Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method

DOI10.1007/s40072-015-0063-9zbMath1375.65011OpenAlexW2282220917MaRDI QIDQ507012

Claudio Bierig, Alexey Chernov

Publication date: 3 February 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-015-0063-9

zbMATH Keywords

convergencestochastic partial differential equationsvariancenumerical experimentcovarianceuncertainty quantificationrough surfacevariation inequalitiescentral statistical moments of arbitrary ordermultilevel Monte Carlo algorithmsrandom obstacle

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Variational inequalities (49J40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Analysis of variance and covariance (ANOVA) (62J10) Numerical methods for variational inequalities and related problems (65K15)

Related Items

Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method, Convergence analysis of multifidelity Monte Carlo estimation, Quantifying uncertainties in contact mechanics of rough surfaces using the Multilevel Monte Carlo method, A Simple, Bias-free Approximation of Covariance Functions by the Multilevel Monte Carlo Method Having Nearly Optimal Complexity, Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation, Monte Carlo convergence rates for \(k\)th moments in Banach spaces, Multilevel Monte Carlo Approximation of Functions, Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices, Physics Information Aided Kriging using Stochastic Simulation Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Rate of convergence for some constraint decomposition methods for nonlinear variational inequalities
• Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
• On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations
• A polynomial chaos approach to stochastic variational inequalities
• Multilevel Monte Carlo Path Simulation
• Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
• Multilevel Monte Carlo Finite Element Methods for Stochastic Elliptic Variational Inequalities