Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

The Euler-Maruyama scheme is known to diverge strongly and numerically weakly when applied to nonlinear stochastic differential equations (SDEs) with superlinearly growing and globally one-sided Lipschitz continuous drift coefficients. Classical Monte Carlo simulations do, however, not suffer from this divergence behavior of Euler's method because this divergence behavior happens on rare events. Indeed, for such nonlinear SDEs the classical Monte Carlo Euler method has been shown to converge by exploiting that the Euler approximations diverge only on events whose probabilities decay to zero very rapidly. Significantly more efficient than the classical Monte Carlo Euler method is the recently introduced multilevel Monte Carlo Euler method. The main observation of this article is that this multilevel Monte Carlo Euler method does - in contrast to classical Monte Carlo methods - not converge in general in the case of such nonlinear SDEs. More precisely, we establish divergence of the multilevel Monte Carlo Euler method for a family of SDEs with superlinearly growing and globally one-sided Lipschitz continuous drift coefficients. In particular, the multilevel Monte Carlo Euler method diverges for these nonlinear SDEs on an event that is not at all rare but has probability one. As a consequence for applications, we recommend not to use the multilevel Monte Carlo Euler method for SDEs with superlinearly growing nonlinearities. Instead we propose to combine the multilevel Monte Carlo method with a slightly modified Euler method. More precisely, we show that the multilevel Monte Carlo method combined with a tamed Euler method converges for nonlinear SDEs with globally one-sided Lipschitz continuous drift coefficients and preserves its strikingly higher order convergence rate from the Lipschitz case.Comment: Published in at http://dx.doi.org/10.1214/12-AAP890 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Multilevel Monte Carlo methods

The author's presentation of multilevel Monte Carlo path simulation at the MCQMC 2006 conference stimulated a lot of research into multilevel Monte Carlo methods. This paper reviews the progress since then, emphasising the simplicity, flexibility and generality of the multilevel Monte Carlo approach. It also offers a few original ideas and suggests areas for future research

Metropolis Methods for Quantum Monte Carlo Simulations

Since its first description fifty years ago, the Metropolis Monte Carlo method has been used in a variety of different ways for the simulation of continuum quantum many-body systems. This paper will consider some of the generalizations of the Metropolis algorithm employed in quantum Monte Carlo: Variational Monte Carlo, dynamical methods for projector monte carlo ({\it i.e.} diffusion Monte Carlo with rejection), multilevel sampling in path integral Monte Carlo, the sampling of permutations, cluster methods for lattice models, the penalty method for coupled electron-ionic systems and the Bayesian analysis of imaginary time correlation functions.Comment: Proceedings of "Monte Carlo Methods in the Physical Sciences" Celebrating the 50th Anniversary of the Metropolis Algorith

Central limit theorems for multilevel Monte Carlo methods

In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and we provide near optimal weaker conditions under which the CLT is achieved. In particular, if the variance decay rate dominates the computational cost rate (i.e., $\beta > \gamma$), we prove that the CLT applies to the standard (variance minimizing) MLMC estimator. For other settings where the CLT may not apply to the standard MLMC estimator, we propose an alternative estimator, called the mass-shifted MLMC estimator, to which the CLT always applies. This comes at a small efficiency loss: the computational cost of achieving mean square approximation error $\mathcal{O}(\epsilon^2)$ is at worst a factor $\mathcal{O}(\log(1/\epsilon))$ higher with the mass-shifted estimator than with the standard one

Multilevel Monte Carlo methods for applications in finance

Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.Comment: arXiv admin note: text overlap with arXiv:1202.6283; and with arXiv:1106.4730 by other author

Space-time multilevel quadrature methods and their application for cardiac electrophysiology

We present a novel approach which aims at high-performance uncertainty quantification for cardiac electrophysiology simulations. Employing the monodomain equation to model the transmembrane potential inside the cardiac cells, we evaluate the effect of spatially correlated perturbations of the heart fibers on the statistics of the resulting quantities of interest. Our methodology relies on a close integration of multilevel quadrature methods, parallel iterative solvers and space-time finite element discretizations, allowing for a fully parallelized framework in space, time and stochastics. Extensive numerical studies are presented to evaluate convergence rates and to compare the performance of classical Monte Carlo methods such as standard Monte Carlo (MC) and quasi-Monte Carlo (QMC), as well as multilevel strategies, i.e. multilevel Monte Carlo (MLMC) and multilevel quasi-Monte Carlo (MLQMC) on hierarchies of nested meshes. Finally, we employ a recently suggested variant of the multilevel approach for non-nested meshes to deal with a realistic heart geometry

Fast uncertainty quantification of tracer distribution in the brain interstitial fluid with multilevel and quasi Monte Carlo

Efficient uncertainty quantification algorithms are key to understand the propagation of uncertainty -- from uncertain input parameters to uncertain output quantities -- in high resolution mathematical models of brain physiology. Advanced Monte Carlo methods such as quasi Monte Carlo (QMC) and multilevel Monte Carlo (MLMC) have the potential to dramatically improve upon standard Monte Carlo (MC) methods, but their applicability and performance in biomedical applications is underexplored. In this paper, we design and apply QMC and MLMC methods to quantify uncertainty in a convection-diffusion model of tracer transport within the brain. We show that QMC outperforms standard MC simulations when the number of random inputs is small. MLMC considerably outperforms both QMC and standard MC methods and should therefore be preferred for brain transport models.Comment: Multilevel Monte Carlo, quasi Monte Carlo, brain simulation, brain fluids, finite element method, biomedical computing, random fields, diffusion-convectio