A continuation multilevel Monte Carlo algorithm
From MaRDI portal
Publication:2350720
DOI10.1007/S10543-014-0511-3zbMATH Open1317.65030arXiv1402.2463OpenAlexW3103019089MaRDI QIDQ2350720FDOQ2350720
Authors: Nathan Collier, Abdul-Lateef Haji-Ali, F. Nobile, Erik von Schwerin, R. Tempone 
Publication date: 25 June 2015
Published in: BIT (Search for Journal in Brave)
Abstract: We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the required error tolerance is satisfied. CMLMC assumes discretization hierarchies that are defined a priori for each level and are geometrically refined across levels. The actual choice of computational work across levels is based on parametric models for the average cost per sample and the corresponding weak and strong errors. These parameters are calibrated using Bayesian estimation, taking particular notice of the deepest levels of the discretization hierarchy, where only few realizations are available to produce the estimates. The resulting CMLMC estimator exhibits a non-trivial splitting between bias and statistical contributions. We also show the asymptotic normality of the statistical error in the MLMC estimator and justify in this way our error estimate that allows prescribing both required accuracy and confidence in the final result. Numerical results substantiate the above results and illustrate the corresponding computational savings in examples that are described in terms of differential equations either driven by random measures or with random coefficients.
Full work available at URL: https://arxiv.org/abs/1402.2463
Recommendations
- Multilevel Monte Carlo methods
- Multilevel Monte Carlo methods
- scientific article; zbMATH DE number 2000348
- Advanced Multilevel Monte Carlo Methods
- Multilevel Monte Carlo by using the Halton sequence
- Multilevel Monte Carlo approximation of functions
- An introduction to multilevel Monte Carlo methods
- Adaptive multilevel Monte Carlo for probabilities
- Multilevel Monte Carlo in approximate Bayesian computation
- Multilevel Monte Carlo approximation of distribution functions and densities
Bayesian inferenceMonte Carloalgorithmnumerical resultstochastic differential equationsmultilevel Monte Carlopartial differential equations with random data
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- A fully asynchronous multifrontal solver using distributed dynamic scheduling
- PetIGA: a framework for high-performance isogeometric analysis
- Title not available (Why is that?)
- Multilevel Monte Carlo Path Simulation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Monte Carlo complexity of global solution of integral equations
- Monte Carlo complexity of parametric integration
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Adaptive multilevel Monte Carlo simulation
- Adaptive Weak Approximation of Diffusions with Jumps
- 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
- Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Multilevel path simulation for jump-diffusion SDEs
- Title not available (Why is that?)
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- Stochastic differential equations. An introduction with applications.
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Improved multilevel Monte Carlo convergence using the Milstein scheme
- Adaptive weak approximation of stochastic differential equations
- Option pricing, interest rates and risk management
- Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
- Multilevel Monte Carlo methods for applications in finance
Cited In (53)
- Monte Carlo convergence rates for \(k\)th moments in Banach spaces
- A fully parallelized and budgeted multilevel Monte Carlo method and the application to acoustic waves
- Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- PetIGA: a framework for high-performance isogeometric analysis
- Multi-index Monte Carlo: when sparsity meets sampling
- Multilevel hybrid Chernoff tau-leap
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
- Goal-oriented adaptive modeling of random heterogeneous media and model-based multilevel Monte Carlo methods
- Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
- A MultiOrder Discontinuous Galerkin Monte Carlo Method for Hyperbolic Problems with Stochastic Parameters
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Determining optimal multilevel Monte Carlo parameters with application to fault tolerance
- An Adaptive Multilevel Monte Carlo Method with Stochastic Bounds for Quantities of Interest with Uncertain Data
- A parallel dynamic asynchronous framework for uncertainty quantification by hierarchical Monte Carlo algorithms
- Multilevel hybrid split-step implicit tau-leap
- A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics
- Stochastic turbulence modeling in RANS simulations via multilevel Monte Carlo
- Multilevel asymptotic-preserving Monte Carlo for kinetic-diffusive particle simulations of the Boltzmann-BGK equation
- Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo
- Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods
- Adaptive importance sampling for multilevel Monte Carlo Euler method
- Adaptive Multilevel Monte Carlo for Probabilities
- Multilevel higher order QMC Petrov-Galerkin discretization for affine parametric operator equations
- Unbiased estimation with square root convergence for SDE models
- Convergence analysis of multifidelity Monte Carlo estimation
- Multilevel Monte Carlo acceleration of seismic wave propagation under uncertainty
- Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- A massively parallel implementation of multilevel Monte Carlo for finite element models
- Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities
- Multilevel ensemble Kalman filtering
- Multilevel Control Variates for Uncertainty Quantification in Simulations of Cloud Cavitation
- A Multilevel Monte Carlo Method for Computing Failure Probabilities
- Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings
- A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems
- Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
- A fast discrete spectral method for stochastic partial differential equations
- From rough path estimates to multilevel Monte Carlo
- Ensemble Approximate Control Variate Estimators: Applications to MultiFidelity Importance Sampling
- Unbiased Estimators and Multilevel Monte Carlo
- A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification
- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
- An a posteriori error estimator for the spectral fractional power of the Laplacian
- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation
- A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- $hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Navier--Stokes Equations
- Central limit theorems for multilevel Monte Carlo methods
- Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data
Uses Software
This page was built for publication: A continuation multilevel Monte Carlo algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2350720)
