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Continuous level Monte Carlo and sample-adaptive model hierarchies

In this paper, we present a generalization of the multilevel Monte Carlo (MLMC) method to a setting where the level parameter is a continuous variable. This continuous level Monte Carlo (CLMC) estimator provides a natural framework in PDE applications to adapt the model hierarchy to each sample. In...

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Hauptverfasser: Detommaso, Gianluca (VerfasserIn) , Dodwell, Tim (VerfasserIn) , Scheichl, Robert (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: [2019]
In: SIAM ASA journal on uncertainty quantification
Year: 2019, Jahrgang: 7, Heft: 1, Pages: 93-116
ISSN:2166-2525
DOI:10.1137/18M1172259
Online-Zugang:Verlag, Volltext: https://doi.org/10.1137/18M1172259
Verlag, Volltext: https://epubs.siam.org/doi/10.1137/18M1172259
Volltext
Verfasserangaben:Gianluca Detommaso, Tim Dodwell, and Rob Scheichl

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