Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo

In this work we develop a new hierarchical multilevel approach to generate Gaussian random field realizations in an algorithmically scalable manner that is well-suited to incorporate into multilevel Markov chain Monte Carlo (MCMC) algorithms. This approach builds off of other partial differential equation (PDE) approaches for generating Gaussian random field realizations; in particular, a single field realization may be formed by solving a reaction-diffusion PDE with a spatial white noise source function as the righthand side. While these approaches have been explored to accelerate forward uncertainty quantification tasks, e.g. multilevel Monte Carlo, the previous constructions are not directly applicable to multilevel MCMC frameworks which build fine scale random fields in a hierarchical fashion from coarse scale random fields. Our new hierarchical multilevel method relies on a hierarchical decomposition of the white noise source function in $L^2$ which allows us to form Gaussian random field realizations across multiple levels of discretization in a way that fits into multilevel MCMC algorithmic frameworks. After presenting our main theoretical results and numerical scaling results to showcase the utility of this new hierarchical PDE method for generating Gaussian random field realizations, this method is tested on a four-level MCMC algorithm to explore its feasibility

Multilevel Monte Carlo methods for the Dean-Kawasaki equation from Fluctuating Hydrodynamics

Stochastic PDEs of Fluctuating Hydrodynamics are a powerful tool for the description of fluctuations in many-particle systems. In this paper, we develop and analyze a Multilevel Monte Carlo (MLMC) scheme for the Dean-Kawasaki equation, a pivotal representative of this class of SPDEs. We prove analytically and demonstrate numerically that our MLMC scheme provides a significant speed-up (with respect to a standard Monte Carlo method) in the simulation of the Dean-Kawasaki equation. Specifically, we quantify how the speed-up factor increases as the average particle density increases, and show that sizeable speed-ups can be obtained even in regimes of low particle density. Numerical simulations are provided in the two-dimensional case, confirming our theoretical predictions. Our results are formulated entirely in terms of the law of distributions rather than in terms of strong spatial norms: this crucially allows for MLMC speed-ups altogether despite the Dean-Kawasaki equation being highly singular.Comment: 23 pages, 9 figure

A probabilistic finite element method based on random meshes: Error estimators and Bayesian inverse problems

We present a novel probabilistic finite element method (FEM) for the solution and uncertainty quantification of elliptic partial differential equations based on random meshes, which we call random mesh FEM (RM-FEM). Our methodology allows to introduce a probability measure on standard piecewise linear FEM. We present a posteriori error estimators based uniquely on probabilistic information. A series of numerical experiments illustrates the potential of the RM-FEM for error estimation and validates our analysis. We furthermore demonstrate how employing the RM-FEM enhances the quality of the solution of Bayesian inverse problems, thus allowing a better quantification of numerical errors in pipelines of computations

Generalized averaged Gaussian quadrature and applications

A simple numerical method for constructing the optimal generalized averaged Gaussian quadrature formulas will be presented. These formulas exist in many cases in which real positive GaussKronrod formulas do not exist, and can be used as an adequate alternative in order to estimate the error of a Gaussian rule. We also investigate the conditions under which the optimal averaged Gaussian quadrature formulas and their truncated variants are internal

MS FT-2-2 7 Orthogonal polynomials and quadrature: Theory, computation, and applications

Quadrature rules find many applications in science and engineering. Their analysis is a classical area of applied mathematics and continues to attract considerable attention. This seminar brings together speakers with expertise in a large variety of quadrature rules. It is the aim of the seminar to provide an overview of recent developments in the analysis of quadrature rules. The computation of error estimates and novel applications also are described

[Research activities in applied mathematics, fluid mechanics, and computer science]

This report summarizes research conducted at the Institute for Computer Applications in Science and Engineering in applied mathematics, fluid mechanics, and computer science during the period April 1, 1995 through September 30, 1995

Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes

When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element method (FEM) and multilevel Monte Carlo (MLMC) setting. The key idea is to exploit the finite element matrix assembly procedure and factorize each local mass matrix independently, hence avoiding the factorization of a large matrix. Moreover, in an MLMC framework, the white noise samples must be coupled between subsequent levels. We show how our technique can be used to enforce this coupling even in the case of nonnested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments. We observe optimal convergence rates for the finite element solution of the elliptic SPDEs of interest in 2D and 3D and we show convergence of the sampled field covariances. In an MLMC setting, a good coupling is enforced and the telescoping sum is respected

Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes

When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element method (FEM) and multilevel Monte Carlo (MLMC) setting. The key idea is to exploit the finite element matrix assembly procedure and factorize each local mass matrix independently, hence avoiding the factorization of a large matrix. Moreover, in an MLMC framework, the white noise samples must be coupled between subsequent levels. We show how our technique can be used to enforce this coupling even in the case of nonnested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments. We observe optimal convergence rates for the finite element solution of the elliptic SPDEs of interest in 2D and 3D and we show convergence of the sampled field covariances. In an MLMC setting, a good coupling is enforced and the telescoping sum is respected