Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
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Cites work
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- Asymptotic normality and efficiency of two Sobol index estimators
- Asymptotic Normality of Simple Linear Rank Statistics Under Alternatives
- Asymptotic Statistics
- Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
- Efficient low-rank approximation of the stochastic Galerkin matrix in tensor formats
- Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method
- Estimation of the derivative-based global sensitivity measures using a Gaussian process metamodel
- Extending the multi-level method for the simulation of stochastic biological systems
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- scientific article; zbMATH DE number 1215244 (Why is no real title available?)
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- Monte Carlo complexity of global solution of integral equations
- Monte Carlo complexity of parametric integration
- Multi-index Monte Carlo: when sparsity meets sampling
- Multilevel ensemble Kalman filtering
- Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
- Multilevel Monte Carlo Metamodeling
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo methods for applications in finance
- Multilevel Monte Carlo Path Simulation
- Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
- Multilevel quasi-Monte Carlo path simulation
- Multilevel sequential Monte Carlo for Bayesian inverse problems
- New sensitivity analysis subordinated to a contrast
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- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
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Cited in
(9)- Decision-theoretic sensitivity analysis for reservoir development under uncertainty using multilevel quasi-Monte Carlo methods
- Iterative estimation of Sobol' indices based on replicated designs
- A multi-fidelity ensemble Kalman filter with hyperreduced reduced-order models
- Global sensitivity analysis for multivariate outputs using polynomial chaos-based surrogate models
- Covariance expressions for multifidelity sampling with multioutput, multistatistic estimators: application to approximate control variates
- Multilevel Monte Carlo metamodeling for variance function estimation
- Multi-level data assimilation for ocean forecasting using the shallow-water equations
- Multifidelity covariance estimation via regression on the manifold of symmetric positive definite matrices
- Data sparse multilevel covariance estimation in optimal complexity
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