2018/05/14 16:15-17:00

CE-Seminar: "Multiscale simulation of slow-fast high-dimensional stochastic processes: methods and applications"


TU Darmstadt, Gebäude S2|17, Raum 103 (TEMF, Schloßgartenstraße)

Veranstalter: The Graduate School of Excellence Computational Engineering (CE)

Referent: Prof. Dr. Giovanni Samaey, KU Leuven, Belgium


We present a framework for the design, analysis and application of computational multiscale methods for slow-fast high-dimensional stochastic processes. We call these processes „microscopic'', and assume existence of an approximate “macroscopic'' model that captures the slow behaviour of a selected set of macroscopic state variables. The methodology combines short bursts of microscopic simulation with extrapolation at the macroscopic level. The methodology requires the careful study of a few key algorithmic ingredients. First, we need to properly initialise the microscopic system, based on a given macroscopic state and (possibly) a prior microscopic state that contains additional information about the system. Second, we need to control the variance of the noise that originates from the microscopic Monte Carlo simulation. Third, we need to analyse stability of the extrapolation step. We will discuss these aspects on two types of model problems -- scale-separated SDEs and kinetic equations -- and show the efficacity of the resulting methods in diverse applications, ranging from tumor growth to fusion energy.

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