Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
From MaRDI portal
Publication:4611541
DOI10.1137/18M1172259OpenAlexW2962962060MaRDI QIDQ4611541
Tim Dodwell, Gianluca Detommaso, 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
Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Applications of statistics (62Pxx) Probabilistic methods, stochastic differential equations (65Cxx)
Related Items
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, Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities, 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, Recycling Samples in the Multigrid Multilevel (Quasi-)Monte Carlo Method, Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations, Multi-index ensemble Kalman filtering
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Multi-index Monte Carlo: when sparsity meets sampling
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- A generic grid interface for parallel and adaptive scientific computing. I: Abstract framework
- Monte Carlo complexity of global solution of integral equations
- A recursive approach to local mesh refinement in two and three dimensions
- Unbiased Estimation with Square Root Convergence for SDE Models
- Adaptive Multilevel Monte Carlo Simulation
- Multilevel Monte Carlo Methods
- An Adaptive Multilevel Monte Carlo Method with Stochastic Bounds for Quantities of Interest with Uncertain Data
- Multilevel Monte Carlo Path Simulation
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities
- Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
- Unbiased Estimators and Multilevel Monte Carlo
- Stochastic Equations in Infinite Dimensions
- A multilevel approach towards unbiased sampling of random elliptic partial differential equations
- A general method for debiasing a Monte Carlo estimator
- Algorithm 832
- A Multilevel Monte Carlo Method for Computing Failure Probabilities