Quasi-Monte Carlo and multilevel Monte Carlo methods for computing posterior expectations in elliptic inverse problems

DOI10.1137/16M1061692MaRDI QIDQ5269873FDOQ5269873

Authors: A. L. Teckentrup, Robert Scheichl, A. M. Stuart 

Publication date: 28 June 2017

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04704

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zbMATH Keywords

Bayesianinverse problemuncertainty quantificationquasi-Monte Carlofinite element methodsmultilevel Monte Carlohigh-dimensional approximation

Mathematics Subject Classification ID

Bayesian inference (62F15) Random fields; image analysis (62M40) Monte Carlo methods (65C05) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) PDEs with randomness, stochastic partial differential equations (35R60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cited In (31)

• Multi-fidelity uncertainty quantification method with application to nonlinear structural response analysis
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• Higher-order quasi-Monte Carlo for Bayesian shape inversion
• Bayesian inversion for electromyography using low-rank tensor formats
• Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
• Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems
• Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
• Analysis of a multilevel Markov chain Monte Carlo finite element method for Bayesian inversion of log-normal diffusions
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• Uncertainty quantification for low-frequency, time-harmonic Maxwell equations with stochastic conductivity models
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• Multilevel higher-order quasi-Monte Carlo Bayesian estimation
• Multilevel Markov Chain Monte Carlo
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• Advanced Multilevel Monte Carlo Methods
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• Error control of the numerical posterior with Bayes factors in Bayesian uncertainty quantification
• Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
• Multilevel approximation of Gaussian random fields: fast simulation

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