An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
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Publication:3179327
DOI10.1137/15M1016448zbMATH Open1398.35306MaRDI QIDQ3179327FDOQ3179327
Authors: Martin Eigel, C. Merdon, Johannes Neumann 
Publication date: 21 December 2016
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
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uncertainty quantificationadaptive methodsmultilevel Monte Carlopartial differential equations with random coefficients
Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Random linear operators (47B80)
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Cited In (20)
- Quantifying discretization errors for soft tissue simulation in computer assisted surgery: a preliminary study
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
- Goal-oriented adaptive modeling of random heterogeneous media and model-based multilevel Monte Carlo methods
- Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
- An adaptive hp-version stochastic Galerkin method for constrained optimal control problem governed by random reaction diffusion equations
- A fully adaptive multilevel stochastic collocation strategy for solving elliptic PDEs with random data
- Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients
- An adaptive multilevel Monte Carlo algorithm for the stochastic drift-diffusion-Poisson system
- Recycling Samples in the Multigrid Multilevel (Quasi-)Monte Carlo Method
- Variational Monte Carlo -- bridging concepts of machine learning and high-dimensional partial differential equations
- Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation
- Goal-oriented error estimation and adaptivity for elliptic PDEs with parametric or uncertain inputs
- Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities
- Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
- Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations
- Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification
- Adaptive Nonintrusive Reconstruction of Solutions to High-Dimensional Parametric PDEs
- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
- $hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Navier--Stokes Equations
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
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