Multilevel Markov chain Monte Carlo

T. J. Dodwell, C. Ketelsen, R. Scheichl, A. L. Teckentrup

Research output: Contribution to journalArticlepeer-review


In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large-scale applications with high-dimensional parameter spaces, e.g., in uncertainty quantification in porous media flow. We propose a new multilevel Metropolis-Hastings algorithm and give an abstract, problem-dependent theorem on the cost of the new multilevel estimator based on a set of simple, verifiable assumptions. For a typical model problem in subsurface flow, we then provide a detailed analysis of these assumptions and show significant gains over the standard Metropolis-Hastings estimator. Numerical experiments confirm the analysis and demonstrate the effectiveness of the method with consistent reductions of more than an order of magnitude in the cost of the multilevel estimator over the standard Metropolis-Hastings algorithm for tolerances ε < 10 - 2.

Original languageEnglish
Pages (from-to)509-545
Number of pages37
JournalSiam review
Issue number3
Early online date7 Aug 2019
Publication statusE-pub ahead of print - 7 Aug 2019


  • Bayesian approach
  • Elliptic PDEs with random coefficients
  • Finite element analysis
  • Log-normal coefficients
  • Metropolis-Hastings algorithm
  • Multilevel Monte Carlo


Dive into the research topics of 'Multilevel Markov chain Monte Carlo'. Together they form a unique fingerprint.

Cite this