Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation

DOI10.1007/S11222-017-9771-5MaRDI QIDQ1704027zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Abdul-Lateef Haji-Ali, R. Tempone

Publication date 8 March 2018

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1610.09934

zbMATH Keywords

combination techniqueMcKean-Vlasovmean-fieldMonte Carlomulti-index Monte Carlomultilevel Monte Carloparticle systemssparse approximationstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Abstract: We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to estimating the weak solution of the limiting McKean-Vlasov SDE. To that end, our approach uses systems with finite numbers of particles and a time-stepping scheme. In this case, there are two discretization parameters: the number of time steps and the number of particles. Based on these two parameters, we consider different variants of the Monte Carlo and Multilevel Monte Carlo (MLMC) methods and show that, in the best case, the optimal work complexity of MLMC, to estimate the functional in one typical setting with an error tolerance of $mathrmTOL$, is $mathcalOleft(mathrm{TOL}^{-3}ight)$ when using the partitioning estimator and the Milstein time-stepping scheme. We also consider a method that uses the recent Multi-index Monte Carlo method and show an improved work complexity in the same typical setting of $mathcalOleft(mathrm{TOL}^{-2}log(mathrm{TOL}^{-1}{)}^{2}ight)$. Our numerical experiments are carried out on the so-called Kuramoto model, a system of coupled oscillators.

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Cited in

(23)

• Multi-index ensemble Kalman filtering
• Random batch methods (RBM) for interacting particle systems
• Antithetic multilevel sampling method for nonlinear functionals of measure
• Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
• Iterative multilevel particle approximation for McKean-Vlasov SDEs
• Random-batch method for multi-species stochastic interacting particle systems
• Analysis of multi-index Monte Carlo estimators for a Zakai SPDE
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• Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
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• A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
• Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
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• Accelerated Simulation of Boltzmann-BGK Equations near the Diffusive Limit with Asymptotic-Preserving Multilevel Monte Carlo
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
• Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• Double-loop importance sampling for McKean-Vlasov stochastic differential equation
• Efficient estimation of expected information gain in Bayesian experimental design with multi-index Monte Carlo
• Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
• Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
• Monte Carlo-moments micro-macro parareal method for unimodal and bimodal scalar McKean-Vlasov sdes
• Multi-index importance sampling for McKean-Vlasov stochastic differential equations

Describes a project that uses

Uses Software

• GNU parallel
• mimclib
• GitHub

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