Multilevel quasi-Monte Carlo for optimization under uncertainty
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Publication:6135914
Monte Carlo methods (65C05) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for mathematical programming, optimization and variational techniques (65K99) PDE constrained optimization (numerical aspects) (49M41)
Abstract: This paper considers the problem of optimizing the average tracking error for an elliptic partial differential equation with an uncertain lognormal diffusion coefficient. In particular, the application of the multilevel quasi-Monte Carlo (MLQMC) method to the estimation of the gradient is investigated, with a circulant embedding method used to sample the stochastic field. A novel regularity analysis of the adjoint variable is essential for the MLQMC estimation of the gradient in combination with the samples generated using the CE method. A rigorous cost and error analysis shows that a randomly shifted quasi-Monte Carlo method leads to a faster rate of decay in the root mean square error of the gradient than the ordinary Monte Carlo method, while considering multiple levels substantially reduces the computational effort. Numerical experiments confirm the improved rate of convergence and show that the MLQMC method outperforms the multilevel Monte Carlo method and the single level quasi-Monte Carlo method.
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Cited in
(8)- MG/OPT and multilevel Monte Carlo for robust optimization of PDEs
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- Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
- A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
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