A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems

DOI10.1016/j.jcp.2017.03.060zbMath1378.65021arXiv1611.02213OpenAlexW2554404170MaRDI QIDQ1686578

Hillary R. Fairbanks, Gianluca Iaccarino, Alireza Doostan, Christian Ketelsen

Publication date: 15 December 2017

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.02213

zbMATH Keywords

stochastic PDEslow-rank approximationuncertainty quantificationmultilevel Monte Carlocontrol variatemultifidelityinterpolative decomposition

Mathematics Subject Classification ID

Monte Carlo methods (65C05) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (14)

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Uses Software

• FEniCS

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