Renormalization based MLMC method for scalar elliptic SPDE

DOI10.1007/978-3-319-73441-5_31MaRDI QIDQ3297449zbMATH OpenOpenAlexFDO

Authors Oleg P. Iliev, Jan Mohring, Nikolay Shegunov

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-73441-5_31

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

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Cites work

• A generic grid interface for parallel and adaptive scientific computing. I: Abstract framework
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo methods using ensemble level mixed MsFEM for two-phase flow and transport simulations
• Two-level adaptive algebraic multigrid for a sequence of problems with slowly varying random coefficients
• Uncertainty Quantification for Porous Media Flow Using Multilevel Monte Carlo

Cited in

(1)

• Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients

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