A Continuation Multi Level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics

In this work we apply the Continuation Multi-Level Monte Carlo (C-MLMC) algorithm proposed in Collier et al. (2014) to efficiently propagate operating and geometric uncertainties in inviscid compressible aerodynamics numerical simulations. The key idea of MLMC is that one can draw MC samples simultaneously and independently on several approximations of the problem under investigations on a hierarchy of nested computational grids (levels). The expectation of an output quantity is computed as a sample average using the coarsest solutions and corrected by averages of the differences of the solutions of two consecutive grids in the hierarchy. By this way, most of the computational effort is transported from the finest level (as in a standard Monte Carlo approach) to the coarsest one. The continuation algorithm (C-MLMC) is a robust and self-tuning version that estimates on the fly the optimal number of level and realizations per level. In this work we describe in detail how C-MLMC can be adapted to perform uncertainty quantification analysis in compressible aerodynamics and we apply it to the relevant test cases of a quasi 1D convergent-divergent Laval nozzle and the 2D transonic RAE-2822 airfoil.