Determining optimal multilevel Monte Carlo parameters with application to fault tolerance

DOI10.1016/j.camwa.2015.07.011zbMath1443.65007OpenAlexW1500763522MaRDI QIDQ2006545

Peter Arbenz, Stefan Pauli

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.07.011

zbMATH Keywords

multilevel Monte Carlofailure resiliencesample numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Reliability, testing and fault tolerance of networks and computer systems (68M15)

Related Items (3)

Convergence analysis of multifidelity Monte Carlo estimation ⋮ A multifidelity Monte Carlo method for realistic computational budgets ⋮ Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium

Cites Work

• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation
• A continuation multilevel Monte Carlo algorithm
• Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
• Multilevel Monte Carlo Methods
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo Finite Volume Methods for Shallow Water Equations with Uncertain Topography in Multi-dimensions
• Algorithms and Data Structures

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