A Simple, Bias-free Approximation of Covariance Functions by the Multilevel Monte Carlo Method Having Nearly Optimal Complexity

DOI10.1137/22M1506845MaRDI QIDQ6062233zbMATH OpenFDO

Authors

Publication date 30 November 2023

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

Full work available at URL https://doi.org/10.1137/22M1506845

zbMATH Keywords

covariance functionsmultilevel Monte Carlosparse tensor product

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Analysis of algorithms and problem complexity (68Q25)

Cites work

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• Multilevel ensemble Kalman filtering for spatio-temporal processes
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo Path Simulation
• On the construction of sparse tensor product spaces
• On the convergence of the combination technique
• Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation
• Sparse tensor discretization of elliptic SPDEs
• Tensor spaces and numerical tensor calculus

Cited in

(3)

• Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
• Multilevel Monte Carlo metamodeling for variance function estimation
• Data sparse multilevel covariance estimation in optimal complexity

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