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Advanced Multilevel Monte Carlo Methods

Author

Listed:
  • Ajay Jasra
  • Kody Law
  • Carina Suciu

Abstract

This article reviews the application of some advanced Monte Carlo techniques in the context of multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations, which can be biassed in some sense, for instance, by using the discretization of an associated probability law. The MLMC approach works with a hierarchy of biassed approximations, which become progressively more accurate and more expensive. Using a telescoping representation of the most accurate approximation, the method is able to reduce the computational cost for a given level of error versus i.i.d. sampling from this latter approximation. All of these ideas originated for cases where exact sampling from couples in the hierarchy is possible. This article considers the case where such exact sampling is not currently possible. We consider some Markov chain Monte Carlo and sequential Monte Carlo methods, which have been introduced in the literature, and we describe different strategies that facilitate the application of MLMC within these methods.

Suggested Citation

  • Ajay Jasra & Kody Law & Carina Suciu, 2020. "Advanced Multilevel Monte Carlo Methods," International Statistical Review, International Statistical Institute, vol. 88(3), pages 548-579, December.
    • Handle: RePEc:bla:istatr:v:88:y:2020:i:3:p:548-579
    DOI: 10.1111/insr.12365
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    References listed on IDEAS

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