Multilevel Monte Carlo applied for uncertainty quantification in stochastic multiscale systems

Abstract

Abstract The aim of this study is to evaluate the performance of multilevel Monte Carlo (MLMC) sampling technique for uncertainty quantification in stochastic multiscale systems. Two systems, a chemical vapor deposition chamber and a catalytic flow reactor, subject to multiple parameter uncertainty, were considered. The distributions of the systems' observables were estimated using standard MC sampling and polynomial chaos expansions (PCE), where the coefficients were calculated by nonintrusive spectral projection. The MLMC technique was used to efficiently sample the two systems and accurately estimate the data necessary for constructing the PCE expressions. The results show that the usage of MLMC improved the precision of identification of PCE versus the traditional heuristic approach and lowered the computational cost of uncertainty quantification compared to standard MC.