.
Domaines
Analyse numérique [math.NA]Origine | Fichiers produits par l'(les) auteur(s) |
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