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

Computing and Visualization in Science

Volumn 14, Issue 1, 2011, Pages 3-15

  Cliffe, K A ^a   Giles, M B ^b   Scheichl, R ^c   Teckentrup, A L ^c  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c University of Bath   (United Kingdom)

Author keywords

Monte Carlo; Multilevel; Stochastic PDE

Indexed keywords

ASYMPTOTIC COST; DETERMINISTIC PROBLEMS; ELLIPTIC PARTIAL DIFFERENTIAL EQUATION; ELLIPTIC PDES; MONTE CARLO; MULTILEVEL; MULTILEVEL METHOD; NUMERICAL CALCULATION; NUMERICAL SOLUTION; RANDOM COEFFICIENTS; STANDARD METHOD; STOCHASTIC PDE; STOCHASTIC PROBLEMS; TWO DIMENSIONAL MODEL; UNCERTAINTY QUANTIFICATIONS; VARIANCE REDUCTION TECHNIQUES;

DIFFERENTIATION (CALCULUS); GROUNDWATER; GROUNDWATER FLOW; NUMERICAL METHODS; PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

MONTE CARLO METHODS;

EID: 80054960849     PISSN: 14329360     EISSN: 14330369     Source Type: Journal    
DOI: 10.1007/s00791-011-0160-x     Document Type: Conference Paper

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