Fast Bayesian Multilevel Quasi-Monte Carlo

TL;DR

This paper introduces a Bayesian cubature approach to multilevel quasi-Monte Carlo methods, enabling efficient error estimation and adaptive sampling using a single low-discrepancy sequence, with promising numerical results.

Contribution

It recasts MLQMC in a Bayesian framework, allowing error quantification with a single LD sequence and developing new kernels and utility functions for improved adaptive sampling.

Findings

Bayesian error estimates are reliable and mildly conservative.

The method achieves $ ext{O}(n ext{log} n)$ computational cost for GP regression.

Numerical experiments demonstrate improved efficiency and error control.

Abstract

Existing multilevel quasi-Monte Carlo (MLQMC) methods often rely on multiple independent randomizations of a low-discrepancy (LD) sequence to estimate statistical errors on each level. While this approach is standard, it can be less efficient than simply increasing the number of points from a single LD sequence. However, a single LD sequence does not permit statistical error estimates in the current framework. We propose to recast the MLQMC problem in a Bayesian cubature framework, which uses a single LD sequence and quantifies numerical error through the posterior variance of a Gaussian process (GP) model. When paired with certain LD sequences, GP regression and hyperparameter optimization can be carried out at only $\mathcal{O}(n \log n)$ cost, where $n$ is the number of samples. Building on the adaptive sample allocation used in traditional MLQMC, where the number of samples is doubled on the level with the greatest expected benefit, we introduce a new Bayesian utility function that balances the computational cost of doubling against the anticipated reduction in posterior uncertainty. We also propose a new digitally-shift-invariant (DSI) kernel of adaptive smoothness, which combines multiple higher-order DSI kernels through a weighted sum of smoothness parameters, for use with fast digital net GPs. A series of numerical experiments illustrate the performance of our fast Bayesian MLQMC method and error estimates for both single-level problems and multilevel problems with a fixed number of levels. The Bayesian error estimates obtained using digital nets are found to be reliable, although, in some cases, mildly conservative.