In this talk we describe a new approach that enables the use of elliptic PDEs with white noise forcing to sample Matérn fields within the multilevel Monte Carlo (MLMC) framework.
When MLMC is used to quantify the uncertainty in the solution of PDEs with random coefficients, two key ingredients are needed: 1) a sampling technique for the coefficients that satisfies the MLMC telescopic sum and 2) a numerical solver for the forward PDE problem.
When the dimensionality of the uncertainty in the problem is infinite (i.e. coefficients are random fields), the sampling techniques commonly used in the literature are Karhunen–Loève expansions or circulant embeddings. In the specific case in which the coefficients are Gaussian fields of Mat ́ern covariance structure another sampling technique available relies on the solution of a linear elliptic PDE with white noise forcing.
When the finite element method (FEM) is used for the forward problem, the latter option can become advantageous as elliptic PDEs can be quickly and efficiently solved with the FEM, the sampling can be performed in parallel and the same FEM software can be used without the need for external packages. However, it is unclear how to enforce a good stochastic coupling of white noise between MLMC levels so as to respect the MLMC telescopic sum. In this talk we show how this coupling can be enforced in theory and in practice.
- Numerical Analysis Group Internal Seminar