Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
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Cites work
- A general method for debiasing a Monte Carlo estimator
- A generic grid interface for parallel and adaptive scientific computing. I: Abstract framework
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- A multilevel approach towards unbiased sampling of random elliptic partial differential equations
- A multilevel Monte Carlo method for computing failure probabilities
- A recursive approach to local mesh refinement in two and three dimensions
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- Adaptive multilevel Monte Carlo simulation
- Algorithm 832
- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- scientific article; zbMATH DE number 5773710 (Why is no real title available?)
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- Monte Carlo complexity of global solution of integral equations
- Multi-index Monte Carlo: when sparsity meets sampling
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Stochastic Equations in Infinite Dimensions
- Unbiased estimation with square root convergence for SDE models
- Unbiased estimators and multilevel Monte Carlo
Cited in
(14)- Multi-index ensemble Kalman filtering
- Estimation of distributions via multilevel Monte Carlo with stratified sampling
- A fully adaptive multilevel stochastic collocation strategy for solving elliptic PDEs with random data
- Multilevel higher-order quasi-Monte Carlo Bayesian estimation
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- $hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Navier--Stokes Equations
- Recycling samples in the multigrid multilevel (quasi-)Monte Carlo method
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- Adaptive multilevel subset simulation with selective refinement
- Complexity analysis of quasi continuous level Monte Carlo
- Quasi continuous level Monte Carlo for random elliptic PDEs
- Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations
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