TH Informal Lattice Meeting

Multilevel Monte Carlo for trace estimation

by Andreas Frommer

Europe/Zurich
online (CERN)

online

CERN

Description

The idea of multilevel Monte-Carlo is to represent a to-be-estimated random variable by a sum of new random variables, where for each summand the variance is low when it is expensive to evaluate and (possibly) high when it is cheap to evaluate.

We apply this idea to the estimation of the trace of the inverse, taking each summand as a difference of two successive multigrid approximations of the inverse. We also discuss how other approaches for the trace of the inverse fit into the multilevel Monte Carlo approach.

We present some numerical examples for the Schwinger model and preliminary results for the Wilson-Dirac matrix in lattice QCD.

Videoconference
Lattice seminars
Zoom Meeting ID
68098777127
Host
Elena Gianolio
Alternative hosts
Ciaran Hughes, Andreas Juttner, Tobias Tsang, Mattia Dallabrida
Passcode
11900596
Useful links
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Zoom URL