Abstract
In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms. MLMC is a well known variance reduction method widely used to accelerate Monte Carlo (MC) sampling. However, we demonstrate in this paper that for hyperbolic systems, whether MLMC can achieve a real boost turns out to be delicate. The computational costs of MLMC and MC depend on the interplay among the accuracy (bias) and the computational cost of the numerical method for a single sample, as well as the variances of the sampled MLMC corrections or MC solutions. We characterize three regimes for the MLMC and MC performances using those parameters, and show that MLMC may not accelerate MC and can even have a higher cost when the variances of MC solutions and MLMC corrections are of the same order. Our studies are carried out by a few prototype hyperbolic systems: a linear scalar equation, the Euler and shallow water equations, and a linear relaxation model, the above statements are proved analytically in some cases, and demonstrated numerically for the cases of the stochastic hyperbolic equations driven by white noise parameters and Glimm's random choice method for deterministic hyperbolic equations.
Original language | English |
---|---|
Article number | 111847 |
Number of pages | 30 |
Journal | Journal of Computational Physics |
Volume | 475 |
Early online date | 13 Dec 2022 |
DOIs | |
Publication status | Published - 15 Feb 2023 |
Keywords
- Hyperbolic equations
- Multilevel Monte Carlo method
- Uncertainty quantification
- Variance reduction
ASJC Scopus subject areas
- Numerical Analysis
- Modelling and Simulation
- Physics and Astronomy (miscellaneous)
- General Physics and Astronomy
- Computer Science Applications
- Computational Mathematics
- Applied Mathematics