Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation

Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation

​A. Haji-Ali, R. Tempone, "Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation", has been accepted for publication in Statistics and Computing. 2017
A. Haji-Ali, R. Tempone
Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
2017
We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to estimating the weak solution of the limiting McKean-Vlasov SDE. To that end, our approach uses systems with finite numbers of particles and an Euler-Maruyama time-stepping scheme. In this case, there are two discretization parameters: the number of time steps and the number of particles. Based on these two parameters, we consider different variants of the Monte Carlo and Multilevel Monte Carlo (MLMC) methods and show that, in the best case, the optimal work complexity of MLMC to estimate the functional in one typical setting with an error tolerance of TOL is O(TOL3). We also consider a method that uses the recent Multi-index Monte Carlo method and show an improved work complexity in the same typical setting of O(TOL2log(TOL1)2) when using a partitioning estimator. Our numerical experiments are carried out on the so-called Kuramoto model, a system of coupled oscillators.