Multilevel Monte Carlo Methods for Stochastic Convection–Diffusion Eigenvalue Problems
Bibliographic record
Abstract
We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element (FE) discretizations of the eigenvalue problem on a hierarchy of increasingly finer meshes. For the discretized, algebraic eigenproblems we use both the Rayleigh quotient (RQ) iteration and implicitly restarted Arnoldi (IRA), providing an analysis of the cost in each case. By studying the variance on each level and adapting classical FE error bounds to the stochastic setting, we are able to bound the total error of our MLMC estimator and provide a complexity analysis. As expected, the complexity bound for our MLMC estimator is superior to plain Monte Carlo. To improve the efficiency of the MLMC further, we exploit the hierarchy of meshes and use coarser approximations as starting values for the eigensolvers on finer ones. To improve the stability of the MLMC method for convection-dominated problems, we employ two additional strategies. First, we consider the streamline upwind Petrov-Galerkin formulation of the discrete eigenvalue problem, which allows us to start the MLMC method on coarser meshes than is possible with standard FEs. Second, we apply a homotopy method to add stability to the eigensolver for each sample. Finally, we present a multilevel quasi-Monte Carlo method that replaces Monte Carlo with a quasi-Monte Carlo (QMC) rule on each level. Due to the faster convergence of QMC, this improves the overall complexity. We provide detailed numerical results comparing our different strategies to demonstrate the practical feasibility of the MLMC method in different use cases. The results support our complexity analysis and further demonstrate the superiority over plain Monte Carlo in all cases.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.003 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".