A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation

DOI10.1016/J.CMA.2012.05.003zbMath1354.65010arXiv1202.0781OpenAlexW1971965579MaRDI QIDQ503308

Sebastien Boyabal

Publication date: 12 January 2017

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.0781

zbMATH Keywords

Monte Carlo methodreduced basis methodvariance reductionuncertainty quantificationBayes MMSE estimationpartial differential equations with stochastic coefficients

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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