Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
From MaRDI portal
(Redirected from Publication:5270835)
Abstract: In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty quantification problems in subsurface flow. We extend the convergence analysis in [Graham et al., Numer. Math. 2014] to multilevel Quasi-Monte Carlo finite element discretizations and give a constructive proof of the dimension-independent convergence of the QMC rules. More precisely, we provide suitable parameters for the construction of such rules that yield the required variance reduction for the multilevel scheme to achieve an -error with a cost of with , and in practice even , for sufficiently fast decaying covariance kernels of the underlying Gaussian random field inputs. This confirms that the computational gains due to the application of multilevel sampling methods and the gains due to the application of QMC methods, both demonstrated in earlier works for the same model problem, are complementary. A series of numerical experiments confirms these gains. The results show that in practice the multilevel QMC method consistently outperforms both the multilevel MC method and the single-level variants even for non-smooth problems.
Recommendations
- A multi-index quasi-Monte Carlo algorithm for lognormal diffusion problems
- Multilevel accelerated quadrature for PDEs with log-normally distributed diffusion coefficient
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
- Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
- Quasi-Monte Carlo algorithms for diffusion equations in high dimensions
- On the quasi-Monte Carlo method with halton points for elliptic PDEs with log-normal diffusion
- Multilevel Monte Carlo method with applications to stochastic partial differential equations
- Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
- Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
Cites work
- A Modified Split-Radix FFT With Fewer Arithmetic Operations
- A multilevel stochastic collocation method for partial differential equations with random input data
- Algorithm 832
- Complexity of weighted approximation over \(\mathbb{R}\)
- Constructing Embedded Lattice Rules for Multivariate Integration
- Elliptic differential equations: theory and numerical treatment. Transl. from the German by Regine Fadiman and Patrick D. F. Ion
- Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
- Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- High-dimensional integration: The quasi-Monte Carlo way
- scientific article; zbMATH DE number 1346459 (Why is no real title available?)
- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
- scientific article; zbMATH DE number 1790456 (Why is no real title available?)
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
- Multilevel accelerated quadrature for PDEs with log-normally distributed diffusion coefficient
- Multilevel Block Factorization Preconditioners
- Multilevel higher order QMC Petrov-Galerkin discretization for affine parametric operator equations
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Multilevel quasi-Monte Carlo path simulation
- New development in freefem++
- Probability theory
- Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
- Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Randomly shifted lattice rules for unbounded integrands
- Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
- Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
- The construction of good extensible rank-1 lattices
- The existence of good extensible rank-1 lattices
- Weak truncation error estimates for elliptic PDEs with lognormal coefficients
Cited in
(50)- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
- Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
- Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
- Infinite-dimensional integration and the multivariate decomposition method
- Multi-index ensemble Kalman filtering
- Estimation of distributions via multilevel Monte Carlo with stratified sampling
- Compressible fluid motion with uncertain data
- Strong convergence analysis of iterative solvers for random operator equations
- Approximation and sampling of multivariate probability distributions in the tensor train decomposition
- Probabilistic failure mechanisms via Monte Carlo simulations of complex microstructures
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
- Parallel cross interpolation for high-precision calculation of high-dimensional integrals
- Multilevel higher-order quasi-Monte Carlo Bayesian estimation
- Multilevel QMC with product weights for affine-parametric, elliptic PDEs
- Modern Monte Carlo variants for uncertainty quantification in neutron transport
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- Sparse quadrature for high-dimensional integration with Gaussian measure
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems
- Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
- Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
- Multifidelity Dimension Reduction via Active Subspaces
- Multilevel weighted least squares polynomial approximation
- Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction
- Convergence rates of high dimensional Smolyak quadrature
- Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
- A hybrid alternating least squares-TT-cross algorithm for parametric PDEs
- Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
- Multilevel Markov Chain Monte Carlo
- Recycling samples in the multigrid multilevel (quasi-)Monte Carlo method
- Quasi-Monte Carlo and multilevel Monte Carlo methods for computing posterior expectations in elliptic inverse problems
- A multi-index quasi-Monte Carlo algorithm for lognormal diffusion problems
- A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
- Multilevel quasi-Monte Carlo for optimization under uncertainty
- Convergence of a stochastic collocation finite volume method for the compressible Navier-Stokes system
- On the Selection of Random Field Evaluation Points in the p-MLQMC Method
- Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
- Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration
- Multilevel Monte Carlo Methods for Stochastic Convection–Diffusion Eigenvalue Problems
- One-shot learning of surrogates in PDE-constrained optimization under uncertainty
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
- Smoothed circulant embedding with applications to multilevel Monte Carlo methods for PDEs with random coefficients
- Quasi-Monte Carlo for partial differential equations with generalized Gaussian input uncertainty
- Optimization problems governed by systems of PDEs with uncertainties
- Uncertainty quantification for electrical impedance tomography using quasi-Monte Carlo methods
- Quasi-Monte Carlo and discontinuous Galerkin
- Sharp convergence bounds for sums of POD and SPOD weights
- Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations
This page was built for publication: Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5270835)
