Multilevel multifidelity Monte Carlo methods for assessing coastal flood risk

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Mariana C A Clare , Tim Leijnse, Robert McCall, Ferdinand Diermanse, Colin J Cotter, Matthew D Piggott


When choosing an appropriate hydrodynamic model, there is always a compromise between accuracy and computational cost, with high fidelity models being more expensive than low fidelity ones. However, when assessing uncertainty, we can use a multifidelity approach to take advantage of the accuracy of high fidelity models and the computational efficiency of low fidelity models. Here, we apply the multilevel multifidelity Monte Carlo method (MLMF) to quantify uncertainty by computing statistical estimators of key output variables with respect to uncertain inputs, using the high fidelity hydrodynamic model XBeach and the lower fidelity coastal flooding model SFINCS. The multilevel aspect opens up the further advantageous possibility of applying each of these models at multiple resolutions. This work represents the first application of MLMF in the coastal zone and one of its first applications in any field. For both idealised and real-world test cases, MLMF can significantly reduce computational cost for the same accuracy compared to both the standard Monte Carlo method and to a multilevel approach utilising only a single model (the multilevel Monte Carlo method). In particular, here we demonstrate using the case of Myrtle Beach, USA, that this improvement in computational efficiency allows in-depth uncertainty analysis to be conducted in the case of real-world coastal environments -- a task that would previously have been practically unfeasible. Moreover, for the first time, we show how an inverse transform sampling technique can be used to accurately estimate the cumulative distribution function (CDF) of variables from the MLMF outputs. MLMF based estimates of the expectations and the CDFs of the variables of interest are of significant value to decision makers when assessing risk.



Applied Mathematics, Earth Sciences, Hydrology, Risk Analysis, Statistical Methodology, Statistics and Probability


multifidelity models, multilevel multifidelity monte carlo, uncertainty analysis, coastal flooding, hazard assessment


Published: 2022-03-14 06:45

Last Updated: 2022-03-14 13:45


CC BY Attribution 4.0 International