2023/05/25 by Cedric Aaron Beschle, Beschle, Cedric Aaron, Andrea Barth +1
Mathematics · Decision Sciences · #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design
paper · pdf · doi:10.48550/arxiv.2305.15949
Continuous level Monte Carlo is an unbiased, continuous version of the celebrated multilevel Monte Carlo method. The approximation level is assumed to be continuous resulting in a stochastic process describing the quantity of interest. Continuous level Monte Carlo methods allow naturally for samplewise adaptive mesh refinements, which are indicated by goal-oriented error estimators. The samplewise refinement levels are drawn in the estimator from an exponentially-distributed random variable. Unfortunately in practical examples this results in higher costs due to high variance in the samples. In this paper we propose a variant of continuous level Monte Carlo, where a quasi Monte Carlo sequence is utilized to "sample" the exponential random variable. We provide a complexity theorem for this novel estimator and show that this results theoretically and practically in a variance reduction of the whole estimator.