Multilevel Monte Carlo Estimation of Unbiased Expectation via Sample Reuse and the Low Variance Estimation of Asymptotic Rates

Barth, Timothy

关键词: MONTE CARLO METHOD;    ESTIMATING;    STATISTICAL ANALYSIS;    NUMERICAL ANALYSIS;    ASYMPTOTIC PROPERTIES;    APPROXIMATION;    BIAS;    COMPUTATION;    MEAN SQUARE VALUES;   

RP-ID  :  NASA/TP-2019-220312,ARC-E-DAA-TN71694

学科分类：统计和概率

美国|英语

来源: NASA Technical Reports Server

【 摘 要 】

A new variant of the multilevel Monte Carlo estimator [5, 3, 9, 12] is presented for the estimation of expectation statistics that utilizes sample reuse in specified levels, explicitly removes approximation error bias associated with numerically computed output quantities of interest that have an asymptotic limit behavior, and permits a low variance estimate of the asymptotic rate of convergence to that limit. In addition, it is shown that this new multilevel Monte Carlo variant can yield a computational cost savings. A review of Monte Carlo and multilevel Monte Carlo estimators is presented that includes analysis of expected value, expected mean squared error, and the calculation of optimized multilevel sample size parameters. The multilevel Monte Carlo estimator produces estimates of expectation for numerically approximated output quantities of interest that are biased by approximation error. When the quantity of interest can be modeled as the asymptotic limit of numerically approximated output quantities of interest, it is theoretically possible to remove this approximation error bias in the multilevel Monte Carlo estimator. In actual implementations, however, this procedure is unreliable due to statistical variability and inaccuracy in estimating the needed asymptotic limit. Analysis and numerical experiment show that the proposed variant of the multilevel Monte Carlo method greatly reduces (in some cases eliminates) the statistical variability in this limit estimation.