Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

Authors:
K. A. Cliffe;M. B. Giles;R. Scheichl;A. L. Teckentrup
Affiliations:
University of Nottingham, School of Mathematical Sciences, University Park, NG7 2RD, Nottingham, UK;University of Oxford, Mathematical Institute, 24-29 St. Giles, OX1 3LB, Oxford, UK;University of Bath, Department of Mathematical Sciences, Claverton Down, BA2 7AY, Bath, UK;University of Bath, Department of Mathematical Sciences, Claverton Down, BA2 7AY, Bath, UK
Venue:
Computing and Visualization in Science
Year:
2011

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Abstract

We consider the numerical solution of elliptic partial differential equations with random coefficients. Such problems arise, for example, in uncertainty quantification for groundwater flow. We describe a novel variance reduction technique for the standard Monte Carlo method, called the multilevel Monte Carlo method, and demonstrate numerically its superiority. The asymptotic cost of solving the stochastic problem with the multilevel method is always significantly lower than that of the standard method and grows only proportionally to the cost of solving the deterministic problem in certain circumstances. Numerical calculations demonstrating the effectiveness of the method for one- and two-dimensional model problems arising in groundwater flow are presented.