Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
From MaRDI portal
Publication:5270835
DOI10.1090/mcom/3207zbMath1368.65005arXiv1507.01090OpenAlexW2964218952MaRDI QIDQ5270835
Christoph Schwab, Frances Y. Kuo, Elisabeth Ullmann, Robert Scheichl, Ian H. Sloan
Publication date: 3 July 2017
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.01090
convergencenumerical experimentserror analysisvariance reductionGaussian random fieldlognormal diffusion problemsmultilevel estimatormultilevel quasi-Monte Carlo finite element discretisations
Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Diffusion processes (60J60)
Related Items (37)
Estimation of distributions via multilevel Monte Carlo with stratified sampling ⋮ Compressible fluid motion with uncertain data ⋮ Probabilistic failure mechanisms via Monte Carlo simulations of complex microstructures ⋮ Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates ⋮ Multifidelity Dimension Reduction via Active Subspaces ⋮ Multilevel quasi-Monte Carlo for optimization under uncertainty ⋮ Convergence of a stochastic collocation finite volume method for the compressible Navier-Stokes system ⋮ Multilevel weighted least squares polynomial approximation ⋮ Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods ⋮ Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling ⋮ Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction ⋮ Convergence rates of high dimensional Smolyak quadrature ⋮ Parallel cross interpolation for high-precision calculation of high-dimensional integrals ⋮ Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs ⋮ Modern Monte Carlo Variants for Uncertainty Quantification in Neutron Transport ⋮ A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems ⋮ QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights ⋮ Multilevel higher-order quasi-Monte Carlo Bayesian estimation ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Sparse approximation of multilinear problems with applications to kernel-based methods in UQ ⋮ Infinite-dimensional integration and the multivariate decomposition method ⋮ Strong convergence analysis of iterative solvers for random operator equations ⋮ Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices ⋮ Sparse quadrature for high-dimensional integration with Gaussian measure ⋮ Approximation and sampling of multivariate probability distributions in the tensor train decomposition ⋮ Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients ⋮ Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method ⋮ A Hybrid Alternating Least Squares--TT-Cross Algorithm for Parametric PDEs ⋮ Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification ⋮ Multilevel Markov Chain Monte Carlo ⋮ Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems ⋮ Recycling Samples in the Multigrid Multilevel (Quasi-)Monte Carlo Method ⋮ Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations ⋮ Multi-index ensemble Kalman filtering ⋮ Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling ⋮ A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty ⋮ Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Weak truncation error estimates for elliptic PDEs with lognormal coefficients
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Randomly shifted lattice rules for unbounded integrands
- Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
- The existence of good extensible rank-1 lattices
- Complexity of weighted approximation over \(\mathbb{R}\)
- Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
- Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
- Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations
- The construction of good extensible rank-1 lattices
- Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
- Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
- Multilevel Monte Carlo Path Simulation
- A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Multilevel Block Factorization Preconditioners
- A Modified Split-Radix FFT With Fewer Arithmetic Operations
- Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
- Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
- New development in freefem++
- High-dimensional integration: The quasi-Monte Carlo way
- Constructing Embedded Lattice Rules for Multivariate Integration
- Algorithm 832
- Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient
This page was built for publication: Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
