Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
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Publication:5237167
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)
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- An adaptive multilevel Monte Carlo method with stochastic bounds for quantities of interest with uncertain data
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- Convergence analysis of multifidelity Monte Carlo estimation
- Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
Cites work
- scientific article; zbMATH DE number 3487202 (Why is no real title available?)
- $\mathcal{H}_2$ Model Reduction for Large-Scale Linear Dynamical Systems
- A Knowledge-Gradient Policy for Sequential Information Collection
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- 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.
- 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 Monte Carlo Path Simulation
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel and weighted reduced basis method for stochastic optimal control problems constrained by Stokes equations
- 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
(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
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