Multilevel Monte Carlo methods using ensemble level mixed MsFEM for two-phase flow and transport simulations

Handle URI:
http://hdl.handle.net/10754/562914
Title:
Multilevel Monte Carlo methods using ensemble level mixed MsFEM for two-phase flow and transport simulations
Authors:
Efendiev, Yalchin R. ( 0000-0001-9626-303X ) ; Iliev, Oleg ( 0000-0002-9691-4100 ) ; Kronsbein, C.
Abstract:
In this paper, we propose multilevel Monte Carlo (MLMC) methods that use ensemble level mixed multiscale methods in the simulations of multiphase flow and transport. The contribution of this paper is twofold: (1) a design of ensemble level mixed multiscale finite element methods and (2) a novel use of mixed multiscale finite element methods within multilevel Monte Carlo techniques to speed up the computations. The main idea of ensemble level multiscale methods is to construct local multiscale basis functions that can be used for any member of the ensemble. In this paper, we consider two ensemble level mixed multiscale finite element methods: (1) the no-local-solve-online ensemble level method (NLSO); and (2) the local-solve-online ensemble level method (LSO). The first approach was proposed in Aarnes and Efendiev (SIAM J. Sci. Comput. 30(5):2319-2339, 2008) while the second approach is new. Both mixed multiscale methods use a number of snapshots of the permeability media in generating multiscale basis functions. As a result, in the off-line stage, we construct multiple basis functions for each coarse region where basis functions correspond to different realizations. In the no-local-solve-online ensemble level method, one uses the whole set of precomputed basis functions to approximate the solution for an arbitrary realization. In the local-solve-online ensemble level method, one uses the precomputed functions to construct a multiscale basis for a particular realization. With this basis, the solution corresponding to this particular realization is approximated in LSO mixed multiscale finite element method (MsFEM). In both approaches, the accuracy of the method is related to the number of snapshots computed based on different realizations that one uses to precompute a multiscale basis. In this paper, ensemble level multiscale methods are used in multilevel Monte Carlo methods (Giles 2008a, Oper.Res. 56(3):607-617, b). In multilevel Monte Carlo methods, more accurate (and expensive) forward simulations are run with fewer samples, while less accurate (and inexpensive) forward simulations are run with a larger number of samples. Selecting the number of expensive and inexpensive simulations based on the number of coarse degrees of freedom, one can show that MLMC methods can provide better accuracy at the same cost as Monte Carlo (MC) methods. The main objective of the paper is twofold. First, we would like to compare NLSO and LSO mixed MsFEMs. Further, we use both approaches in the context of MLMC to speedup MC calculations. © 2013 Springer Science+Business Media Dordrecht.
KAUST Department:
Numerical Porous Media SRI Center (NumPor); Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Publisher:
Springer Nature
Journal:
Computational Geosciences
Issue Date:
21-Aug-2013
DOI:
10.1007/s10596-013-9358-y
Type:
Article
ISSN:
14200597
Sponsors:
The research of O. Iliev and C. Kronsbein was supported by the DFG Project IL 55/1 - 2: "Multiscale analysis of two-phase flow in porous media with complex heterogeneities." The implementation of the mixed MsFEM is based on the code of Aarnes. For further details, we refer to [4, 18].
Appears in Collections:
Articles; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

Full metadata record

DC FieldValue Language
dc.contributor.authorEfendiev, Yalchin R.en
dc.contributor.authorIliev, Olegen
dc.contributor.authorKronsbein, C.en
dc.date.accessioned2015-08-03T11:15:16Zen
dc.date.available2015-08-03T11:15:16Zen
dc.date.issued2013-08-21en
dc.identifier.issn14200597en
dc.identifier.doi10.1007/s10596-013-9358-yen
dc.identifier.urihttp://hdl.handle.net/10754/562914en
dc.description.abstractIn this paper, we propose multilevel Monte Carlo (MLMC) methods that use ensemble level mixed multiscale methods in the simulations of multiphase flow and transport. The contribution of this paper is twofold: (1) a design of ensemble level mixed multiscale finite element methods and (2) a novel use of mixed multiscale finite element methods within multilevel Monte Carlo techniques to speed up the computations. The main idea of ensemble level multiscale methods is to construct local multiscale basis functions that can be used for any member of the ensemble. In this paper, we consider two ensemble level mixed multiscale finite element methods: (1) the no-local-solve-online ensemble level method (NLSO); and (2) the local-solve-online ensemble level method (LSO). The first approach was proposed in Aarnes and Efendiev (SIAM J. Sci. Comput. 30(5):2319-2339, 2008) while the second approach is new. Both mixed multiscale methods use a number of snapshots of the permeability media in generating multiscale basis functions. As a result, in the off-line stage, we construct multiple basis functions for each coarse region where basis functions correspond to different realizations. In the no-local-solve-online ensemble level method, one uses the whole set of precomputed basis functions to approximate the solution for an arbitrary realization. In the local-solve-online ensemble level method, one uses the precomputed functions to construct a multiscale basis for a particular realization. With this basis, the solution corresponding to this particular realization is approximated in LSO mixed multiscale finite element method (MsFEM). In both approaches, the accuracy of the method is related to the number of snapshots computed based on different realizations that one uses to precompute a multiscale basis. In this paper, ensemble level multiscale methods are used in multilevel Monte Carlo methods (Giles 2008a, Oper.Res. 56(3):607-617, b). In multilevel Monte Carlo methods, more accurate (and expensive) forward simulations are run with fewer samples, while less accurate (and inexpensive) forward simulations are run with a larger number of samples. Selecting the number of expensive and inexpensive simulations based on the number of coarse degrees of freedom, one can show that MLMC methods can provide better accuracy at the same cost as Monte Carlo (MC) methods. The main objective of the paper is twofold. First, we would like to compare NLSO and LSO mixed MsFEMs. Further, we use both approaches in the context of MLMC to speedup MC calculations. © 2013 Springer Science+Business Media Dordrecht.en
dc.description.sponsorshipThe research of O. Iliev and C. Kronsbein was supported by the DFG Project IL 55/1 - 2: "Multiscale analysis of two-phase flow in porous media with complex heterogeneities." The implementation of the mixed MsFEM is based on the code of Aarnes. For further details, we refer to [4, 18].en
dc.publisherSpringer Natureen
dc.subjectMultilevel Monte Carloen
dc.subjectMultiscale methodsen
dc.subjectPorous mediaen
dc.subjectStochastic partial differential equationsen
dc.subjectTwo-phase flowen
dc.titleMultilevel Monte Carlo methods using ensemble level mixed MsFEM for two-phase flow and transport simulationsen
dc.typeArticleen
dc.contributor.departmentNumerical Porous Media SRI Center (NumPor)en
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Divisionen
dc.identifier.journalComputational Geosciencesen
dc.contributor.institutionDepartment of Mathematics, Texas AandM University, College Station, TX, 77843-3368, United Statesen
dc.contributor.institutionFraunhofer ITWM and University of Kaiserslautern, 67663 Kaiserslautern, Germanyen
kaust.authorEfendiev, Yalchin R.en
kaust.authorIliev, Olegen
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