Multilevel Monte Carlo finite element methods for stochastic elliptic variational inequalities

DOI10.1137/130916126zbMATH Open1320.65176OpenAlexW2043494691MaRDI QIDQ5254136FDOQ5254136

Authors: Ralf Kornhuber, Christoph Schwab, Maren-Wanda Wolf 

Publication date: 9 June 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a894ea546dc92251052aee6a8d06bc039b7403a3

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zbMATH Keywords

stochastic partial differential equationsvariational inequalitiesmultilevel Monte Carlomultilevel methodsstochastic finite element methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for variational inequalities and related problems (65K15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

Cited In (12)

• Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
• Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
• A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model
• A polynomial chaos approach to stochastic variational inequalities
• A multilevel Monte Carlo finite element method for the stochastic Cahn-Hilliard-Cook equation
• Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities
• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
• Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
• Multilevel Monte Carlo Methods for Stochastic Elliptic Multiscale PDEs
• A multigrid multilevel Monte Carlo method for Stokes-Darcy model with random hydraulic conductivity and Beavers-Joseph condition
• Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method
• Multi-level Monte Carlo weak Galerkin method for elliptic equations with stochastic jump coefficients

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