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Register a new userGoal-Oriented Adaptive Modeling of Random Heterogeneous Media and Model-Based Multilevel Monte Carlo Methods
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Methods for generating sequences of surrogates approximating fine scale models of two-phase random heterogeneous media are presented that are designed to adaptively control the modeling error in key quantities of interest (QoIs). For specificity, the base models considered involve stochastic partial differential equations characterizing, for example, steady-state heat conduction in random heterogeneous materials and stochastic elastostatics problems in linear elasticity. The adaptive process involves generating a sequence of surrogate models defined on a partition of the solution domain into regular subdomains and then, based on estimates of the error in the QoIs, assigning homogenized effective material properties to some subdomains and full random fine scale properties to others, to control the error so as to meet a preset tolerance. New model-based Multilevel Monte Carlo (mbMLMC) methods are presented that exploit the adaptive sequencing and are designed to reduce variances and thereby accelerate convergence of Monte Carlo sampling. Estimates of cost and mean squared error of the method are presented. The results of several numerical experiments are discussed that confirm that substantial saving in computer costs can be realized through the use of controlled surrogate models and the associated mbMLMC algorithms.
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We propose a novel $hp$-multilevel Monte Carlo method for the quantification of uncertainties in the compressible Navier-Stokes equations, using the Discontinuous Galerkin method as deterministic solver. The multilevel approach exploits hierarchies of uniformly refined meshes while simultaneously increasing the polynomial degree of the ansatz space. It allows for a very large range of resolutions in the physical space and thus an efficient decrease of the statistical error. We prove that the overall complexity of the $hp$-multilevel Monte Carlo method to compute the mean field with prescribed accuracy is, in best-case, of quadratic order with respect to the accuracy. We also propose a novel and simple approach to estimate a lower confidence bound for the optimal number of samples per level, which helps to prevent overestimating these quantities. The method is in particular designed for application on queue-based computing systems, where it is desirable to compute a large number of samples during one iteration, without overestimating the optimal number of samples. Our theoretical results are verified by numerical experiments for the two-dimensional compressible Navier-Stokes equations. In particular we consider a cavity flow problem from computational acoustics, demonstrating that the method is suitable to handle complex engineering problems.
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.
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 a 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 $mathrm{TOL}$, is $mathcal Oleft({mathrm{TOL}^{-3}}right)$ when using the partitioning estimator and the Milstein time-stepping scheme. 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 $mathcal Oleft(mathrm{TOL}^{-2}log(mathrm{TOL}^{-1})^2right)$. Our numerical experiments are carried out on the so-called Kuramoto model, a system of coupled oscillators.
Stochastic PDE eigenvalue problems often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic eigenvalue problem with stochastic coefficients. Each sample evaluation requires the solution of a PDE eigenvalue problem, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four ways: 1) we use a multilevel variance reduction scheme to spread the work over a hierarchy of FE meshes and truncation dimensions; 2) we use QMC methods to efficiently compute the expectations on each level; 3) we exploit the smoothness in parameter space and reuse the eigenvector from a nearby QMC point to reduce the number of iterations of the eigensolver; and 4) we utilise a two-grid discretisation scheme to obtain the eigenvalue on the fine mesh with a single linear solve. The full error analysis of a basic MLQMC algorithm is given in the companion paper [Gilbert and Scheichl, 2021], and so in this paper we focus on how to further improve the efficiency and provide theoretical justification of the enhancement strategies 3) and 4). Numerical results are presented that show the efficiency of our algorithm, and also show that the four strategies we employ are complementary.
In this article, a new unified duality theory is developed for Petrov-Galerkin finite element methods. This novel theory is then used to motivate goal-oriented adaptive mesh refinement strategies for use with discontinuous Petrov-Galerkin (DPG) methods. The focus of this article is mainly on broken ultraweak variational formulations of stationary boundary value problems, however, many of the ideas presented within are general enough that they be extended to any such well-posed variational formulation. The proposed goal-oriented adaptive mesh refinement procedures require the construction of refinement indicators for both a primal problem and a dual problem. In the DPG context, the primal problem is simply the system of linear equations coming from a standard DPG method and the dual problem is a similar system of equations, coming from a new method which is dual to DPG. This new method has the same coefficient matrix as the associated DPG method but has a different load. We refer to this new finite element method as a DPG* method. A thorough analysis of DPG* methods, as stand-alone finite element methods, is not given here but will be provided in subsequent articles. For DPG methods, the current theory of a posteriori error estimation is reviewed and the reliability estimate in [13, Theorem 2.1] is improved on. For DPG* methods, three different classes of refinement indicators are derived and several contributions are made towards rigorous a posteriori error estimation. At the closure of the article, results of numerical experiments with Poissons boundary value problem in a three-dimensional domain are provided. These results clearly demonstrate the utility of the goal-oriented adaptive mesh refinement strategies for quantities of interest with either interior or boundary terms.
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