Multi-index Monte Carlo: when sparsity meets sampling

DOI10.1007/s00211-015-0734-5zbMath1339.65009arXiv1405.3757OpenAlexW1595193945MaRDI QIDQ264116

Raúl Tempone, Abdul-Lateef Haji-Ali, Fabio Nobile

Publication date: 5 April 2016

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3757

zbMATH Keywords

convergencenumerical resultacuuracymulti-index Monte-Carlo methodmultilevel Monte-Carlo method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) PDEs of infinite order (35R50)

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Uses Software

• MUMPS

Cites Work

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