Improved Multilevel Monte Carlo Methods for Finite Volume Discretisations of Darcy Flow in Randomly Layered Media (1506.04694v1)

Abstract: We consider the application of multilevel Monte Carlo methods to steady state Darcy flow in a random porous medium, described mathematically by elliptic partial differential equations with random coefficients. The levels in the multilevel estimator are defined by finite volume discretisations of the governing equations with different mesh parameters. To simulate different layers in the subsurface, the permeability is modelled as a piecewise constant or piecewise spatially correlated random field, including the possibility of piecewise log-normal random fields. The location of the layers is assumed unknown, and modelled by a random process. We prove new convergence results of the spatial discretisation error required to quantify the mean square error of the multilevel estimator, and provide an optimal implementation of the method based on algebraic multigrid methods and a novel variance reduction technique termed Coarse Grid Variates.