Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables

DOI10.1137/21M1399385zbMATH Open1482.65006arXiv2102.08164MaRDI QIDQ5862903FDOQ5862903

Mike Giles, Oliver Sheridan-Methven

Publication date: 10 March 2022

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: The multilevel Monte Carlo (MLMC) method has been used for a wide variety of stochastic applications. In this paper we consider its use in situations in which input random variables can be replaced by similar approximate random variables which can be computed much more cheaply. A nested MLMC approach is adopted in which a two-level treatment of the approximated random variables is embedded within a standard MLMC application. We analyse the resulting nested MLMC variance in the specific context of an SDE discretisation in which Normal random variables can be replaced by approximately Normal random variables, and provide numerical results to support the analysis.

Full work available at URL: https://arxiv.org/abs/2102.08164

zbMATH Keywords

random variablesstochastic simulationmultilevel Monte Carlohigh performance computingapproximationsSDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Complexity and performance of numerical algorithms (65Y20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (4)

• Rounding error using low precision approximate random variables
• Approximating inverse cumulative distribution functions to produce approximate random variables
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers
• Multilevel Monte Carlo using approximate distributions of the CIR process

Uses Software

• Ziggurat
• rnorrexp

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