Coupling importance sampling and multilevel Monte Carlo using sample average approximation

DOI10.1007/S11009-017-9579-YMaRDI QIDQ1657808zbMATH OpenOpenAlexFDO

Authors Ahmed Kebaier, Jérôme Lelong

Publication date 14 August 2018

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.03590

zbMATH Keywords

central limit theoremimportance samplingvariance reductionmultilevel Monte Carlosample average approximationuniform strong large law of numbers

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the different levels independently. The search for parameters is carried out using sample average approximation, which basically consists in applying deterministic optimisation techniques to a Monte Carlo approximation rather than resorting to stochastic approximation. Our innovative estimator leads to a robust and efficient procedure reducing both the discretization error (the bias) and the variance for a given computational effort. In the setting of discretized diffusions, we prove that our estimator satisfies a strong law of large numbers and a central limit theorem with optimal limiting variance, in the sense that this is the variance achieved by the best importance sampling measure (among the class of changes we consider), which is however non tractable. Finally, we illustrate the efficiency of our method on several numerical challenges coming from quantitative finance and show that it outperforms the standard MLMC estimator.

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Cited in

(15)

• Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
• Coupling the reduced-order model and the generative model for an importance sampling estimator
• Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
• Multi-index ensemble Kalman filtering
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Automatic control variates for option pricing using neural networks
• An ensemble scheme for the numerical solution of a random transient heat equation with uncertain inputs
• A cluster-sample approach for Monte Carlo integration using multiple samplers
• Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
• Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
• Estimation of distributions via multilevel Monte Carlo with stratified sampling
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Central limit theorems for multilevel Monte Carlo methods

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