Next session – 27/03 – Multilevel Monte-Carlo

Next session: Wednesday 27th March, with an exciting paper on a topic new to us!

Paper: “Multilevel Monte Carlo methods”, M. B. Giles, Acta Numerica, 2015, vol. 24, pp. 259-328

Monte Carlo (MC) methods are a very general and useful approach for the estimation of expectations arising from stochastic simulation. However, they can be computationally **very** expensive. Multilevel Monte Carlo is a recently developed approach which greatly reduces the computational cost by performing most simulations with low accuracy at a correspondingly low cost, with relatively few simulations being performed at high accuracy and a high cost. This article reviews the ideas behind multilevel MC, and various cool applications.

Very relevant for infectious disease modeling!

Presenter: Juliette Unwin

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