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Results for “Multilevel Monte Carlo”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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All sourcesNASA NTRSDOE OSTI
DOE OSTI2025

Scalable multilevel Monte Carlo methods exploiting parallel redistribution on coarse levels

Here, we study an element agglomeration coarsening strategy that requires data redistribution at coarse levels when the number of coarse elements becomes smaller than the number of MPI processes used on the finest level. The overall procedure generates coarse elements (general unstructured unions of fine grid elements) within the framework of element-based algebraic multigrid methods (or AMGe) studied previously. The AMGe-generated coarse spaces have the ability to exhibit approximation properties of the same order as the fine-level spaces since by construction they contain the piecewise polynomials of the same order as on the fine level. These approximation properties are key for the successful use of AMGe in multilevel solvers for nonlinear partial differential equations as well as for multilevel Monte Carlo (MLMC) simulations. The ability to coarsen without being constrained by the number of MPI processes, as described in the present paper, allows to improve the scalability of these solvers as well as the overall MLMC method. The paper illustrates this latter fact with detailed scalability study of MLMC simulations applied to model Darcy equations with a stochastic log-normal permeability field.

AMGe↗
DOE OSTI2023

Optimizing shift selection in multilevel Monte Carlo for disconnected diagrams in lattice QCD

The calculation of disconnected diagram contributions to physical signals is a computationally expensive task in Lattice QCD. To extract the physical signal, the trace of the inverse Lattice Dirac operator, a large sparse matrix, must be stochastically estimated. Because the variance of the stochastic estimator is typically large, variance reduction techniques must be employed. Multilevel Monte Carlo (MLMC) methods reduce the variance of the trace estimator by utilizing a telescoping sequence of estimators. Frequency Splitting is one such method that uses a sequence of inverses of shifted operators to estimate the trace of the inverse lattice Dirac operator, however there is no a priori way to select the shifts that minimize the cost of the multilevel trace estimation. Here we present a sampling and interpolation scheme that is able to predict the variances associated with Frequency Splitting under displacements of the underlying space time lattice. The interpolation scheme is able to predict the variances to high accuracy and therefore chooses shifts that correspond to an approximate minimum of the cost for the trace estimation. We show that Frequency Splitting with the chosen shifts displays significant speedups over multigrid deflation, and that these shifts can be used for multiple configurations within the same ensemble with no penalty to performance.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2024

Multilevel Monte Carlo methods for the Grad-Shafranov free boundary problem

The equilibrium configuration of a plasma in an axially symmetric reactor is described mathematically by a free boundary problem associated with the celebrated Grad-Shafranov equation. The presence of uncertainty in the model parameters introduces the need to quantify the variability in the predictions. This is often done by computing a large number of model solutions on a computational grid for an ensemble of parameter values and then obtaining estimates for the statistical properties of solutions. In this study, we explore the savings that can be obtained using multilevel Monte Carlo methods, which reduce costs by performing the bulk of the computations on a sequence of spatial grids that are coarser than the one that would typically be used for a simple Monte Carlo simulation. We examine this approach using both a set of uniformly refined grids and a set of adaptively refined grids guided by a discrete error estimator. Numerical experiments show that multilevel methods dramatically reduce the cost of simulation, with cost reductions typically on the order of 60 or more and possibly as large as 200. Furthermore, adaptive griding results in more accurate computation of geometric quantities such as x-points associated with the model.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2024

Multilevel Monte Carlo Estimators For Derivative-Free Optimization Under Uncertainty

Optimization is a key tool for scientific and engineering applications; however, in the presence of models affected by uncertainty, the optimization formulation needs to be extended to consider statistics of the quantity of interest. Optimization under uncertainty (OUU) deals with this endeavor and requires uncertainty quantification analyses at several design locations; i.e., its overall computational cost is proportional to the cost of performing a forward uncertainty analysis at each design location. An OUU workflow has two main components: an inner loop strategy for the computation of statistics of the quantity of interest, and an outer loop optimization strategy tasked with finding the optimal design, given a merit function based on the inner loop statistics. Here, in this work, we propose to alleviate the cost of the inner loop uncertainty analysis by leveraging the so-called multilevel Monte Carlo (MLMC) method, which is able to allocate resources over multiple models with varying accuracy and cost. The resource allocation problem in MLMC is formulated by minimizing the computational cost given a target variance for the estimator. We consider MLMC estimators for statistics usually employed in OUU workflows and solve the corresponding allocation problem. For the outer loop, we consider a derivative-free optimization strategy implemented in the SNOWPAC library; our novel strategy is implemented and released in the Dakota software toolkit. We discuss several numerical test cases to showcase the features and performance of our approach with respect to its Monte Carlo single fidelity counterpart.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2025

