Optimization of mesh hierarchies in multilevel Monte Carlo samplers
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Publication:507015
DOI10.1007/S40072-015-0049-7zbMATH Open1359.65013arXiv1403.2480OpenAlexW2106605796MaRDI QIDQ507015FDOQ507015
Authors: Abdul-Lateef Haji-Ali, F. Nobile, Erik von Schwerin, R. Tempone 
Publication date: 3 February 2017
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Abstract: We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. We optimize hierarchies with geometric and non-geometric sequences of mesh sizes and show that geometric hierarchies, when optimized, are nearly optimal and have the same asymptotic computational complexity as non-geometric optimal hierarchies. We discuss how enforcing constraints on parameters of MLMC hierarchies affects the optimality of these hierarchies. These constraints include an upper and a lower bound on the mesh size or enforcing that the number of samples and the number of discretization elements are integers. We also discuss the optimal tolerance splitting between the bias and the statistical error contributions and its asymptotic behavior. To provide numerical grounds for our theoretical results, we apply these optimized hierarchies together with the Continuation MLMC Algorithm. The first example considers a three-dimensional elliptic partial differential equation with random inputs. Its space discretization is based on continuous piecewise trilinear finite elements and the corresponding linear system is solved by either a direct or an iterative solver. The second example considers a one-dimensional It^o stochastic differential equation discretized by a Milstein scheme.
Full work available at URL: https://arxiv.org/abs/1403.2480
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