A fault tolerant implementation of Multi-Level Monte Carlo methods

The theory behind fault tolerant multi-level Monte Carlo (FT-MLMC) methods was recently developed and tested. These tests were made without a real fault tolerant implementation. We implemented a MPI-parallelized fault tolerant MLMC version of an existing parallel MLMC code (ALSVID-UQ). It is based on the User Level Failure Mitigation, a fault tolerant extension of MPI. We confirm our FT-MLMC theory by means of simulations of the two-dimensional stochastic Euler equations of gas dynamics.