Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems

DOI10.1137/16M1061692MaRDI QIDQ5269873FDOQ5269873

Robert Scheichl, A. L. Teckentrup, 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

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 (29)

• Multi-fidelity uncertainty quantification method with application to nonlinear structural response analysis
• Deep composition of tensor-trains using squared inverse Rosenblatt transports
• Approximation and sampling of multivariate probability distributions in the tensor train decomposition
• Uncertainty Quantification for Low-Frequency, Time-Harmonic Maxwell Equations with Stochastic Conductivity Models
• Bayesian parameter identification in impedance boundary conditions for Helmholtz problems
• Bayesian inversion for electromyography using low-rank tensor formats
• Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
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• Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
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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

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