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A Continuation Multilevel Monte Carlo algorithm
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A Continuation Multilevel Monte Carlo algorithm
A Continuation Multilevel Monte Carlo algorithm
Bibliography:
N. Collier, A. HajiAli, F. Nobile, E. von Schwerin, R. Tempone
,
A Continuation Multilevel Monte Carlo algorithm
,
BIT Numerical Mathematics, Volume 55, Issue 2, pp 399432, June 2015
Authors:
N. Collier, A. HajiAli, F. Nobile, E. von Schwerin, R. Tempone
Keywords:
SDEs, SPDEs, Multilevel Monte Carlo, Numerical Analysis
Year:
2015
Abstract:
Abstract
We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures or with random coefficients. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending with the desired one. CMLMC assumes discretization hierarchies that are defined a priori for each level and are geometrically refined across levels. The actual choice of computational work across levels is based on parametric models for the average cost per sample and the corresponding weak and strong errors. These parameters are calibrated using Bayesian estimation, taking particular notice of the deepest levels of the discretization hierarchy, where only few realizations are available to produce the estimates. The resulting CMLMC estimator exhibits a nontrivial splitting between bias and statistical contributions. We also show the asymptotic normality of the statistical error in the MLMC estimator and justify in this way our error estimate that allows prescribing both required accuracy and confidence in the final result. Numerical examples substantiate the above results and illustrate the corresponding computational savings.
ISSN:
Print ISSN 00063835 Online ISSN 15729125
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