On multilevel Monte Carlo methods for deterministic and uncertain hyperbolic systems

Junpeng Hu, Shi Jin, Jinglai Li, Lei Zhang

Published 2022-05-13Version 1

In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms. MLMC is a well known variance reduction method widely used to accelerate Monte Carlo (MC) sampling. However, we demonstrate in this paper that for hyperbolic systems, whether MLMC can achieve a real boost turns out to be delicate. The computational costs of MLMC and MC depend on the interplay among the accuracy (bias) and the computational cost of the numerical method for a single sample, as well as the variances of the sampled MLMC corrections or MC solutions. We characterize three regimes for the MLMC and MC performances using those parameters, and show that MLMC may not accelerate MC and can even have a higher cost when the variances of MC solutions and MLMC corrections are of the same order. Our studies are carried out by a few prototype hyperbolic systems: a linear scalar equation, the Euler and shallow water equations, and a linear relaxation model, the above statements are proved analytically in some cases, and demonstrated numerically for the cases of the stochastic hyperbolic equations driven by white noise parameters and Glimm's random choice method for deterministic hyperbolic equations.