Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies

DOI10.1137/18M1172259MaRDI QIDQ4611541zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

unbiased estimatormultilevel Monte Carloadaptivitycomplexity theoremCLMCheterogeneous elliptic PDEs

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Probabilistic methods, stochastic differential equations (65Cxx)

Recommendations

• Complexity analysis of quasi continuous level Monte Carlo
• A continuation multilevel Monte Carlo algorithm
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Cites work

• scientific article; zbMATH DE number 5773710 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
• A general method for debiasing a Monte Carlo estimator
• A generic grid interface for parallel and adaptive scientific computing. I: Abstract framework
• A multilevel Monte Carlo method for computing failure probabilities
• A multilevel approach towards unbiased sampling of random elliptic partial differential equations
• A recursive approach to local mesh refinement in two and three dimensions
• Adaptive multilevel Monte Carlo methods for stochastic variational inequalities
• Adaptive multilevel Monte Carlo simulation
• Algorithm 832
• An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
• Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Monte Carlo complexity of global solution of integral equations
• Multi-index Monte Carlo: when sparsity meets sampling
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Stochastic Equations in Infinite Dimensions
• Unbiased estimation with square root convergence for SDE models
• Unbiased estimators and multilevel Monte Carlo

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
• Multilevel higher-order quasi-Monte Carlo Bayesian estimation
• Adaptive multilevel subset simulation with selective refinement
• 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

Describes a project that uses

Uses Software

• PDELab
• DUNE
• UMFPACK

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