A Multifidelity Monte Carlo Method for Realistic Computational Budgets
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Publication:6402187
DOI10.1007/S10915-022-02051-YarXiv2206.07572MaRDI QIDQ6402187FDOQ6402187
Authors: Anthony Gruber, Max Gunzburger, Lili Ju, Zhu Wang 
Publication date: 15 June 2022
Abstract: A method for the multifidelity Monte Carlo (MFMC) estimation of statistical quantities is proposed which is applicable to computational budgets of any size. Based on a sequence of optimization problems each with a globally minimizing closed-form solution, this method extends the usability of a well known MFMC algorithm, recovering it when the computational budget is large enough. Theoretical results verify that the proposed approach is at least as optimal as its namesake and retains the benefits of multifidelity estimation with minimal assumptions on the budget or amount of available data, providing a notable reduction in variance over simple Monte Carlo estimation.
Monte Carlo methods (65C05) Optimal statistical designs (62K05) Applications of mathematical programming (90C90) Mixed integer programming (90C11)
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