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A fault tolerant implementation of Multi-Level Monte Carlo methods

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Probabilistic and Robust Engineering Design Distributed systems and fault tolerance Mathematical Approximation and Integration

Abstract

The theory behind fault tolerant multi-level Monte Carlo (FT-MLMC) methods was recently developed and tested.These tests were made without a real fault tolerant implementation.We implemented a MPI-parallelized fault tolerant MLMC version of an existing parallel MLMC code (ALSVID-UQ).It is based on the User Level Failure Mitigation, a fault tolerant extension of MPI.We confirm our FT-MLMC theory by means of simulations of the two-dimensional stochastic Euler equations of gas dynamics.

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2008Multilevel Monte Carlo Path Simulation 2011Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients 2012Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data 2012Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions

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2015Intrinsic fault tolerance of multilevel Monte Carlo methods

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