A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
From MaRDI portal
Publication:1686578
DOI10.1016/J.JCP.2017.03.060zbMATH Open1378.65021arXiv1611.02213OpenAlexW2554404170MaRDI QIDQ1686578FDOQ1686578
Hillary R. Fairbanks, Gianluca Iaccarino, Alireza Doostan, Christian Ketelsen
Publication date: 15 December 2017
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: Multilevel Monte Carlo (MLMC) is a recently proposed variation of Monte Carlo (MC) simulation that achieves variance reduction by simulating the governing equations on a series of spatial (or temporal) grids with increasing resolution. Instead of directly employing the fine grid solutions, MLMC estimates the expectation of the quantity of interest from the coarsest grid solutions as well as differences between each two consecutive grid solutions. When the differences corresponding to finer grids become smaller, hence less variable, fewer MC realizations of finer grid solutions are needed to compute the difference expectations, thus leading to a reduction in the overall work. This paper presents an extension of MLMC, referred to as multilevel control variates (MLCV), where a low-rank approximation to the solution on each grid, obtained primarily based on coarser grid solutions, is used as a control variate for estimating the expectations involved in MLMC. Cost estimates as well as numerical examples are presented to demonstrate the advantage of this new MLCV approach over the standard MLMC when the solution of interest admits a low-rank approximation and the cost of simulating finer grids grows fast.
Full work available at URL: https://arxiv.org/abs/1611.02213
Recommendations
- Multilevel Monte Carlo methods
- scientific article; zbMATH DE number 2000348
- An introduction to multilevel Monte Carlo methods
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients
interpolative decompositionuncertainty quantificationlow-rank approximationcontrol variatestochastic PDEsmultilevel Monte Carlomultifidelity
Monte Carlo methods (65C05) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Automated solution of differential equations by the finite element method. The FEniCS book
- Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
- Stochastic simulation: Algorithms and analysis
- CUR matrix decompositions for improved data analysis
- Multilevel Monte Carlo Path Simulation
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Title not available (Why is that?)
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Spectral Methods for Uncertainty Quantification
- Reduced basis approximation and a posteriori error estimation for affinely parametrized elliptic coercive partial differential equations. Application to transport and continuum mechanics.
- A multilevel approach to control variates
- A non-adapted sparse approximation of PDEs with stochastic inputs
- A stochastic projection method for fluid flow. II: Random process
- A stochastic collocation algorithm with multifidelity models
- Accurate solutions to the square thermally driven cavity at high Rayleigh number
- Efficient Algorithms for Computing a Strong Rank-Revealing QR Factorization
- A weighted \(\ell_1\)-minimization approach for sparse polynomial chaos expansions
- Stochastic model reduction for chaos representations
- Compressive sampling of polynomial chaos expansions: convergence analysis and sampling strategies
- Uncertainty Quantification in CFD Simulations: A Stochastic Spectral Approach
- On the Compression of Low Rank Matrices
- A randomized algorithm for the decomposition of matrices
- Multilevel Monte Carlo Methods
- A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients
- Computational Aspects of Stochastic Collocation with Multifidelity Models
- A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations
- IMPROVING SIMULATION EFFICIENCY WITH QUASI CONTROL VARIATES
- Thermally driven cavity flow with Neumann condition for the pressure
Cited In (18)
- An adjoint-assisted multilevel multifidelity method for uncertainty quantification and its application to turbomachinery manufacturing variability
- GenMod: a generative modeling approach for spectral representation of PDEs with random inputs
- Efficient prediction of turbulent flow quantities using a Bayesian hierarchical multifidelity model
- M-PCM-OFFD: an effective output statistics estimation method for systems of high dimensional uncertainties subject to low-order parameter interactions
- Bi-fidelity reduced polynomial chaos expansion for uncertainty quantification
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- Pass-efficient methods for compression of high-dimensional turbulent flow data
- Practical error bounds for a non-intrusive bi-fidelity approach to parametric/stochastic model reduction
- Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation
- Multiscale Variance Reduction Methods Based on Multiple Control Variates for Kinetic Equations with Uncertainties
- Bi-fidelity stochastic gradient descent for structural optimization under uncertainty
- Multilevel Control Variates for Uncertainty Quantification in Simulations of Cloud Cavitation
- Bi-fidelity variational auto-encoder for uncertainty quantification
- Stochastic field representation using bi-fidelity combination of proper orthogonal decomposition and kriging
- When Bifidelity Meets CoKriging: An Efficient Physics-Informed MultiFidelity Method
- Multifidelity uncertainty quantification with models based on dissimilar parameters
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
Uses Software
This page was built for publication: A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1686578)
