A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients
DOI10.1007/S40072-015-0055-9zbMATH Open1334.60133OpenAlexW2111718517MaRDI QIDQ744882FDOQ744882
Publication date: 12 October 2015
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40072-015-0055-9
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[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mat%EF%BF%BD%EF%BF%BDrn+covariance&go=Go Mat��rn covariance]control variatestochastic collocationmulti-level Monte Carlo methodlog-normal random-fieldsstochastic Darcy problem
Monte Carlo methods (65C05) Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
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- An adjoint-assisted multilevel multifidelity method for uncertainty quantification and its application to turbomachinery manufacturing variability
- Multilevel and multifidelity uncertainty quantification for cardiovascular hemodynamics
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- A Bayesian Numerical Homogenization Method for Elliptic Multiscale Inverse Problems
- Numerical approximation of Gaussian random fields on closed surfaces
- Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
- A Posteriori Error Estimation for the Stochastic Collocation Finite Element Method
- Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- Multi-index stochastic collocation for random PDEs
- A Hybrid Alternating Least Squares--TT-Cross Algorithm for Parametric PDEs
- Multilevel Control Variates for Uncertainty Quantification in Simulations of Cloud Cavitation
- A fully parallelized and budgeted multilevel Monte Carlo method and the application to acoustic waves
- Multifidelity uncertainty quantification with models based on dissimilar parameters
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- Comparison of Surrogate-Based Uncertainty Quantification Methods for Computationally Expensive Simulators
- Convergence of Gaussian Process Regression with Estimated Hyper-Parameters and Applications in Bayesian Inverse Problems
- An Adaptive Sparse Grid Algorithm for Elliptic PDEs with Lognormal Diffusion Coefficient
- On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs
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