A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation
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Publication:503308
DOI10.1016/J.CMA.2012.05.003zbMATH Open1354.65010OpenAlexW1971965579MaRDI QIDQ503308FDOQ503308
Authors: Sebastien Boyabal 
Publication date: 12 January 2017
Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)
Abstract: The Reduced-Basis Control-Variate Monte-Carlo method was introduced recently in [S. Boyaval and T. Leli`evre, CMS, 8 2010] as an improved Monte-Carlo method, for the fast estimation of many parametrized expected values at many parameter values. We provide here a more complete analysis of the method including precise error estimates and convergence results. We also numerically demonstrate that it can be useful to some parametrized frameworks in Uncertainty Quantification, in particular (i) the case where the parametrized expectation is a scalar output of the solution to a Partial Differential Equation (PDE) with stochastic coefficients (an Uncertainty Propagation problem), and (ii) the case where the parametrized expectation is the Bayesian estimator of a scalar output in a similar PDE context. Moreover, in each case, a PDE has to be solved many times for many values of its coefficients. This is costly and we also use a reduced basis of PDE solutions like in [S. Boyaval, C. Le Bris, Nguyen C., Y. Maday and T. Patera, CMAME, 198 2009]. This is the first combination of various Reduced-Basis ideas to our knowledge, here with a view to reducing as much as possible the computational cost of a simple approach to Uncertainty Quantification.
Full work available at URL: https://arxiv.org/abs/1202.0781
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uncertainty quantificationvariance reductionMonte Carlo methodreduced basis methodBayes MMSE estimationpartial differential equations with stochastic coefficients
Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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