On Monte Carlo, Multilevel Monte Carlo and Multi Index Monte Carlo

Speaker: 

Raul Tempone

Affiliation: 

King Abdullah University of Science and Technology, Saudi Arabia

Date: 

Thu, 19/01/2017 - 11:05am to 11:55am

Venue: 

RC-4082, The Red Centre, UNSW

Abstract: 

We will first recall, for a general audience, the use of Monte Carlo and Multi-level Monte Carlo (MLMC) methods. Then, we will discuss recent developments on  MLMC.  Later, we will describe and analyze the Multi-Index Monte Carlo (MIMC) and the Multi-Index Stochastic Collocation  (MISC) methods for computing statistics of the solution of a PDE with random data. MIMC is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Instead of using first-order differences as in MLMC, MIMC uses mixed differences to reduce the variance of the hierarchical differences dramatically. These mixed differences yield new and improved complexity results, which are natural generalizations of Giles's MLMC analysis, and which increase the domain of problem parameters for which we achieve the optimal convergence. On the same vein, MISC is a deterministic combination technique based on mixed differences of spatial approximations and quadratures over the space of random data. Provided enough mixed regularity, MISC can achieve better complexity than MIMC. Moreover, we show that, in the optimal case, the convergence rate of MISC is only dictated by the convergence of the deterministic solver applied to a one-dimensional spatial problem.

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