Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

K. A. Cliffe; Michael B. Giles; Robert Scheichl; Aretha L. Teckentrup

doi:10.1007/s00791-011-0160-x

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Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

K. A. Cliffe Michael B. Giles Robert Scheichl Aretha L. Teckentrup

Year: 2011 Journal: Computing and Visualization in Science Vol: 14 (1)Pages: 3-15 Publisher: Springer Science+Business Media

DOI: 10.1007/s00791-011-0160-x

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Keywords:

Monte Carlo method Quasi-Monte Carlo method Variance reduction Partial differential equation Applied mathematics Mathematical optimization Mathematics Numerical analysis Monte Carlo integration Monte Carlo molecular modeling Computer science Markov chain Monte Carlo Mathematical analysis Statistics

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Probabilistic and Robust Engineering Design

Social Sciences → Decision Sciences → Statistics, Probability and Uncertainty

Mathematical Approximation and Integration

Physical Sciences → Mathematics → Numerical Analysis

Advanced Multi-Objective Optimization Algorithms

Physical Sciences → Computer Science → Computational Theory and Mathematics

Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients

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