Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
DOI10.1137/18M1172259OpenAlexW2962962060MaRDI QIDQ4611541FDOQ4611541
Authors: Gianluca Detommaso, Tim Dodwell, Robert Scheichl 
Publication date: 21 January 2019
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.07539
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Applications of statistics (62Pxx) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Probabilistic methods, stochastic differential equations (65Cxx)
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- Multi-index Monte Carlo: when sparsity meets sampling
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- A recursive approach to local mesh refinement in two and three dimensions
- Unbiased estimators and multilevel Monte Carlo
- Unbiased estimation with square root convergence for SDE models
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- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- A multilevel Monte Carlo method for computing failure probabilities
- A multilevel approach towards unbiased sampling of random elliptic partial differential equations
Cited In (12)
- Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- 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
- Multi-index ensemble Kalman filtering
- Adaptive multilevel subset simulation with selective refinement
- Multilevel higher-order quasi-Monte Carlo Bayesian estimation
- Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations
- Recycling samples in the multigrid multilevel (quasi-)Monte Carlo method
- Complexity analysis of quasi continuous level Monte Carlo
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- $hp$-Multilevel Monte Carlo Methods for Uncertainty Quantification of Compressible Navier--Stokes Equations
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