A Multilevel Approach towards Unbiased Sampling of Random Elliptic Partial Differential Equations

Xiaoou Li; Jingchen Liu

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arXiv · 1605.06349

A Multilevel Approach towards Unbiased Sampling of Random Elliptic Partial Differential Equations

Xiaoou Li·Jingchen Liu

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Abstract

Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a Monte Carlo scheme that yields unbiased estimators for expectations of random elliptic partial differential equations. This algorithm combines multilevel Monte Carlo [Giles, 2008] and a randomization scheme proposed by [Rhee and Glynn, 2012, Rhee and Glynn, 2013]. Furthermore, to obtain an estimator with both finite variance and finite expected computational cost, we employ higher order approximations.

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Xiaoou Li, Jingchen Liu. 2016-05-20. A Multilevel Approach towards Unbiased Sampling of Random Elliptic Partial Differential Equations. https://arxiv.org/abs/1605.06349

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