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Multifidelity Monte Carlo estimation with adaptive low-fidelity models

Presented by: 
Benjamin Peherstorfer University of Wisconsin-Madison
Date: 
Friday 9th March 2018 - 11:00 to 11:45
Venue: 
INI Seminar Room 1
Abstract: 
Multifidelity Monte Carlo (MFMC) estimation combines low- and high-fidelity models to speedup the estimation of statistics of the high-fidelity model outputs. MFMC optimally samples the low- and high-fidelity models such that the MFMC estimator has minimal mean-squared error for a given computational budget. In the setup of MFMC, the low-fidelity models are static, i.e., they are given and fixed and cannot be changed and adapted. We introduce the adaptive MFMC (AMFMC) method that splits the computational budget between adapting the low-fidelity models to improve their approximation quality and sampling the low- and high-fidelity models to reduce the mean-squared error of the estimator. Our AMFMC approach derives the quasi-optimal balance between adaptation and sampling in the sense that our approach minimizes an upper bound of the mean-squared error, instead of the error directly. We show that the quasi-optimal number of adaptations of the low-fidelity models is bounded even in the limit case that an infinite budget is available. This shows that adapting low-fidelity models in MFMC beyond a certain approximation accuracy is unnecessary and can even be wasteful. Our AMFMC approach trades-off adaptation and sampling and so avoids over-adaptation of the low-fidelity models. Besides the costs of adapting low-fidelity models, our AMFMC approach can also take into account the costs of the initial construction of the low-fidelity models (``offline costs''), which is critical if low-fidelity models are computationally expensive to build such as reduced models and data-fit surrogate models. Numerical results demonstrate that our adaptive approach can achieve orders of magnitude speedups compared to MFMC estimators with static low-fidelity models and compared to Monte Carlo estimators that use the high-fidelity model alone.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons