Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
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PDEs in connection with statistics (35Q62) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods for problems pertaining to statistics (62-08) Parametric tolerance and confidence regions (62F25) Monte Carlo methods (65C05)
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- A framework for adaptive Monte Carlo procedures
- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Convergence analysis of multifidelity Monte Carlo estimation
- Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
Cites work
- $\mathcal{H}_2$ Model Reduction for Large-Scale Linear Dynamical Systems
- A continuation multilevel Monte Carlo algorithm
- A Knowledge-Gradient Policy for Sequential Information Collection
- A multilevel approach to control variates
- A stochastic collocation algorithm with multifidelity models
- A survey of projection-based model reduction methods for parametric dynamical systems
- A taxonomy of global optimization methods based on response surfaces
- A weighted reduced basis method for elliptic partial differential equations with random input data
- Adaptive multilevel Monte Carlo simulation
- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
- An optimal solver for linear systems arising from stochastic FEM approximation of diffusion equations with random coefficients
- Analysis and finite element approximation of a coupled, continuum pipe-flow/Darcy model for flow in porous media with embedded conduits
- Approximation theory and approximation practice
- Computational aspects of stochastic collocation with multifidelity models
- Control functionals for Monte Carlo integration
- Convergence analysis of multifidelity Monte Carlo estimation
- Descartes' Rule of Signs Revisited
- Efficient global optimization of expensive black-box functions
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Gaussian processes for machine learning.
- scientific article; zbMATH DE number 3487202 (Why is no real title available?)
- Model Reduction for Large-Scale Systems with High-Dimensional Parametric Input Space
- Multi-fidelity stochastic collocation method for computation of statistical moments
- Multifidelity approaches for optimization under uncertainty
- Multilevel and weighted reduced basis method for stochastic optimal control problems constrained by Stokes equations
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- On control variate estimators
- One-dimensional global optimization for observations with noise
- Online adaptive model reduction for nonlinear systems via low-rank updates
- Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
- Optimal model management for multifidelity Monte Carlo estimation
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Reduced basis methods for uncertainty quantification
- Survey of multifidelity methods in uncertainty propagation, inference, and optimization
- The ROMES method for statistical modeling of reduced-order-model error
- Turbulence and the dynamics of coherent structures. I. Coherent structures
Cited in
(28)- Convergence analysis of multifidelity Monte Carlo estimation
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- Data-driven low-fidelity models for multi-fidelity Monte Carlo sampling in plasma micro-turbulence analysis
- High-dimensional and higher-order multifidelity Monte Carlo estimators
- A transport-based multifidelity preconditioner for Markov chain Monte Carlo
- Budget-limited distribution learning in multifidelity problems
- A multifidelity Monte Carlo method for realistic computational budgets
- Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification
- Optimal model management for multifidelity Monte Carlo estimation
- Survey of multifidelity methods in uncertainty propagation, inference, and optimization
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Tensor-Based Numerical Method for Stochastic Homogenization
- Allocation Strategies for High Fidelity Models in the Multifidelity Regime
- Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- On the sample complexity of stabilizing linear dynamical systems from data
- Improved multifidelity Monte Carlo estimators based on normalizing flows and dimensionality reduction techniques
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
- An approximate control variates approach to multifidelity distribution estimation
- Lasso Monte Carlo, a variation on multi fidelity methods for high-dimensional uncertainty quantification
- Covariate-informed bifidelity bias correction of distributional output
- Multi-fidelity Monte Carlo method for the parameters uncertainty quantization of numerical solutions of advection-diffusion-reaction equation
- Optimization problems governed by systems of PDEs with uncertainties
- Sampling low-fidelity outputs for estimation of high-fidelity density and its tails
- Boosting efficiency and reducing graph reliance: basis adaptation integration in Bayesian multi-fidelity networks
- Multifidelity uncertainty quantification for ice sheet simulations
- Deep learning enhanced cost-aware multi-fidelity uncertainty quantification of a computational model for radiotherapy
- Optimally balancing exploration and exploitation to automate multifidelity statistical estimation
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