Extrapolated multilevel computational-work conjecture

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Let \prescriptExtΦℓ\prescript{\mathrm{Ext}}{}{\Phi}^{\ell} and \prescriptExtΨℓ\prescript{\mathrm{Ext}}{}{\Psi}^{\ell} denote the extrapolated fine- and coarse-level quantities at level ℓ\ell. Extrapolated multilevel computational-work conjecture. The computational work required for one realization satisfies

Work⁡[\prescriptExtΦℓ−\prescriptExtΨℓ]=O(2−3ℓ).\operatorname{Work}\left[\prescript{\mathrm{Ext}}{}{\Phi}^{\ell}-\prescript{\mathrm{Ext}}{}{\Psi}^{\ell}\right]=\mathcal{O}(2^{-3\ell}).

The source motivates this by noting that extrapolation improves the time-difference rate while the computational cost per sample remains the same; the stated work law is an assumption rather than an established result.

References

Primary source

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone and Leon Wilkosz, “Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC”, arXiv:2409.09821 (2024).

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