Recursive rounding of sample size estimation for multi-fidelity Monte Carlo

DOI10.48550/arXiv.2607.29607MaRDI QIDQ7284533arXivFDO

Authors Jiaxing Liang

Publication date 31 July 2026

Published in arXiv

Tldr We reformulate multifidelity Monte Carlo allocation as a cost minimization problem and construct an integer allocation strategy via recursive rounding. The resulting strategy extends to multilevel Monte Carlo, achieving lower computational overhead while satisfying the prescribed variance tolerance compared to standard rounding methods.

Full work available at URL https://doi.org/10.48550/arXiv.2607.29607

arXiv classification

math.NA

Cites work

• A generalized approximate control variate framework for multifidelity uncertainty quantification
• A Multifidelity Monte Carlo Method for Realistic Computational Budgets
• A Rewriting System for Convex Optimization Problems
• Dynamic programming
• Multifidelity Monte Carlo estimation of variance and sensitivity indices
• Multilevel Monte Carlo methods for the Grad-Shafranov free boundary problem
• Multilevel Monte Carlo Path Simulation
• Optimal model management for multifidelity Monte Carlo estimation
• Surrogate-based multilevel Monte Carlo methods for uncertainty quantification in the Grad-Shafranov free boundary problem

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