Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification

DOI10.1137/18M1193700MaRDI QIDQ5232305zbMATH OpenOpenAlexFDO

Authors Josef Dick, M. Feischl, Christoph Schwab

Publication date 2 September 2019

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.04159

zbMATH Keywords

finite element methodMonte Carlomulti-indexuncertainty quantification

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

• A dimension-adaptive multi-index Monte Carlo method applied to a model of a heat exchanger
• An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
• Analysis of multi-index Monte Carlo estimators for a Zakai SPDE
• Analytic regularity and polynomial approximation of parametric and stochastic elliptic PDE's
• Differential operators on domains with conical points: precise uniform regularity estimates
• Discontinuous Galerkin methods for acoustic wave propagation in polygons
• Efficient approximation of random fields for numerical applications.
• Graded mesh approximation in weighted Sobolev spaces and elliptic equations in 2D
• Higher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputs
• Improving the rate of convergence of `high order finite elements' on polygons and domains with cusps
• Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
• Multi-index Monte Carlo: when sparsity meets sampling
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation
• Multilevel higher order QMC Petrov-Galerkin discretization for affine parametric operator equations
• Multilevel higher-order quasi-Monte Carlo Bayesian estimation
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo Path Simulation
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• Quasi--Monte Carlo Integration for Affine-Parametric, Elliptic PDEs: Local Supports and Product Weights
• Quasi-Monte Carlo and multilevel Monte Carlo methods for computing posterior expectations in elliptic inverse problems
• Sparse grids
• Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
• Theory of adaptive finite element methods: An introduction

Cited in

(5)

• Convergence of adaptive stochastic collocation with finite elements
• Multilevel Markov chain Monte Carlo for Bayesian inverse problem for Navier-Stokes equation
• Sparse Compression of Expected Solution Operators
• A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
• Bayesian inversion of log-normal eikonal equations

This page was built for publication: Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5232305)