Accelerating multilevel Markov Chain Monte Carlo using machine learning models

Here, this work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian inference often substitute computationally expensive high-fidelity models with machine learning models, thereby introducing approximation errors, our approach offers a computationally efficient alternative by augmenting high-fidelity models with low-fidelity ones within a hierarchical framework. The multilevel approach utilizes the low-fidelity machine learning model (MLM) for inexpensive evaluation of proposed samples thereby improving the acceptance of samples by the high-fidelity model. The hierarchy in our multilevel algorithm is derived from geometric multigrid hierarchy. We utilize an MLM to accelerate the coarse level sampling. Training machine learning model for the coarsest level significantly reduces the computational cost associated with generating training data and training the model. We present an MCMC algorithm to accelerate the coarsest level sampling using MLM and account for the approximation error introduced. We provide theoretical proofs of detailed balance and demonstrate that our multilevel approach constitutes a consistent MCMC algorithm. Additionally, we derive the expression for cost reduction due to machine learning model to facilitate cost analysis of the hierarchical sampling algorithm. Our technique is demonstrated on a standard benchmark inference problem in groundwater flow, where we estimate the probability density of a quantity of interest using a four-level MCMC algorithm. Our proposed algorithm accelerates multilevel sampling by a factor of two while achieving similar accuracy compared to sampling using the standard multilevel algorithm.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2023

Multi-output multilevel best linear unbiased estimators via semidefinite programming

Multifidelity forward uncertainty quantification (UQ) problems often involve multiple quantities of interest and heterogeneous models (e.g., different grids, equations, dimensions, physics, surrogate and reduced-order models). While computational efficiency is key in this context, multi-output strategies in multilevel/multifidelity methods are either sub-optimal or non-existent. In this paper we extend multilevel best linear unbiased estimators (MLBLUE) to multi-output forward UQ problems and we present new semidefinite programming formulations for their optimal setup. Not only do these formulations yield the optimal number of samples required, but also the optimal selection of low-fidelity models to use. While existing MLBLUE approaches are single-output only and require a non-trivial nonlinear optimization procedure, the new multi-output formulations can be solved reliably and efficiently. Here, we demonstrate the efficacy of the new methods and formulations in practical UQ problems with model heterogeneity.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2023

Urban Flood Modeling: Uncertainty Quantification and Physics‐Informed Gaussian Processes Regression Forecasting

Abstract Estimating uncertainty in flood model predictions is important for many applications, including risk assessment and flood forecasting. We focus on uncertainty in physics‐based urban flooding models. We consider the effects of the model's complexity and uncertainty in key input parameters. The effect of rainfall intensity on the uncertainty in water depth predictions is also studied. As a test study, we choose the Interconnected Channel and Pond Routing (ICPR) model of a part of the city of Minneapolis. The uncertainty in the ICPR model's predictions of the floodwater depth is quantified in terms of the ensemble variance using the multilevel Monte Carlo (MC) simulation method. Our results show that uncertainties in the studied domain are highly localized. Model simplifications, such as disregarding the groundwater flow, lead to overly confident predictions, that is, predictions that are both less accurate and uncertain than those of the more complex model. We find that for the same number of uncertain parameters, increasing the model resolution reduces uncertainty in the model predictions (and increases the MC method's computational cost). We employ the multilevel MC method to reduce the cost of estimating uncertainty in a high‐resolution ICPR model. Finally, we use the ensemble estimates of the mean and covariance of the flood depth for real‐time flood depth forecasting using the physics‐informed Gaussian process regression method. We show that even with few measurements, the proposed framework results in a more accurate forecast than that provided by the mean prediction of the ICPR model.

