Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions

Authors:
S. Mishra;Ch. Schwab;J. Šukys
Affiliations:
Seminar for Applied Mathematics, ETH, HG G. 57.2, Rämistrasse 101, Zürich, Switzerland;Seminar for Applied Mathematics, ETH, HG G. 57.1, Rämistrasse 101, Zürich, Switzerland;Seminar for Applied Mathematics, ETH, HG G. 62.1, Rämistrasse 101, Zürich, Switzerland
Venue:
Journal of Computational Physics
Year:
2012

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Abstract

We extend the multi-level Monte Carlo (MLMC) in order to quantify uncertainty in the solutions of multi-dimensional hyperbolic systems of conservation laws with uncertain initial data. The algorithm is presented and several issues arising in the massively parallel numerical implementation are addressed. In particular, we present a novel load balancing procedure that ensures scalability of the MLMC algorithm on massively parallel hardware. A new code is described and applied to simulate uncertain solutions of the Euler equations and ideal magnetohydrodynamics (MHD) equations. Numerical experiments showing the robustness, efficiency and scalability of the proposed algorithm are presented.