Cristin-resultat-ID: 1953751
Sist endret: 11. november 2021, 14:57
Vitenskapelig foredrag

Adaptive stratified sampling for nonsmooth problems

  • Per Pettersson og
  • Sebastian Krumscheid


Navn på arrangementet: 13th International Conference on Monte Carlo Methods and Applications (MCM21)
Sted: Mannheim, Germany
Dato fra: 16. august 2021
Dato til: 20. august 2021


Arrangørnavn: University of Mannheim

Om resultatet

Vitenskapelig foredrag
Publiseringsår: 2021

Beskrivelse Beskrivelse


Adaptive stratified sampling for nonsmooth problems


Sampling based variance reduction techniques, such as multilevel Monte Carlo methods, have been established as a general-purpose procedure for quantifying uncertainties in computational models. It is known however, that these techniques may not provide performance gains when there is a non-smooth pa- rameter dependence. Moreover, in many applications (e.g. transport problems in fractured porous media of relevance to carbon storage and wastewater injection) the key idea of MLMC cannot be fully exploited since a hierarchy of computational models cannot be easily constructed. An alternative means to obtain variance reduction in these cases is offered by stratified sampling methods. In this talk we will discuss various ideas on adaptive stratified sampling methods tailored to applications with a discontinuous pa- rameter dependence. Specifically, we will build upon ideas from adaptive PDE mesh refinement strategies applied to the stochastic instead of the physical domain. The stochastic domain is adaptively stratified using local variance estimates, and the samples are sequentially allocated to the strata for asymptotically optimal variance reduction. The proposed methodology is demonstrated on discontinuous test cases from computational fluid mechanics and CO2 storage in subsurface reservoirs, and computational speedup compared to standard Monte Carlo is obtained.


Per Pettersson

  • Tilknyttet:
    ved NORCE Energi og teknologi ved NORCE Norwegian Research Centre AS

Sebastian Krumscheid

  • Tilknyttet:
  • Tilknyttet:
    ved Rheinisch-Westfälische Technische Hochschule Aachen
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