Multilevel quasi-Monte Carlo for optimization under uncertainty (Q6135914)

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Multilevel quasi-Monte Carlo for optimization under uncertainty

scientific article; zbMATH DE number 7732062

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English	Multilevel quasi-Monte Carlo for optimization under uncertainty	scientific article; zbMATH DE number 7732062

Statements

instance of

scholarly article

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title

Multilevel quasi-Monte Carlo for optimization under uncertainty (English)

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Numerische Mathematik

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publication date

28 August 2023

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full work available at URL

https://arxiv.org/abs/2109.14367

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zbMATH Keywords

Multilevel quasi-Monte Carlo

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optimization under uncertainty

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elliptic partial differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Q3935962

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Computational optimization of systems governed by partial differential equations

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Multigrid Methods and Sparse-Grid Collocation Techniques for Parabolic Optimal Control Problems with Random Coefficients

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A POD framework to determine robust controls in PDE optimization

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An Algorithm for Simulating Stationary Gaussian Random Fields

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Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods

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Weighted reduced basis method for stochastic optimal control problems with elliptic PDE constraint

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Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

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Convergence rates of best \(N\)-term Galerkin approximations for a class of elliptic SPDEs

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Higher order quasi-Monte Carlo integration for holomorphic, parametric operator equations

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Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix

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Q3997987

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Elliptic partial differential equations of second order

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Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients

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Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications

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Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields

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Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients

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A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty

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Multilevel accelerated quadrature for PDEs with log-normally distributed diffusion coefficient

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QMC algorithms with product weights for lognormal-parametric, elliptic PDEs

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Q5786196

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A Multilevel Stochastic Collocation Algorithm for Optimization of PDEs with Uncertain Coefficients

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Existence and optimality conditions for risk-averse PDE-constrained optimization

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Analytic regularity and GPC approximation for control problems constrained by linear parametric elliptic and parabolic PDEs

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Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation

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Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

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Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients

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Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands

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Q5844366

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Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters

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Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights

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Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method

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Identifiers

zbMATH Open document ID

1521.65007

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Mathematics Subject Classification ID

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10.1007/S00211-023-01364-W

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Sitelinks

Mathematics(1 entry)

mardi Multilevel quasi-Monte Carlo for optimization under uncertainty