Multilevel Monte Carlo methods

Monte Carlo methods are a very general and useful approach for the estimation of expectations arising from stochastic simulation. However, they can be computationally expensive, particularly when the cost of generating individual stochastic samples is very high, as in the case of stochastic PDEs. Multilevel Monte Carlo is a recently developed approach which greatly reduces the computational cost by performing most simulations with low accuracy at a correspondingly low cost, with relatively few simulations being performed at high accuracy and a high cost. In this article, we review the ideas behind the multilevel Monte Carlo method, and various recent generalizations and extensions, and discuss a number of…

• EA
  Engineering and Physical Sciences Research Council

  Awards: EP/E031455/1, EP/H05183X/1