arXiv subjects

Emil Løvbak

Publications and source records attributed to Emil Løvbak.

10 recordsLinked to original sources

arXiv2026

A Dynamical Low-rank Multilevel Monte Carlo Estimator for High-Dimensional Kinetic Equations

Kinetic equations are used to model a wide range of phenomena important for real-world applications. Their applications span astrophysics, nuclear physics, engineering, and social sciences. Due to their high-dimensional phase space, modelling and quantifying uncertainties, relevant for applications, poses a significant challenge even for modern computing infrastructure. In recent years, dynamical low-rank approximation (DLRA) has gained popularity for making fine grid simulations of high-dimensional problems feasible by evolving the solution of a time-dependent PDE as a low-rank factorization. This reduces the computational and memory requirements significantly. In this work, we propose a low-rank multilevel Monte Carlo estimator for kinetic equations based on a probabilistic rank-adaptive DLRA time integrator. The level hierarchy of the low-rank multilevel estimator is constructed through spatial refinement and by ensuring that the low-rank error remains below the spatial discretization error. We demonstrate the efficacy of the estimator through several numerical experiments from radiation transport, radiation therapy, and shallow water flow.

math.NA↗

arXiv2026

2D implementation of Kinetic-diffusion Monte Carlo in Eiron

Particle-based kinetic Monte Carlo simulations of neutral particles is one of the major computational bottlenecks in tokamak scrape-off layer simulations. This computational cost comes from the need to resolve individual collision events in high-collisional regimes. However, in such regimes, one can approximate the high-collisional kinetic dynamics with computationally cheaper diffusion. Asymptotic-preserving schemes make use of this limit to perform simulations in these regimes, without a blow-up in computational cost as incurred by standard kinetic approaches. One such scheme is Kinetic-diffusion Monte Carlo. In this paper, we present a first extension of this scheme to the two-dimensional setting and its implementation in the Eiron particle code. We then demonstrate that this implementation produces a significant speedup over kinetic simulations in high-collisional cases.

cs.CE↗

arXiv2026

An Investigation into the Distribution of Ratios of Particle Solver-based Likelihoods

We investigate the use of the Metropolis-Hastings algorithm to sample posterior distribution in a Bayesian inverse problem, where the likelihood function is random. Concretely, we consider the case where one has full field observations of a PDE solution, in case a one-dimensional diffusion equation, subject to a Gaussian observation error. Assuming one uses a particle-based Monte Carlo simulation when approximating the likelihood function, one gets an approximate likelihood with additive Gaussian noise in the log-likelihood. We study how these two Gaussian distributions affect the distribution of ratios of approximate likelihood evaluations, as required when evaluating acceptance probabilities in the Metropolis-Hastings algorithm. We do so through both theoretical analysis and numerical experiments.

math.NA↗

arXiv2025

Analysis of kinetic-diffusion Monte Carlo simulation and source term estimation scheme in nuclear fusion applications

In plasma edge simulations, the behavior of neutral particles is often described by a Boltzmann--BGK equation. Solving this kinetic equation and estimating the moments of its solution are essential tasks, typically carried out using Monte Carlo (MC) methods. However, for large-sized reactors, like ITER and DEMO, high collision rates lead to a substantial computational cost. To accelerate the calculation, an asymptotic-preserving kinetic-diffusion Monte Carlo (KDMC) simulation method (Mortier et al., SIAM J. Sci. Comput., 2022) and a corresponding fluid estimation technique (Mortier et al., Contrib. Plasma Phys., 2022) have recently been proposed. In this work, we present a comprehensive analysis of the convergence of KDMC combined with the associated fluid estimation. The analysis consists of proving theoretical upper bounds for both KDMC and the fluid estimation, and numerical verifications of these bounds. In addition, we compare the analyzed algorithm with a purely fluid-based method using the fully kinetic MC method as a reference. The algorithm consistently achieves lower error than the fluid-based method, and even one order of magnitude lower in a fusion-relevant test case. Moreover, the algorithm exhibits a significant speedup compared to the reference kinetic MC method. Overall, our analysis confirms the effectiveness of KDMC with the associated fluid estimation in nuclear fusion applications.

math.NA↗

arXiv2025

Numerical analysis of fluid estimation for source terms in neutral particles simulation

In plasma edge simulations, kinetic Monte Carlo (MC) is often used to simulate neutral particles and estimate source terms. For large-sized reactors, like ITER and DEMO, high particle collision rates lead to a substantial computational cost for such schemes. To address this challenge, an asymptotic-preserving kinetic-diffusion Monte Carlo (KDMC) simulation method and a corresponding fluid estimation technique have been proposed in the literature. In this work, we perform numerical analysis on the convergence of KDMC with the fluid estimation. To do so, we compare the accuracy of the analyzed algorithm with the accuracy of an approximate fluid method using the kinetic MC method as a reference. In a one-dimensional test case, KDMC with the fluid estimation achieves at least one order of magnitude lower errors than the fluid method for both high- and low-collisional regimes. Moreover, KDMC with the fluid estimation outperforms the kinetic MC method with a clear speed-up. Overall, our analysis confirms the effectiveness of the discussed algorithm.

cs.CE↗

arXiv2025

Low-rank variance reduction for uncertain radiative transfer with control variates

The radiative transfer equation models various physical processes ranging from plasma simulations to radiation therapy. In practice, these phenomena are often subject to uncertainties. Modeling and propagating these uncertainties requires accurate and efficient solvers for the radiative transfer equations. Due to the equation's high-dimensional phase space, fine-grid solutions of the radiative transfer equation are computationally expensive and memory-intensive. In recent years, dynamical low-rank approximation has become a popular method for solving kinetic equations due to the development of computationally inexpensive, memory-efficient and robust algorithms like the augmented basis update \& Galerkin integrator. In this work, we propose a low-rank Monte Carlo estimator and combine it with a control variate strategy based on multi-fidelity low-rank approximations for variance reduction. We investigate the error analytically and numerically and find that a joint approach to balance rank and grid size is necessary. Numerical experiments further show that the efficiency of estimators can be improved using dynamical low-rank approximation, especially in the context of control variates.

math.NA↗

arXiv2023

Reversible random number generation for adjoint Monte Carlo simulation of the heat equation

In PDE-constrained optimization, one aims to find design parameters that minimize some objective, subject to the satisfaction of a partial differential equation. A major challenges is computing gradients of the objective to the design parameters, as applying the chain rule requires computing the Jacobian of the design parameters to the PDE's state. The adjoint method avoids this Jacobian by computing partial derivatives of a Lagrangian. Evaluating these derivatives requires the solution of a second PDE with the adjoint differential operator to the constraint, resulting in a backwards-in-time simulation. Particle-based Monte Carlo solvers are often used to compute the solution to high-dimensional PDEs. However, such solvers have the drawback of introducing noise to the computed results, thus requiring stochastic optimization methods. To guarantee convergence in this setting, both the constraint and adjoint Monte Carlo simulations should simulate the same particle trajectories. For large simulations, storing full paths from the constraint equation for re-use in the adjoint equation becomes infeasible due to memory limitations. In this paper, we provide a reversible extension to the family of permuted congruential pseudorandom number generators (PCG). We then use such a generator to recompute these time-reversed paths for the heat equation, avoiding these memory issues.

math.NA↗

arXiv2023

Accelerated simulation of Boltzmann-BGK equations near the diffusive limit with asymptotic-preserving multilevel Monte Carlo

Kinetic equations model the position-velocity distribution of particles subject to transport and collision effects. Under a diffusive scaling, these combined effects converge to a diffusion equation for the position density in the limit of an infinite collision rate. Despite this well-defined limit, numerical simulation is expensive when the collision rate is high but finite, as small time steps are then required. In this work, we present an asymptotic-preserving multilevel Monte Carlo particle scheme that makes use of this diffusive limit to accelerate computations. In this scheme, we first sample the diffusive limiting model to compute a biased initial estimate of a Quantity of Interest, using large time steps. We then perform a limited number of finer simulations with transport and collision dynamics to correct the bias. The efficiency of the multilevel method depends on being able to perform correlated simulations of particles on a hierarchy of discretization levels. We present a method for correlating particle trajectories and present both an analysis and numerical experiments. We demonstrate that our approach significantly reduces the cost of particle simulations in high-collisional regimes, compared with prior work, indicating significant potential for adopting these schemes in various areas of active research.

math.NA↗

arXiv2021

A multilevel Monte Carlo method for asymptotic-preserving particle schemes in the diffusive limit

Kinetic equations model distributions of particles in position-velocity phase space. Often, one is interested in studying the long-time behavior of particles in high-collisional regimes in which an approximate (advection)-diffusion model holds. In this paper we consider the diffusive scaling. Classical particle-based techniques suffer from a strict time-step restriction in this limit, to maintain stability. Asymptotic-preserving schemes avoid this problem, but introduce an additional time discretization error, possibly resulting in an unacceptably large bias for larger time steps. Here, we present and analyze a multilevel Monte Carlo scheme that reduces this bias by combining estimates using a hierarchy of different time step sizes. We demonstrate how to correlate trajectories from this scheme, using different time steps. We also present a strategy for selecting the levels in the multilevel scheme. Our approach significantly reduces the computation required to perform accurate simulations of the considered kinetic equations, compared to classical Monte Carlo approaches.

math.NA↗

arXiv2020

A Multilevel Monte Carlo Asymptotic-Preserving Particle Method for Kinetic Equations in the Diffusion Limit

We propose a multilevel Monte Carlo method for a particle-based asymptotic-preserving scheme for kinetic equations. Kinetic equations model transport and collision of particles in a position-velocity phase-space. With a diffusive scaling, the kinetic equation converges to an advection-diffusion equation in the limit of zero mean free path. Classical particle-based techniques suffer from a strict time-step restriction to maintain stability in this limit. Asymptotic-preserving schemes provide a solution to this time step restriction, but introduce a first-order error in the time step size. We demonstrate how the multilevel Monte Carlo method can be used as a bias reduction technique to perform accurate simulations in the diffusive regime, while leveraging the reduced simulation cost given by the asymptotic-preserving scheme. We describe how to achieve the necessary correlation between simulation paths at different levels and demonstrate the potential of the approach via numerical experiments.

math.NA↗