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arXiv · 2012.02750

On the Optimization of Approximate Control Variates with Parametrically Defined Estimators

Geoffrey F. Bomarito·Patrick E. Leser·James E. Warner·William P. Leser
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Abstract

Multi-model Monte Carlo methods, such as multi-level Monte Carlo (MLMC) and multifidelity Monte Carlo (MFMC), allow for efficient estimation of the expectation of a quantity of interest given a set of models of varying fidelities. Recently, it was shown that the MLMC and MFMC estimators are both instances of the approximate control variates (ACV) framework [Gorodetsky et al. 2020]. In that same work, it was also shown that hand-tailored ACV estimators could outperform MLMC and MFMC for a variety of model scenarios. Because there is no reason to believe that these hand-tailored estimators are the best among a myriad of possible ACV estimators, a more general approach to estimator construction is pursued in this work. First, a general form of the ACV estimator variance is formulated. Then, the formulation is utilized to generate parametrically-defined estimators. These parametrically-defined estimators allow for an optimization to be pursued over a larger domain of possible ACV estimators. The parametrically-defined estimators are tested on a large set of model scenarios, and it is found that the broader search domain enabled by parametrically-defined estimators leads to greater variance reduction.

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Geoffrey F. Bomarito, Patrick E. Leser, James E. Warner, William P. Leser. 2020-12-04. On the Optimization of Approximate Control Variates with Parametrically Defined Estimators. https://arxiv.org/abs/2012.02750

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