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A multilevel Monte Carlo (MLMC) method for quantifying model-form uncertainties associated with the Reynolds-Averaged Navier-Stokes (RANS) simulations is presented. Two, high-dimensional, stochastic extensions of the RANS equations are considered to demonstrate the applicability of the MLMC method. The first approach is based on global perturbation of the baseline eddy viscosity field using a lognormal random field. A more general second extension is considered based on the work of [Xiao et al.(2017)], where the entire Reynolds Stress Tensor (RST) is perturbed while maintaining realizability. For two fundamental flows, we show that the MLMC method based on a hierarchy of meshes is asymptotically faster than plain Monte Carlo. Additionally, we demonstrate that for some flows an optimal multilevel estimator can be obtained for which the cost scales with the same order as a single CFD solve on the finest grid level.
In this work we study the thermodynamic properties of ultrathin ferromagnetic dots using Monte Carlo simulations. We investigate the vortex density as a function of the temperature and the vortex structure in monolayer dots with perpendicular anisotropy and long-range dipole interaction. The interplay between these two terms in the hamiltonian leads to an interesting behavior of the thermodynamic quantities as well as the vortex density.
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic speed-up for multilevel Monte Carlo methods in a general setting. As applications, we apply it to compute expectation values determined by classical solutions of SDEs, with improved dependence on precision. We demonstrate the use of this algorithm in a variety of applications arising in mathematical finance, such as the Black-Scholes and Local Volatility models, and Greeks. We also provide a quantum algorithm based on sublinear binomial sampling for the binomial option pricing model with the same improvement.
Random batch algorithms are constructed for quantum Monte Carlo simulations. The main objective is to alleviate the computational cost associated with the calculations of two-body interactions, including the pairwise interactions in the potential energy, and the two-body terms in the Jastrow factor. In the framework of variational Monte Carlo methods, the random batch algorithm is constructed based on the over-damped Langevin dynamics, so that updating the position of each particle in an $N$-particle system only requires $mathcal{O}(1)$ operations, thus for each time step the computational cost for $N$ particles is reduced from $mathcal{O}(N^2)$ to $mathcal{O}(N)$. For diffusion Monte Carlo methods, the random batch algorithm uses an energy decomposition to avoid the computation of the total energy in the branching step. The effectiveness of the random batch method is demonstrated using a system of liquid ${}^4$He atoms interacting with a graphite surface.
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the discretization of a associated probability law. The MLMC approach works with a hierarchy of biased approximations which become progressively more accurate and more expensive. Using a telescoping representation of the most accurate approximation, the method is able to reduce the computational cost for a given level of error versus i.i.d. sampling from this latter approximation. All of these ideas originated for cases where exact sampling from couples in the hierarchy is possible. This article considers the case where such exact sampling is not currently possible. We consider Markov chain Monte Carlo and sequential Monte Carlo methods which have been introduced in the literature and we describe different strategies which facilitate the application of MLMC within these methods.
Using the Ehrenfest urn model we illustrate the subtleties of error estimation in Monte Carlo simulations. We discuss how the smooth results of correlated sampling in Markov chains can fool ones perception of the accuracy of the data, and show (via numerical and analytical methods) how to obtain reliable error estimates from correlated samples.