Continuation Multi-level Monte Carlo

In this chapter, we describe the Continuation Multi-Level Monte Carlo (C-MLMC) algorithm proposed in Collier et al. [1] and apply it to efficiently propagate operating and geometric uncertainties in internal and external aerodynamic simulations. The key idea of MLMC, presented in the previous chapter, is that one can draw MC samples simultaneously and independently on several approximations of the problem under investigation on a hierarchy of nested computational grids (levels). In the continuation algorithm (C-MLMC) the parameters that prescribe the number of levels and simulations per level are computed on the fly to further reduce the overall computational cost.