A Note on the Importance of Weak Convergence Rates for SPDE Approximations in Multilevel Monte Carlo Schemes

It is a well-known rule of thumb that approximations of stochastic partial differential equations have essentially twice the order of weak convergence compared to the corresponding order of strong convergence. This is already known for many approximations of stochastic (ordinary) differential equations while it is recent research for stochastic partial differential equations. In this note it is shown how the availability of weak convergence results influences the number of samples in multilevel Monte Carlo schemes and therefore reduces the computational complexity of these schemes for a given accuracy of the approximations.Comment: 16 pages, 3 figures, updated to version published in the Proceedings of MCQMC1

Approximation of reachable sets using optimal control algorithms

To appearInternational audienceNumerical experiences with a method for the approximation of reachable sets of nonlinear control systems are reported. The method is based on the formulation of suitable optimal control problems with varying objective functions, whose discretization by Euler's method lead to finite dimensional non-convex nonlinear programs. These are solved by a sequential quadratic programming method. An efficient adjoint method for gradient computation is used to reduce the computational costs. The discretization of the state space is more efficiently than by usual sequential realization of Euler's method and allows adaptive calculations or refinements. The method is illustrated for two test examples. Both examples have non-linear dynamics, the first one has a convex reachable set, whereas the second one has a non-convex reachable set

On the Parallel Complexity of Multilevel Monte Carlo in Stochastic Gradient Descent

In the stochastic gradient descent (SGD) for sequential simulations such as the neural stochastic differential equations, the Multilevel Monte Carlo (MLMC) method is known to offer better theoretical computational complexity compared to the naive Monte Carlo approach. However, in practice, MLMC scales poorly on massively parallel computing platforms such as modern GPUs, because of its large parallel complexity which is equivalent to that of the naive Monte Carlo method. To cope with this issue, we propose the delayed MLMC gradient estimator that drastically reduces the parallel complexity of MLMC by recycling previously computed gradient components from earlier steps of SGD. The proposed estimator provably reduces the average parallel complexity per iteration at the cost of a slightly worse per-iteration convergence rate. In our numerical experiments, we use an example of deep hedging to demonstrate the superior parallel complexity of our method compared to the standard MLMC in SGD.Comment: Fixed a typo in the title and added acknowledgemen

Mini-Workshop: Numerical Upscaling for Media with Deterministic and Stochastic Heterogeneity

This minisymposium was third in series of similar events, after two very successful meetings in 2005 and 2009. The aim was to provide a forum for an extensive discussion on the theoretical aspects and on the areas of application and validity of numerical upscaling approaches for heterogeneous problems with deterministic and stochastic coefficients. The intensive discussions during the meeting contributed to a better understanding of upscaling approaches for multiscale problems with stochastic coefficients, and for synergy between scientists coming to this topic from the area of deterministic multiscale problems on one hand, and those coming from the area of SPDE on the other hand. Recent advanced results on upscaling approaches for deterministic multiscale problems were presented, well mixed with strong presentations on SDE and SPDE. The open problems in these areas were discussed, with emphasis on the case of stochastic coefficients brainstorming numerous numerical upscaling approaches. A number of young researchers, very actively working in these areas, were involved in the workshop discussing the links between scales., thus ensuring the continuity between the generations of researchers

The surrogate matrix methodology: a priori error estimation

We give the first mathematically rigorous analysis of an emerging approach to finite element analysis (see, e.g., Bauer et al. [Appl. Numer. Math., 2017]), which we hereby refer to as the surrogate matrix methodology. This methodology is based on the piece-wise smooth approximation of the matrices involved in a standard finite element discretization. In particular, it relies on the projection of smooth so-called stencil functions onto high-order polynomial subspaces. The performance advantage of the surrogate matrix methodology is seen in constructions where each stencil function uniquely determines the values of a significant collection of matrix entries. Such constructions are shown to be widely achievable through the use of locally-structured meshes. Therefore, this methodology can be applied to a wide variety of physically meaningful problems, including nonlinear problems and problems with curvilinear geometries. Rigorous a priori error analysis certifies the convergence of a novel surrogate method for the variable coefficient Poisson equation. The flexibility of the methodology is also demonstrated through the construction of novel methods for linear elasticity and nonlinear diffusion problems. In numerous numerical experiments, we demonstrate the efficacy of these new methods in a matrix-free environment with geometric multigrid solvers. In our experiments, up to a twenty-fold decrease in computation time is witnessed over the classical method with an otherwise identical implementation

Matrixfreie voxelbasierte Finite-Elemente-Methode für Materialien mit komplizierter Mikrostruktur

