$hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Flows

Abstract

We propose a novel hp-Multilevel Monte Carlo method for the quantification of uncertainties in compressible flows using the Discontinuous Galerkin method as deterministic solver. The multilevel approach exploits hierarchies of uniformly refined meshes jointly with an increasing polynomial degree for the ansatz space. It allows for a very large range of resolutions in the physical space and thus an efficient decrease of the statistical error. We prove that the overall complexity of the hp-Multilevel Monte Carlo method to compute the mean field with prescribed accuracy is of quadratic order with respect to the accuracy. We also propose a novel and simple approach to estimate a lower confidence bound for the optimal number of samples per level, which helps to prevent overshooting the optimal number of samples. The method is in particular adapted to the needs of high-performance computing. Our theoretical results are verified by numerical experiments for the two dimensional compressible Navier-Stokes equations. In particular we consider a cavity flow problem from computational acoustics, demonstrating that the method is suitable to handle complex engineering problems.