Estimation of distributions via multilevel Monte Carlo with stratified sampling

DOI10.1016/j.jcp.2020.109572OpenAlexW3041177379MaRDI QIDQ2125415

Søren Taverniers, Daniel M. Tartakovsky

Publication date: 14 April 2022

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

Full work available at URL: https://arxiv.org/abs/1906.00126

zbMATH Keywords

stratified samplingkernel density estimationmultilevel Monte Carlocumulative distribution function

Mathematics Subject Classification ID

Statistics (62-XX) Numerical analysis (65-XX)

Related Items (6)

GINNs: graph-informed neural networks for multiscale physics ⋮ Data-driven discovery of coarse-grained equations ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Resource-Constrained Model Selection for Uncertainty Propagation and Data Assimilation ⋮ Quantify uncertainty by estimating the probability density function of the output of interest using MLMC based Bayes method ⋮ Multi-index ensemble Kalman filtering

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