Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
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Publication:5237167
DOI10.1137/17M1159208zbMATH Open1428.35570OpenAlexW2946469657MaRDI QIDQ5237167FDOQ5237167
Authors: Benjamin Peherstorfer 
Publication date: 17 October 2019
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1159208
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Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Parametric tolerance and confidence regions (62F25) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) PDEs in connection with statistics (35Q62)
Cites Work
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- Title not available (Why is that?)
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- On control variate estimators
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- Optimal model management for multifidelity Monte Carlo estimation
- Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
Cited In (19)
- On the sample complexity of stabilizing linear dynamical systems from data
- A transport-based multifidelity preconditioner for Markov chain Monte Carlo
- Allocation Strategies for High Fidelity Models in the Multifidelity Regime
- Improved multifidelity Monte Carlo estimators based on normalizing flows and dimensionality reduction techniques
- Data-driven low-fidelity models for multi-fidelity Monte Carlo sampling in plasma micro-turbulence analysis
- Convergence analysis of multifidelity Monte Carlo estimation
- High-dimensional and higher-order multifidelity Monte Carlo estimators
- Tensor-Based Numerical Method for Stochastic Homogenization
- Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- A multifidelity Monte Carlo method for realistic computational budgets
- Budget-limited distribution learning in multifidelity problems
- Optimal model management for multifidelity Monte Carlo estimation
- Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification
- An approximate control variates approach to multifidelity distribution estimation
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- Survey of multifidelity methods in uncertainty propagation, inference, and optimization
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
Uses Software
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