Unbiased multi-index Monte Carlo

Dan Crisan, Pierre Del Moral, Jeremie Houssineau, Ajay Jasra

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

We introduce a new class of Monte Carlo-based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from the discretized versions of these laws can typically introduce a bias. In this paper, we show how to remove that bias, by introducing a new version of multi-index Monte Carlo (MIMC) that has the added advantage of reducing the computational effort, relative to i.i.d. sampling from the most precise discretization, for a given level of error. We cover extensions of results regarding variance and optimality criteria for the new approach. We apply the methodology to the problem of computing an unbiased mollified version of the solution of a partial differential equation with random coefficients. A second application concerns the Bayesian inference (the smoothing problem) of an infinite-dimensional signal modeled by the solution of a stochastic partial differential equation that is observed on a discrete space grid and at discrete times. Both applications are complemented by numerical simulations.
Original languageEnglish (US)
JournalStochastic Analysis and Applications
Volume36
Issue number2
DOIs
StatePublished - Mar 4 2018
Externally publishedYes

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