Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients

DOI10.1007/978-3-030-41032-2_53MaRDI QIDQ3297728zbMATH OpenOpenAlexFDO

Authors P. E. Zakharov, Oleg P. Iliev, Jan Mohring, Nikolay Shegunov

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-41032-2_53

zbMATH Keywords

Monte Carlo methodrenormalizationstochastic PDE

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites work

• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Balancing of systematic and stochastic errors in Monte Carlo algorithms for integral equations
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• 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 49187 (Why is no real title available?)
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo Path Simulation
• Optimal multigrid algorithms for calculating thermodynamic limits
• Parallel computation of flow in heterogeneous media modelled by mixed finite elements
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Renormalization based MLMC method for scalar elliptic SPDE
• Scheduling massively parallel multigrid for multilevel Monte Carlo methods
• Uncertainty Quantification for Porous Media Flow Using Multilevel Monte Carlo

Cited in

(5)

• A hybrid parareal Monte Carlo algorithm for parabolic problems
• scientific article; zbMATH DE number 1241813 (Why is no real title available?)
• A Multiscale Multilevel Monte Carlo Method for Multiscale Elliptic PDEs with Random Coefficients
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• A massively parallel implementation of multilevel Monte Carlo for finite element models

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Uses Software

• FFTW

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