Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

DOI10.1090/mcom/3207zbMath1368.65005arXiv1507.01090OpenAlexW2964218952MaRDI QIDQ5270835

Christoph Schwab, Frances Y. Kuo, Elisabeth Ullmann, Robert Scheichl, Ian H. Sloan

Publication date: 3 July 2017

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.01090

zbMATH Keywords

convergencenumerical experimentserror analysisvariance reductionGaussian random fieldlognormal diffusion problemsmultilevel estimatormultilevel quasi-Monte Carlo finite element discretisations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Diffusion processes (60J60)

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Uses Software

• UMFPACK
• FreeFem++

Cites Work

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