Multilevel Monte Carlo methods for random nonlinear eigenvalue problems

DOI10.48550/ARXIV.2610.36955MaRDI QIDQ7409151arXivFDO

Authors Jürgen Dölz, Jimena Lozano-Simón

Publication date 27 October 2026

Published in arXiv

Tldr This paper proposes a multilevel Monte Carlo estimator that computes statistical quantities of interest from solutions to parameter-dependent nonlinear eigenvalue problems by introducing new maps that remain well-defined in the presence of crossings and bifurcations, without tracking eigenvalues or eigenvectors across samples or discretization levels. This approach is demonstrated using quasi-Monte Carlo on a random domain Laplace Dirichlet problem.

Full work available at URL https://doi.org/10.48550/ARXIV.2610.36955

arXiv classification

math.NA

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