A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients

DOI10.1007/S40072-015-0055-9MaRDI QIDQ744882zbMATH OpenOpenAlexFDO

Authors F. Nobile, Francesco Tesei

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

zbMATH Keywords

control variatestochastic collocationmulti-level Monte Carlo methodlog-normal random-fieldsstochastic Darcy problemMatérn covariance

Mathematics Subject Classification ID

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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Cited in

(30)

• Multilevel and multifidelity uncertainty quantification for cardiovascular hemodynamics
• An adjoint-assisted multilevel multifidelity method for uncertainty quantification and its application to turbomachinery manufacturing variability
• Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
• Multilevel control variates for uncertainty quantification in simulations of cloud cavitation
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers
• Covariance operator estimation: sparsity, lengthscale, and ensemble Kalman filters
• Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
• Multilevel Markov chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations
• A Bayesian Numerical Homogenization Method for Elliptic Multiscale Inverse Problems
• Numerical approximation of Gaussian random fields on closed surfaces
• Boosting efficiency and reducing graph reliance: basis adaptation integration in Bayesian multi-fidelity networks
• Residual multi-fidelity neural network computing
• Convergence of Gaussian process regression with estimated hyper-parameters and applications in Bayesian inverse problems
• Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
• On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients
• A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
• Multi-index stochastic collocation for random PDEs
• Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
• Convergence rates of non-stationary and deep Gaussian process regression
• A fully parallelized and budgeted multilevel Monte Carlo method and the application to acoustic waves
• An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient
• Multifidelity uncertainty quantification with models based on dissimilar parameters
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• A generalized approximate control variate framework for multifidelity uncertainty quantification
• Survey of multifidelity methods in uncertainty propagation, inference, and optimization
• Comparison of Surrogate-Based Uncertainty Quantification Methods for Computationally Expensive Simulators
• A posteriori error estimation for the stochastic collocation finite element method
• A hybrid alternating least squares-TT-cross algorithm for parametric PDEs
• On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs

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