Kohanpur, Amir H.↗
DOE OSTI2026

Hierarchical Gaussian Random Field Sampling for Multilevel Markov Chain Monte Carlo: Coupling Stochastic Partial Differential Equation and the Karhunen–Loève Decomposition

This work introduces structure preserving hierarchical decompositions for sampling Gaussian random fields (GRFs) within the context of multilevel Bayesian inference in high-dimensional space. Existing scalable hierarchical sampling methods, such as those based on stochastic partial differential equations (SPDEs), often reduce the dimensionality of the sample space at the cost of accuracy of inference. Other approaches, such that those based on Karhunen-Loève (KL) expansions, offer sample space dimensionality reduction but sacrifice GRF representation accuracy and ergodicity of the Markov chain Monte Carlo (MCMC) sampler and are computationally expensive for high-dimensional problems. The proposed method integrates the dimensionality reduction capabilities of KL expansions with the scalability of SPDE-based sampling, thereby providing a robust, unified framework for high-dimensional uncertainty quantification (UQ) that is scalable and accurate, preserves ergodicity, and offers dimensionality reduction of the sample space. The hierarchy in our multilevel algorithm is derived from the geometric multigrid hierarchy. By constructing a hierarchical decomposition that maintains the covariance structure across the levels in the hierarchy, the approach enables efficient coarse-to-fine sampling while ensuring that all samples are drawn from the desired distribution. The effectiveness of the proposed method is demonstrated on a benchmark subsurface flow problem, demonstrating its effectiveness in improving computational efficiency and statistical accuracy. Furthermore, our proposed technique is more efficient and accurate and displays better convergence properties than existing methods for high-dimensional Bayesian inference problems.

Gaussian random fields↗
DOE OSTI2024

Multi-level Monte Carlo methods in chemical applications with Lennard-Jones potentials and other landscapes with isolated singularities

We describe and compare outcomes of various Multi-Level Monte Carlo (MLMC) method variants, motivated by the potential of improved computational efficiency over rejection based Monte Carlo, which scales poorly with problem dimension. With an eye toward its application to computational chemical physics, we test MLMC's ability to sample trajectories on two problems — a familiar double-well potential, with known stationary distributions, and a Lennard-Jones solid potential (a Galton Board). By sampling Brownian motion trajectories, we are able to compute expectations of observable averages. These multi-basin potential energy problems capture the essence of the challenges with using MLMC, namely, maintaining correspondence of sample paths as time-resolution is varied. Addressing this challenge properly can lead to MLMC significantly outperforming standard Monte Carlo path sampling. We describe the essence of this problem and suggest strategies that circumvent diverging multilevel sample paths for an important class of problems. In the tests we also compare the computational cost of several, “adaptive,” variants of MLMC. Our results demonstrate that MLMC overcomes the collision, time scale limitation of the more familiar Brownian path MC samplers, and our implementation provides tunable error thresholds, making MLMC a promising candidate for application to larger and more complex molecular systems.

37 INORGANIC, ORGANIC, PHYSICAL, AND ANALYTICAL CH↗
DOE OSTI2023

Exascale Multiphysics Nuclear Reactor Simulations for Advanced Designs

ENRICO is a coupled application developed under the U.S. Department of Energy's Exascale Computing Project (ECP) targeting the modeling of advanced nuclear reactors. It couples radiation transport with heat and fluid simulation, including the high-fidelity, highresolution Monte-Carlo code Shift and the Computational fluid dynamics code NekRS. NekRS is a highly-performant open-source code for simulation of incompressible and low-Mach fluid flow, heat transfer, and combustion with a particular focus on turbulent flows in complex domains. It is based on rapidly convergent high-order spectral element discretizations that feature minimal numerical dissipation and dispersion. State-of-the-art multilevel preconditioners, efficient high-order time-splitting methods, and runtime-adaptive communication strategies are built on a fast OCCA-based kernel library, libParanumal, to provide scalability and portability across the spectrum of current and future high-performance computing platforms. On Frontier, Nek5000/RS has recently achieved an unprecedented milestone in breaching over 1 billion spectral elements and 350 billion degrees of freedom. Shift has demonstrated the capability to transport upwards of 1 billion particles per second in full core nuclear reactor simulations featuring complete temperature-dependent, continuous-energy physics on Frontier. Shift achieved a weak-scaling efficiency of 97.8% on 8192 nodes of Frontier and calculated 6 reactions in 214,896 fuel pin regions below 1% statistical error yielding first-of-a-kind resolution for a Monte Carlo transport application.

Hamilton, Steven P.↗