A massively parallel implementation of multilevel Monte Carlo for finite element models

DOI10.1016/J.MATCOM.2023.05.018arXiv2111.11788OpenAlexW3217698773MaRDI QIDQ6094001

Javier Principe, Jerrad Hampton, Santiago Badia

Publication date: 12 September 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.11788

zbMATH Keywords

stochastic partial differential equationsparallel programminguncertainty quantificationmultilevel Monte Carlocomputational statisticsgeometric uncertainty

Mathematics Subject Classification ID

Numerical analysis (65-XX) Computer science (68-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Analysis of the domain mapping method for elliptic diffusion problems on random domains
• Compressive sampling of polynomial chaos expansions: convergence analysis and sampling strategies
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions
• Sparse Legendre expansions via \(\ell_1\)-minimization
• Implementation and scalability analysis of balancing domain decomposition methods
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• \texttt{FEMPAR}: an object-oriented parallel finite element framework
• Sparse second moment analysis for elliptic problems in stochastic domains
• \textit{BoomerAMG}: A parallel algebraic multigrid solver and preconditioner
• Numerical solution of the homogeneous Neumann boundary value problem on domains with a thin layer of random thickness
• Modeling uncertainty in flow simulations via generalized polynomial chaos.
• The aggregated unfitted finite element method for elliptic problems
• Sparse polynomial chaos expansions via compressed sensing and D-optimal design
• Distributed-memory parallelization of the aggregated unfitted finite element method
• The parallel finite element system M++ with integrated multilevel preconditioning and multilevel Monte Carlo methods
• A parallel dynamic asynchronous framework for uncertainty quantification by hierarchical Monte Carlo algorithms
• A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics
• A continuation multilevel Monte Carlo algorithm
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• A tutorial-driven introduction to the parallel finite element library \texttt{FEMPAR} V1.0.0
• Numerical Solution of the Poisson Equation on Domains with a Thin Layer of Random Thickness
• BREAKING THE COHERENCE BARRIER: A NEW THEORY FOR COMPRESSED SENSING
• Stochastic projection schemes for deterministic linear elliptic partial differential equations on random domains
• Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients
• Multilevel Monte Carlo Path Simulation
• Numerical Methods for Differential Equations in Random Domains
• Multilevel Balancing Domain Decomposition at Extreme Scales
• Spectral Methods for Uncertainty Quantification
• Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization
• Efficient Distribution Estimation and Uncertainty Quantification for Elliptic Problems on Domains with Stochastic Boundaries
• Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
• Multilevel Monte Carlo Finite Volume Methods for Shallow Water Equations with Uncertain Topography in Multi-dimensions
• Sparse quadrature for high-dimensional integration with Gaussian measure
• Sparse Polynomial Chaos Expansions: Literature Survey and Benchmark
• EMBEDDED MULTILEVEL MONTE CARLO FOR UNCERTAINTY QUANTIFICATION IN RANDOM DOMAINS
• Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods
• First order second moment analysis for stochastic interface problems based on low-rank approximation
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Bounds for Certain Multiprocessing Anomalies
• Bounds on Multiprocessing Timing Anomalies
• A Multilevel Monte Carlo Method for Computing Failure Probabilities
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

This page was built for publication: A massively parallel implementation of multilevel Monte Carlo for finite element models