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A MULTI-INDEX QUASI-MONTE CARLO ALGORITHM FOR LOGNORMAL DIFFUSION PROBLEMS
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DOI：10.1137/16M1082561.png)
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Abstract
En 中文
We present a multi-index quasi Monte Carlo method for the solution of elliptic partial differential equations with random coefficients. By combining the multi-index sampling idea with randomly shifted rank-1 lattice rules, the algorithm constructs an estimator for the expected value of some functional of the solution. The efficiency of this new method is illustrated on a three-dimensional subsurface flow problem with lognormal diffusion coefficient with underlying Matern covariance function. This example is particularly challenging because of the small correlation length considered, and thus the large number of uncertainties that must be included. We show numerical evidence that it is possible to achieve a cost inversely proportional to the requested tolerance on the root-mean-square error, for problems with a smoothly varying random field.
Keywords:
multilevel Monte Carlo
multi-index Monte Carlo
quasi Monte Carlo
elliptic PDEs
uncertainty quantification
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