Mixed precision multilevel Monte Carlo algorithms for reconfigurable computing systems

MaRDI QIDQ2828122zbMATH OpenFDO

Authors Steffen Omland

Publication date 24 October 2016

Published in Mathematik (Search for Journal in Brave)

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Software, source code, etc. for problems pertaining to numerical analysis (65-04) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• Random bit quadrature and approximation of distributions on Hilbert spaces
• Random bit multilevel algorithms for stochastic differential equations
• Exploring emerging manycore architectures for uncertainty quantification through embedded stochastic Galerkin methods
• Rounding error using low precision approximate random variables

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