Abstract

In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large-scale applications with high-dimensional parameter spaces, e.g., in uncertainty quantification in porous media flow. We propose a new multilevel Metropolis-Hastings algorithm and give an abstract, problem-dependent theorem on the cost of the new multilevel estimator based on a set of simple, verifiable assumptions. For a typical model problem in subsurface flow, we then provide a detailed analysis of these assumptions and show significant gains over the standard Metropolis-Hastings estimator. Numerical experiments confirm the analysis and demonstrate the effectiveness of the method with consistent reductions of more than an order of magnitude in the cost of the multilevel estimator over the standard Metropolis-Hastings algorithm for tolerances ε < 10 - 2.

Original languageEnglish
Pages (from-to)509-545
Number of pages37
JournalSiam Review
Volume61
Issue number3
Early online date7 Aug 2019
DOIs
Publication statusPublished - 2019

Keywords

  • Bayesian approach
  • Elliptic PDEs with random coefficients
  • Finite element analysis
  • Log-normal coefficients
  • Metropolis-Hastings algorithm
  • Multilevel Monte Carlo

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computational Mathematics
  • Applied Mathematics

Cite this

Dodwell, T. J., Ketelsen, C., Scheichl, R., & Teckentrup, A. L. (2019). Multilevel Markov chain Monte Carlo. Siam Review, 61(3), 509-545. https://doi.org/10.1137/19M126966X