Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients

From MaRDI portal

Publication:380318

Jump to:navigation, search

DOI10.1007/s00211-013-0546-4zbMath1306.65009arXiv1204.3476OpenAlexW2079884585MaRDI QIDQ380318

Michael B. Giles, Robert Scheichl, A. L. Teckentrup, Elisabeth Ullmann

Publication date: 13 November 2013

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

Full work available at URL: https://arxiv.org/abs/1204.3476

zbMATH Keywords

convergence finite element error analysis numerical result multilevel Monte Carlo methods Karhunen-Loève expansion elliptic partial differential equations with random coefficients

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Multi-index Monte Carlo: when sparsity meets sampling, Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation, Space-time multilevel Monte Carlo methods and their application to cardiac electrophysiology, Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients, Near-optimal approximation methods for elliptic PDEs with lognormal coefficients, Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients, A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model, An offline/online algorithm for a class of stochastic multiple obstacle scattering configurations in the half-plane, A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations, Multilevel Estimation of Rare Events, A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data, A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow, Polynomial Chaos Expansion of Random Coefficients and the Solution of Stochastic Partial Differential Equations in the Tensor Train Format, An Adaptive Multilevel Monte Carlo Method with Stochastic Bounds for Quantities of Interest with Uncertain Data, An offline-online strategy for multiscale problems with random defects, Multilevel Monte Carlo Approaches for Numerical Homogenization, Convergence analysis of multifidelity Monte Carlo estimation, Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities, The multi-level Monte Carlo finite element method for a stochastic Brinkman problem, Weak truncation error estimates for elliptic PDEs with lognormal coefficients, Volatility uncertainty quantification in a stochastic control problem applied to energy, Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization, A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems, Quantifying uncertainties in contact mechanics of rough surfaces using the Multilevel Monte Carlo method, Multi-fidelity stochastic collocation method for computation of statistical moments, A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow, Multifidelity approaches for optimization under uncertainty, Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data, Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates, Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo, Subordinated Gaussian random fields in elliptic partial differential equations, Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation, Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification, Multilevel Delayed Acceptance MCMC, On properties and applications of Gaussian subordinated Lévy fields, Monte Carlo convergence rates for \(k\)th moments in Banach spaces, Multilevel dimension-independent likelihood-informed MCMC for large-scale inverse problems, Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization, A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients, A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients, Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs, Multilevel Monte Carlo Approximation of Functions, Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes, A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients, Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies, Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods, QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights, The parallel finite element system M++ with integrated multilevel preconditioning and multilevel Monte Carlo methods, A Multilevel Monte Carlo Estimator for Matrix Multiplication, Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence, Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients, Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients, Uncertainty quantification of microstructure variability and mechanical behavior of additively manufactured lattice structures, Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation, Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods, Optimization of mesh hierarchies in multilevel Monte Carlo samplers, Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo, Analysis and Application of Single Level, Multi-Level Monte Carlo and Quasi-Monte Carlo Finite Element Methods for Time-Dependent Maxwell's Equations with Random Inputs, Direct tensor-product solution of one-dimensional elliptic equations with parameter-dependent coefficients, An Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential Equations, A Multilevel Monte Carlo Method for Computing Failure Probabilities, Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient, Central limit theorems for multilevel Monte Carlo methods, Strong convergence analysis of iterative solvers for random operator equations, Toeplitz Monte Carlo, A multilevel approach towards unbiased sampling of random elliptic partial differential equations, A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients, Multilevel Quadrature for Elliptic Parametric Partial Differential Equations in Case of Polygonal Approximations of Curved Domains, Approximation and sampling of multivariate probability distributions in the tensor train decomposition, Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations, The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system, A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics, Optimal Model Management for Multifidelity Monte Carlo Estimation, Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method, A multigrid multilevel Monte Carlo method for Stokes-Darcy model with random hydraulic conductivity and Beavers-Joseph condition, Multilevel Markov Chain Monte Carlo, Multilevel Designed Quadrature for Partial Differential Equations with Random Inputs, Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems, Multilevel Markov Chain Monte Carlo for Bayesian Inversion of Parabolic Partial Differential Equations under Gaussian Prior, Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo, Error Analysis for Probabilities of Rare Events with Approximate Models, Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling, A High Performance Computing and Sensitivity Analysis Algorithm for Stochastic Many-Particle Wave Scattering, Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient, A continuation multilevel Monte Carlo algorithm, Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients, Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients, Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems, Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:380318&oldid=12252826"