Modern image detection techniques such as micro computer tomography (μCT), magnetic resonance imaging (MRI) and scanning electron microscopy (SEM) provide us with high resolution images of the microstructure of materials in a non-invasive and convenient way. They form the basis for the geometrical models of high-resolution analysis, so called image-based analysis. However especially in 3D, discretizations of these models reach easily the size of 100 Mill. degrees of freedoms and require extensive hardware resources in terms of main memory and computing power to solve the numerical model. Consequently, the focus of this work is to combine and adapt numerical solution methods to reduce the memory demand first and then the computation time and therewith enable an execution of the image-based analysis on modern computer desktops. Hence, the numerical model is a straightforward grid discretization of the voxel-based (pixels with a third dimension) geometry which omits the boundary detection algorithms and allows reduced storage of the finite element data structure and a matrix-free solution algorithm. This in turn reduce the effort of almost all applied grid-based solution techniques and results in memory efficient and numerically stable algorithms for the microstructural models. Two variants of the matrix-free algorithm are presented. The efficient iterative solution method of conjugate gradients is used with matrix-free applicable preconditioners such as the Jacobi and the especially suited multigrid method. The jagged material boundaries of the voxel-based mesh are smoothed through embedded boundary elements which contain different material information at the integration point and are integrated sub-cell wise though without additional boundary detection. The efficiency of the matrix-free methods can be retained.Moderne bildgebende Verfahren wie Mikro-Computertomographie (μCT), Magnetresonanztomographie (MRT) und Rasterelektronenmikroskopie (SEM) liefern nicht-invasiv hochauflösende Bilder der Mikrostruktur von Materialien. Sie bilden die Grundlage der geometrischen Modelle der hochauflösenden bildbasierten Analysis. Allerdings erreichen vor allem in 3D die Diskretisierungen dieser Modelle leicht die Größe von 100 Mill. Freiheitsgraden und erfordern umfangreiche Hardware-Ressourcen in Bezug auf Hauptspeicher und Rechenleistung, um das numerische Modell zu lösen. Der Fokus dieser Arbeit liegt daher darin, numerische Lösungsmethoden zu kombinieren und anzupassen, um den Speicherplatzbedarf und die Rechenzeit zu reduzieren und damit eine Ausführung der bildbasierten Analyse auf modernen Computer-Desktops zu ermöglichen. Daher ist als numerisches Modell eine einfache Gitterdiskretisierung der voxelbasierten (Pixel mit der Tiefe als dritten Dimension) Geometrie gewählt, die die Oberflächenerstellung weglässt und eine reduzierte Speicherung der finiten Elementen und einen matrixfreien Lösungsalgorithmus ermöglicht. Dies wiederum verringert den Aufwand von fast allen angewandten gitterbasierten Lösungsverfahren und führt zu Speichereffizienz und numerisch stabilen Algorithmen für die Mikrostrukturmodelle. Es werden zwei Varianten der Anpassung der matrixfreien Lösung präsentiert, die Element-für-Element Methode und eine Knoten-Kanten-Variante. Die Methode der konjugierten Gradienten in Kombination mit dem Mehrgitterverfahren als sehr effizienten Vorkonditionierer wird für den matrixfreien Lösungsalgorithmus adaptiert. Der stufige Verlauf der Materialgrenzen durch die voxelbasierte Diskretisierung wird durch Elemente geglättet, die am Integrationspunkt unterschiedliche Materialinformationen enthalten und über Teilzellen integriert werden (embedded boundary elements). Die Effizienz der matrixfreien Verfahren bleibt erhalten

Multilevel Monte Carlo methods for stochastic elliptic multiscale PDEs

In this paper Monte Carlo finite element approximations for elliptic homogenization problems with random coefficients, which oscillate on n is an element of N a priori known, separated microscopic length scales, are considered. The convergence of multilevel Monte Carlo finite element discretizations is analyzed. In particular, it is considered that the multilevel finite element discretization resolves the finest physical length scale, but the coarsest finite element mesh does not, so that the so-called resonance case occurs at intermediate multilevel Monte Carlo sampling levels. It is shown that for first order finite elements in two space dimensions, the multilevel Monte Carlo finite element method converges at the same rate as the corresponding single-level Monte Carlo finite element method, despite the majority of samples being underresolved in the multilevel Monte Carlo finite element estimator. It is proved that switching to a hierarchic multiscale finite element method such as the finite element heterogeneous multiscale method to compute the multilevel Monte Carlo finite element estimator, when only meshes are used which underresolve all physical length scales, implies optimal convergence. Specifically, both methods proposed here allow one to obtain estimates of the expectation of the random solution, with accuracy versus work that is identical to the solution of a single deterministic problem. In the case of the finite element heterogeneous multiscale method the estimate is, moreover, robust with respect to the physical length scales. Numerical experiments corroborate our analytical findings