Estimation of distributions via multilevel Monte Carlo with stratified sampling

Abstract

We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the joint cumulative distribution function (CDF) of a vector-valued quantity of interest in problems with random input parameters and initial conditions. Our approach combines MLMC with stratified sampling of the input sample space by replacing standard Monte Carlo at each level with stratified Monte Carlo initialized with proportionally allocated samples. We show that the resulting stratified MLMC (sMLMC) algorithm is more efficient than its standard MLMC counterpart due to the additional variance reduction provided by the stratification of the random parameter's domain, especially at the coarsest levels. Additional computational cost savings are obtained by smoothing the indicator function with a Gaussian kernel, which proves to be an efficient and robust alternative to recently developed polynomial-based techniques.