MATHICSE Technical Report : A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients

We consider the numerical approximation of the stochastic Darcy problem with log-normal permeability field and propose a novel Multi Level Monte Carlo approach with a control variate variance reduction technique on each level. We model the log-permeability as a stationary Gaussian random field with a covariance function belonging to the so called Matérn family, which includes both fields with very limited and very high spatial regularity. The control variate is obtained starting from the solution of an auxiliary problem with smoothed permeability coefficient and its expected value is effectively computed with a Stochastic Collocation method on the finest level in which the control variate is applied. We analyze the variance reduction induced by the control variate, and the total mean square error of the new estimator. To conclude we present some numerical examples and a comparison with the standard Multi Level Monte Carlo method, which shows the effectiveness of the proposed method.

Dec 19 2014
Écublens, MATHICSE
MATHICSE Technical Report Nr. 49.2014 December 2014
Related to:

 Record created 2019-01-22, last modified 2019-06-07

Version 1:
Download fulltext

Rate this document:

Rate this document:
(Not yet reviewed)