Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes

Author: 

CROCI, M
GILES, M
Rognes, M
Farrell, P

Publication Date: 

20 November 2018

Journal: 

SIAM/ASA Journal on Uncertainty Quantification

Last Updated: 

2019-08-16T18:55:43.193+01:00

Issue: 

4

Volume: 

6

DOI: 

10.1137/18M1175239

page: 

1630-1655

abstract: 

When solving stochastic partial differential equations (SPDEs) driven by
additive spatial white noise, the efficient sampling of white noise
realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element method and multilevel Monte Carlo (MLMC) setting. The key idea is to exploit the finite element matrix assembly procedure and factorize each local mass matrix independently, hence avoiding the factorization of a large matrix. Moreover, in a MLMC framework, the white noise samples must be coupled between subsequent levels. We show how our technique can be used to enforce this coupling even in the case of non-nested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments. We observe optimal convergence rates for the finite element solution of the elliptic SPDEs of interest in 2D and 3D and we show convergence of the sampled field covariances. In a MLMC setting, a good coupling is enforced and the telescoping sum is respected.

Symplectic id: 

865752

Submitted to ORA: 

Submitted

Publication Type: 

Journal Article