Multilevel quasi-Monte Carlo for random elliptic eigenvalue problems II: Efficient algorithms and numerical results

TL;DR

This paper introduces an efficient multilevel quasi-Monte Carlo algorithm for estimating the expected smallest eigenvalue in stochastic elliptic eigenvalue problems, significantly reducing computational costs through multiple innovative strategies.

Contribution

The paper develops a novel multilevel QMC method with variance reduction, eigenvector reuse, and two-grid discretization, enhancing efficiency in stochastic eigenvalue computations.

Findings

The proposed algorithm achieves significant computational speedup.

The four combined strategies are shown to be complementary.

Numerical results validate the theoretical efficiency improvements.

Abstract

Stochastic PDE eigenvalue problems often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic eigenvalue problem with stochastic coefficients. Each sample evaluation requires the solution of a PDE eigenvalue problem, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four ways: we use a multilevel variance reduction scheme to spread the work over a hierarchy of FE meshes and truncation dimensions; we use QMC methods to efficiently compute the expectations on each level; we exploit the smoothness in parameter space and reuse the eigenvector from a nearby QMC point to reduce the number of iterations of the eigensolver; and we utilise a two-grid discretisation scheme to obtain the eigenvalue on the fine mesh with a single linear solve. The full error analysis of a basic MLQMC algorithm is given in the companion paper [Gilbert and Scheichl, 2022], and so in this paper we focus on how to further improve the efficiency and provide theoretical justification for using nearby QMC points and two-grid methods. Numerical results are presented that show the efficiency of our algorithm, and also show that the four strategies we employ are complementary.