Complexity analysis of quasi continuous level Monte Carlo
- Resource Type
- Working Paper
- Authors
- Beschle, Cedric Aaron; Barth, Andrea
- Source
- Subject
- Mathematics - Numerical Analysis
65C05, 65C10, 11K38, 65N30, 65N50
- Language
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.