Library Subscription: Guest
Begell Digital Portal Begell Digital Library eBooks Journals References & Proceedings Research Collections
International Journal for Uncertainty Quantification

Impact factor: 1.000

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2018021551
Forthcoming Article

A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD

Ajay Jasra
Department of Statistics & Applied Probability National University of Singapore
Kengo Kamatani
Graduate School of Engineering Science, Osaka University
Kody Law
Oak Ridge National Laboratory
Yan Zhou
Department of Statistics & Applied Probability National University of Singapore

ABSTRACT

In this article we consider computing expectations w.r.t. probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but also to a biased discretization of the associated probability. We are concerned with the situation for which the discretization is required in multiple dimensions, for instance in space-time. In such contexts, it is known that the multi-index Monte Carlo (MIMC) method of [6] can improve upon i.i.d. sampling from the most accurate approximation of the probability law. Indeed by a non-trivial modification of the multilevel Monte Carlo (MLMC) method and it can reduce the work to obtain a given level of error, relative to i.i.d. sampling and relative even to MLMC. In this article we consider the case when such probability laws are too complex to be sampled independently. We develop a modification of the MIMC method which allows one to use standard Markov chain Monte Carlo (MCMC) algorithms to replace independent and coupled sampling, in certain contexts. We prove a variance theorem which shows that using our MIMCMC method is preferable, in the sense above, to i.i.d. sampling from the most accurate approximation, under assumptions. The method is numerically illustrated on a problem associated to a stochastic partial differential equation (SPDE).