Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Abstract:

In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty quantification problems in subsurface flow. We extend the convergence analysis in [Graham et al., Numer. Math. 2014] to multilevel Quasi-Monte Carlo finite element discretisations and give a constructive proof of the dimension-independent convergence of the QMC rules. More precisely, we provide suitable parameters for the construction of such rules that yield the required variance reduction for the multilevel scheme to achieve an $\varepsilon$-error with a cost of $\mathcal {O}(\varepsilon ^{-\theta })$ with $\theta < 2$, and in practice even $\theta \approx 1$, for sufficiently fast decaying covariance kernels of the underlying Gaussian random field inputs. This confirms that the computational gains due to the application of multilevel sampling methods and the gains due to the application of QMC methods, both demonstrated in earlier works for the same model problem, are complementary. A series of numerical experiments confirms these gains. The results show that in practice the multilevel QMC method consistently outperforms both the multilevel MC method and the single-level variants even for nonsmooth problems.