A multi level Monte Carlo method with control variate for elliptic PDEs with log-normal coefficients
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control variatestochastic collocationmulti-level Monte Carlo methodlog-normal random-fieldsstochastic Darcy problemMatérn covariance
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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Cites work
- scientific article; zbMATH DE number 3247736 (Why is no real title available?)
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
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- An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient
- Approximating infinity-dimensional stochastic Darcy's equations without uniform ellipticity
- Elliptic problems in nonsmooth domains
- Fast simulation of Gaussian random fields
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
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- Geostatistics. Modeling spatial uncertainty.
- High-dimensional adaptive sparse polynomial interpolation and applications to parametric PDEs
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- Multi-index Monte Carlo: when sparsity meets sampling
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Multilevel Monte Carlo Path Simulation
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Stochastic Galerkin discretization of the log-normal isotropic diffusion problem
- Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison
- Stochastic collocation for elliptic PDEs with random data: the lognormal case
- The Optimum Addition of Points to Quadrature Formulae
- Weak truncation error estimates for elliptic PDEs with lognormal coefficients
Cited in
(24)- Multi-index stochastic collocation for random PDEs
- An adjoint-assisted multilevel multifidelity method for uncertainty quantification and its application to turbomachinery manufacturing variability
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- Multilevel and multifidelity uncertainty quantification for cardiovascular hemodynamics
- A fully parallelized and budgeted multilevel Monte Carlo method and the application to acoustic waves
- Comparison of Surrogate-Based Uncertainty Quantification Methods for Computationally Expensive Simulators
- On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients
- Numerical approximation of Gaussian random fields on closed surfaces
- A Bayesian Numerical Homogenization Method for Elliptic Multiscale Inverse Problems
- The multi-level Monte Carlo finite element method for a stochastic Brinkman problem
- Survey of multifidelity methods in uncertainty propagation, inference, and optimization
- A posteriori error estimation for the stochastic collocation finite element method
- Multilevel control variates for uncertainty quantification in simulations of cloud cavitation
- A hybrid alternating least squares-TT-cross algorithm for parametric PDEs
- An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Convergence of Gaussian process regression with estimated hyper-parameters and applications in Bayesian inverse problems
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
- Multifidelity uncertainty quantification with models based on dissimilar parameters
- On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs
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